from Hacker News

Making Markets on Kalshi

by andes314 on 2/17/25, 12:26 AM with 26 comments

• by ammario on 2/17/25, 9:02 PM

  Cool to see. I'm currently #1 on the Kalshi volume leaderboard (https://kalshi.com/social/leaderboard) with a proprietary market making algorithm.

  There is plenty of money to be made on Kalshi, but I had to rethink the math from the ground up as most of the literature describes highly liquid, somewhat stable markets.

  One small change you could make to your algorithm is to calculate the skews/spreads in log-odds space. A change in price from 50c to 49c represents a very small delta in expected return whereas 2c to 1c is a doubling. Dealing with probability contracts in log-odds controls for this effect.

• by andes314 on 2/17/25, 12:26 AM

  I built a market making algorithm for Kalshi, an event futures exchange. The algorithm dynamically places bids and asks to capture the spread while managing inventory risk. It supports multiple strategies running in parallel, each with its own configuration. The codebase is located at https://github.com/rodlaf/kalshimarketmaker.

• by vagab0nd on 2/17/25, 10:21 PM

  Arbitraging is so 2024. The future is prediction market manipulation/crowd funding. Imagine shorting "asteroid hitting earth" and using the proceeds to divert the asteroid.

• by wslh on 2/18/25, 12:44 AM

  ELI5: how market making works in event prediction? I logged in into Kalshi and I only yes/no ossible answers with two probabilities associated. Their page on market making doesn't explain it [1].

  [1] https://help.kalshi.com/faq/what-is-the-market-maker-program

• by mmcallister on 2/20/25, 12:50 PM

  It's interesting that sigma is static and defined ahead of time, how do you determine the initial sigma?

• by zietzm on 2/17/25, 5:27 PM

  Nice work! Code is super readable. Are you planning to keep improving it, or was this more an experiment to learn?

• by maest on 2/17/25, 6:16 PM

  How big are the kalshi markets anyway?