A trading bot can receive price updates every second and still make decisions using a market state that no longer exists.

That sounds contradictory until you look at how an order book changes.

A bot sees an attractive ask, calculates an edge, and prepares an order. Before that order reaches the exchange, someone cancels the liquidity, another trader takes the offer, or the best available price changes.

The bot's calculation may have been correct when it started. The market it calculated against is gone.

This is one of the problems that separates a bot that merely consumes market data from one that handles live trading conditions properly.

A price is not the same thing as a market state

Imagine your Polymarket bot estimates that a YES share is worth $0.64.

Its market-data handler reports an ask of $0.59, so the strategy identifies a potential five-cent edge.

But three details matter:

How recently was that ask observed?

How much liquidity was available at that price?

Does the price still exist when…