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Time Alignment Approximation

Time Alignment Approximation

Summary

Align Polymarket BTC hourly "Up or Down" to the closest-in-time Kalshi BTC hourly strike grid, then build a cross-venue pair with bounded payoff. This is not a 1:1 market match; the edge comes from overlapping payoff ranges when strikes differ.

Opportunity definition

  • Instruments: Polymarket hourly Up/Down (binary), Kalshi hourly strike grid (binary per strike).
  • Price-to-beat: BTC hourly open (from Binance), used as the Polymarket strike proxy.
  • Edge: total cost of the paired legs below $1.00 (100 cents).

Inputs and data sources

  • Polymarket event metadata (Gamma API) + CLOB top-of-book asks.
  • Kalshi market list for an event ticker (trade API).
  • BTCUSDT hourly open (Binance) with fallback to current spot.

Time alignment rules

  1. Base time: current UTC truncated to the hour.
  2. Polymarket target: try current hour, then next hour if the current event has already ended.
  3. Kalshi target: default to Polymarket target + 1 hour; if Polymarket event start/end time exists, derive Kalshi target from those timestamps instead.
  4. Fallback: if the exact Kalshi event ticker is missing, select the closest market by close_time within the series and use its event_ticker.

Market identification

Polymarket slug

Pattern (ET): bitcoin-up-or-down-<month>-<day>-<hour><am|pm>-et
Example: bitcoin-up-or-down-january-26-2pm-et

Kalshi event ticker

Pattern (ET): <KALSHI_SERIES_TICKER>-<YY><MON><DD><HH>
Example: KXBTCD-26JAN2614

Pricing extraction

  • Polymarket:
    • Read Up and Down best asks from CLOB.
    • Fetch BTC hourly open at event start time; if missing, use current spot and flag as fallback.
  • Kalshi:
    • Parse strike from subtitle using $ numeric capture.
    • Capture yes_ask, no_ask, yes_bid, no_bid, and volume for each strike.

Candidate construction

  • Focus window: take a small set of strikes around the closest strike to the Polymarket price-to-beat (default 5).
  • Pairing rules:
    • If poly_strike > kalshi_strike: buy Polymarket Down + Kalshi Yes.
    • If poly_strike < kalshi_strike: buy Polymarket Up + Kalshi No.
    • If equal: choose the cheaper of the two pairs.
  • Score: edge_cents = 100 - (poly_leg + kalshi_leg). Prefer the highest edge.

Output fields (snapshot)

  • target_time, polymarket.slug, polymarket.price_to_beat, polymarket.up_cost, polymarket.down_cost
  • kalshi.event_ticker, kalshi.strike_date, kalshi.markets[]
  • candidate: strike, total_cost, edge_cents, relation, and selected legs

Known caveats

  • Polymarket and Kalshi resolve off different reference prices (Binance vs CF Benchmarks).
  • Market close/start times can drift; this is why fallback time matching is needed.
  • Best-ask pricing ignores slippage, fees, and min-size constraints.
  • If outcomes or clobTokenIds are malformed, the snapshot may fail.

Implementation references

  • app/opportunities/time_alignment.py (primary logic)
  • app/data/patterns.py and docs/ingestion-plan.md (slug pattern notes)