Polymarket & Kalshi order book data

Polymarket & Kalshi Order Book Data

The mid-price hides the spread and the size resting at each level. DepthFeed captures Polymarket & Kalshi's full order book — the full bid/ask ladder at each stored observation (up to 100 levels per side on Kalshi) — so you can measure the slippage a real order would have paid and the liquidity that was genuinely there.

Calculate slippage

Polymarket & Kalshi order book data is the Level-2 view of the market: resting bid and ask prices with their displayed sizes. DepthFeed records event-driven websocket capture on Polymarket and Limitless, and continuous full-depth polling on Kalshi and serves the full ladder at each stored observation, allowing a backtest to walk recorded depth instead of assuming unlimited midpoint liquidity.

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Polymarket & Kalshi order book data at a glance

Venues
Polymarket · Kalshi · Limitless
Capture
Event-driven WS (Poly) · full-depth poll (Kalshi)
Cadence
Venue-specific; documented by source
Depth
Full ladder, both sides (≤100 levels Kalshi)
Assets
7 — BTC · ETH · SOL · XRP · DOGE · BNB · HYPE
Timestamps
Millisecond observation time; venue-specific source stamps
Underlying price
Nearest preceding Binance reference when available
History
7/30/90-day windows + full archive (Desk)
Delivery
REST history + normalized live WebSocket frames
Resolution
Raw stored observations or ?interval= 1s–1d

Request a recorded full-depth Polymarket book

Start with discovery so the market identifier and metadata remain attached to the request. The snapshot route returns recorded observations; include_orderbook exposes the stored ladder and interval selects one recorded row per bucket.

Copyable requestshell
curl -s "https://api.depthfeed.com/v3/btc/markets?limit=5" \
  -H "Authorization: Bearer df_your_key"

curl -s "https://api.depthfeed.com/v3/btc/markets/<market_id>/snapshots?include_orderbook=true&interval=1m" \
  -H "Authorization: Bearer df_your_key"
  • Omit interval for raw stored resolution; downsampling selects a recorded observation and does not interpolate a missing book.
  • Follow the response cursor for the next page instead of constructing offset pagination.

Polymarket & Kalshi order book data

Why full depth matters

  1. Both sides, every level

    Top-of-book or a single mid tells you almost nothing about execution. DepthFeed serves the full bid/ask ladder at each stored observation (up to 100 levels per side on Kalshi) for polymarket & kalshi, with bid/ask price and size arrays on each snapshot — the columns you actually reconstruct a book from. Use those levels to compute spread, visible depth and estimated slippage for an order size. Aggregated book levels do not establish queue position or guarantee a live fill.

  2. Cadence is stated, not implied

    A stored order book cannot describe activity between its observations. DepthFeed records event-driven source capture on Polymarket and paced full-depth REST polling on Kalshi; stored cadence is venue-specific; the API returns the timestamps actually present and never interpolates a missing book state.

  3. Align the recorded book and reference series

    API responses include a millisecond observation time and ASOF-align the nearest preceding Binance reference price when available. That supports timestamped research without claiming an exchange timestamp or reference value that the source did not provide.

  4. Interpret Kalshi Yes/No ladders before normalizing

    Kalshi's current fixed-point order-book response exposes Yes and No bid ladders as dollar-price and size pairs. The opposite ask is implied by the binary complement: a Yes ask corresponds to 1 minus the best No bid, and a No ask corresponds to 1 minus the best Yes bid. DepthFeed normalizes this into a consistent 0–1 book while retaining the exact ticker and native Yes/No meaning for auditability.

Test the ladder at your intended order size

Use a recorded bid/ask ladder to calculate spread, VWAP, filled size and unfilled remainder before assuming midpoint execution.

Calculate slippage · Get API access

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