| --- |
| license: other |
| pretty_name: Kalshi Live Orderbook Alpha Feed |
| tags: |
| - finance |
| - prediction-markets |
| - order-book |
| - time-series |
| --- |
| |
| # Kalshi Live Orderbook Alpha Feed |
|
|
| This public dataset contains live Kalshi order-book snapshots and derived state |
| after every `orderbook_delta` message for a research universe refreshed every |
| 10 minutes. |
|
|
| The current universe is the 200 highest-volume open markets over a rolling |
| 48-hour public-trade window. It is spread by volume across four websocket |
| connections of 50 markets each, then periodically rebalanced using observed |
| per-market delta traffic. |
|
|
| Early files used an expanded allowlist/blocklist union. Per-record |
| `selection_sources` and `universe` records identify that historical scope. |
|
|
| ## Files |
|
|
| Data is stored as gzip-compressed JSON Lines under |
| `data/YYYY/MM/DD/kalshi_orderbooks_*.jsonl.gz`. Files are uploaded only after |
| they are closed and compressed. |
|
|
| `schema_version=1` records have one of three `record_type` values: |
|
|
| - `snapshot`: the initial full YES and NO bid ladders plus derived features. |
| - `delta`: the raw changed side, price, and quantity plus derived state after |
| applying the delta. |
| - `universe`: the selected ticker universe and selection reason at a discovery |
| boundary. |
|
|
| For both YES and NO, `book` contains the top three displayed bid levels, the |
| top three asks derived from the opposite outcome's bids, and the best bid and |
| ask whose displayed level quantity is strictly greater than 1,000 contracts. |
| Prices are in cents and quantities can be fractional. |
|
|
| Timestamps include local receipt nanoseconds, Kalshi's exchange timestamp when |
| present, and their observed difference. Network, scheduling, and processing |
| latency mean the feed is not a colocated ground-truth record. |
|
|
| This is public market-data collection for research, not investment advice. |
|
|
