https://github.com/amirzarandi/morningside-wagewise
High-performance C++ market data feed and local orderbook for Kalshi prediction markets. Designed for algorithmic trading and market making with ultra-low latency order matching. Abstracts Yes/No betting into traditional bid/ask spreads.
https://github.com/amirzarandi/morningside-wagewise
algorithmic-trading cmake curl kalshi kalshi-api limit-order-book prediction-markets
Last synced: about 1 month ago
JSON representation
High-performance C++ market data feed and local orderbook for Kalshi prediction markets. Designed for algorithmic trading and market making with ultra-low latency order matching. Abstracts Yes/No betting into traditional bid/ask spreads.
- Host: GitHub
- URL: https://github.com/amirzarandi/morningside-wagewise
- Owner: amirzarandi
- License: apache-2.0
- Created: 2025-09-01T21:25:09.000Z (about 2 months ago)
- Default Branch: main
- Last Pushed: 2025-09-01T22:19:06.000Z (about 2 months ago)
- Last Synced: 2025-09-01T22:27:03.219Z (about 2 months ago)
- Topics: algorithmic-trading, cmake, curl, kalshi, kalshi-api, limit-order-book, prediction-markets
- Language: C++
- Homepage:
- Size: 20.5 KB
- Stars: 0
- Watchers: 0
- Forks: 0
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
- License: LICENSE
Awesome Lists containing this project
README
# Morningside Wagewise
A high-performance C++ market data feed handler and local orderbook implementation for Kalshi prediction markets, designed to enable development of algorithmic trading and market making strategies.
## Overview
We fetch real-time market data from Kalshi's REST API and maintain a local orderbook replica for ultra-low latency trading operations. The system abstracts Kalshi's binary "Yes/No" betting markets into traditional bid/ask order flow, enabling standard options/futures-like pricing models.
## Architecture
```
┌─────────────────┐ ┌──────────────────┐ ┌─────────────────┐
│ Kalshi API │────│ MarketDataFeed │────│ Local Orderbook │
│ (HTTP/WS) │ │ Handler │ │ Engine │
└─────────────────┘ └──────────────────┘ └─────────────────┘
```
## Quick Start
```bash
mkdir build
cd build
cmake ..
cmake --build .
./morningside-wagerwise
```
**Dependencies**: `libcurl`, `nlohmann/json`, C++20 compiler
## Features
### Market Data Integration
- Fetches orderbook data via REST endpoint by passing market ticker symbols
- Architected to support additional betting exchanges (Polymarket, etc.)
### Local Orderbook Engine
The core orderbook supports sophisticated order management:
- Supports multiple order types: `GoodTillCancel` and `FillAndKill`
- **Price-Time Priority Matching Algorithm**
- Automatically generates a trade when bids cross asks
- Level Info: aggregated bid/ask levels for market analysis
```cpp
// Example Usage: Add order and get resulting trades
auto order = std::make_shared(OrderType::GoodTillCancel, 123, Side::Buy, 55, 100);
Trades trades = orderbook.AddOrder(order);
```
## Next Steps
We currently use Kalshi's HTTP REST endpoint for initial orderbook snapshots. While Kalshi offers WebSocket feeds for real-time updates, this serves as a working proof of concept for the data pipeline and orderbook integration. We show in the `main.cpp` example that we are able to fetch market data from Kalshi API, populate the Orderbook and manage its state and match orders. We can expand this in multiple ways:
- WebSocket integration for real-time updates
- Order lifecycle management (fills, cancellations from exchange)
- State synchronization with live Kalshi orderbook
- Multi-exchange adapter pattern