Kalshi Market Maker

Dynamic market-making bot for Kalshi with explicit safety controls and operational tooling.

Algorithm

The runtime is a two-step loop:

1. Market selection

   • Pull open markets from Kalshi.
   • Exclude multivariate/combo markets (mve_filter=exclude).
   • Enforce local hard filter to binary-only markets.
   • Filter using min_volume_24h and min_spread_cents.
   • Score candidates with weighted normalized volume and spread.
   • Keep the top top_n markets.

2. Market making

   • Run one Avellaneda-Stoikov worker per selected market.
   • Each worker computes reservation price, asymmetric quotes, and order sizes.
   • Inventory risk aversion increases as inventory approaches limits.
   • New risk accumulation is blocked when global portfolio cap is reached.
   • Worker manages resting orders on each loop interval.

Lifecycle and Safety

• Dynamic-only runtime: this project runs from dynamic config.
• Deselect cleanup invariant:
  • stop worker,
  • wait up to worker_shutdown_timeout_seconds,
  • cancel all resting orders for that ticker,
  • verify cleanup before removing worker state.
• Selector and API requests use retry/backoff handling for transient and rate-limit errors.
• Portfolio controls enforce global and per-market contract caps across all active workers.

Local Setup

1. Install dependencies

   uv pip install -e .

2. Set environment variables in .env

   KALSHI_API_KEY_ID=your_api_key_id
   KALSHI_PRIVATE_KEY_PATH=/absolute/path/to/your/private-key.key
   KALSHI_BASE_URL=https://demo-api.kalshi.co/trade-api/v2

   Use https://api.elections.kalshi.com/trade-api/v2 for production.

3. Run bot

   kalshi-mm --config config.yaml

Configuration

dynamic:
  log_level: INFO
   risk:
      max_global_contracts: 20
      max_contracts_per_market: 3
      reserve_contracts_buffer: 2
  market_selector:
      top_n: 6
    refresh_seconds: 45
    worker_shutdown_timeout_seconds: 15
    min_volume_24h: 500
    min_spread_cents: 2
    volume_weight: 0.35
    spread_weight: 0.65
      mve_filter: exclude
    page_limit: 250
    max_pages: 5
    max_markets: 1250
    # series_ticker: "FED"
  market_maker:
    max_position: 3
    order_expiration: 3600
    gamma: 0.2
    k: 1.5
    sigma: 0.001
    T: 28800
    min_spread: 0.02
    position_limit_buffer: 0.05
    inventory_skew_factor: 0.001
    trade_side: "yes"
  dt: 5.0

Operations

Realtime account dashboard (money, positions, resting orders):

kalshi-dashboard

Dashboard options:

kalshi-dashboard --refresh-seconds 1.5 --balance-every-n 10

Controls:

• Press q to quit.

Cancel resting orders across all markets:

kalshi-cancel-all

Dry-run preview:

kalshi-cancel-all --dry-run

Scoped cancellation examples:

kalshi-cancel-all --ticker FEDDECISION-24NOV-H0
kalshi-cancel-all --side yes --action buy
kalshi-cancel-all --max-cancels 10

Liquidate entire book (cancel resting orders first, then submit flattening orders):

kalshi-cancel-all --liquidate-all

Dry-run liquidation preview:

kalshi-cancel-all --liquidate-all --dry-run

Liquidation controls:

kalshi-cancel-all --liquidate-all --max-liquidations 25 --liquidation-expiration-seconds 120

Aggressive multi-round liquidation (recommended when you need out fast):

kalshi-cancel-all --liquidate-all \
   --liquidation-rounds 12 \
   --liquidation-round-sleep-seconds 1 \
   --liquidation-price-offset-cents 2 \
   --liquidation-expiration-seconds 20

Note: liquidation currently uses signed-yes position convention:

• position > 0 -> sell yes at current yes_bid
• position < 0 -> buy yes at current yes_ask

In aggressive liquidation mode, each round:

• cancels remaining resting orders,
• refreshes live positions,
• re-prices flattening orders with configurable aggressiveness,
• repeats until flat or max rounds reached.

Deployment

Deploy with Fly:

flyctl deploy

Set secrets:

flyctl secrets set KALSHI_API_KEY_ID=your_api_key_id
flyctl secrets set KALSHI_PRIVATE_KEY_PATH=/app/keys/kalshi-private.key
flyctl secrets set KALSHI_BASE_URL=https://demo-api.kalshi.co/trade-api/v2

Monitoring

Logs are written to stdout.

flyctl logs