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 Get API access

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.

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.

Why full depth matters

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. That is what lets you compute spread, queue position, and the slippage of a real-sized order.

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.

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.

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.