17 posts tagged “market microstructure”.
ZenHodl: $3.12B headline notional vs $1.48B taker cash across 15,808,966 Kalshi sports prints we captured (May 15 - Sep 6, 2026).
Learn a four-step audit to find capture gaps in any market-data archive: derive coverage, dark time and cadence from the rows, not the README.
Recount the $9 Kalshi tryout's pinned release and explore recorded spreads, book changes and taker flow, with clear clock and coverage limits.
A dated two-day Kalshi study buckets 553,843 sampled quotes by recorded best-level notional. These are liquidity buckets, not order-size or fill-cost tests.
Buy just the Kalshi order-book slice you study: ATP/WTA/ITF tennis, MLB, WNBA, or LoL/CS2 esports — $39 each, same live capture as the full tape.
A practical guide to ZenHodl's recorded Kalshi L2 depth and deduplicated trade prints: what the fields mean, what the sample checks, and the hard limits.
L2 depth for the first 48-team World Cup final: 1.01M rows on Spain vs. Argentina, 20.8M across 47 matches — including which we lost. $39.
Corrected Oct 2026: a five-sport study reverses this MLB study's 32-second direction, and 1-second data shows the venues move within ~1 s.
Compare official history, free recorded books and ZenHodl archives. Check dates, depth, clocks, matching rules and license before choosing data.
A June 2026 MLB capture reported similar quoted spreads and different recorded depth. Review the sample limits, level cap and statistical interpretation.
Corrected Oct 2026: a larger five-sport study reverses this June pilot's 32-second direction; 1-second data shows the venues move within ~1 s.
Find recorded Polymarket books through official data, free archives or paid files. Check the exact fields, clocks, captured window and gaps first.
Diagnose Polymarket order_version_mismatch in Python: inspect SDK release, market identifier/signing route, wallet signature type and funder; separate CTF...
Learn the Polymarket API in practice: CLOB V2, Gamma, Data API, WebSocket streams, wallet signing, per-market fees, and common Python errors.
Kalshi combos are dedicated markets priced through RFQs. Learn joint-probability math, product-of-leg settlement and why a DNP is not automatically a refund.
Learn how Polymarket CLOB V2 fees work: per-market taker fees, zero maker fees, rebates, the fee curve, Polygon gas, and breakeven edge.
We backtested 237 trade signals with and without execution constraints. 99% of theoretical profit vanished. Here's what actually kills your trades — and...