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.
This is awesome. I tried doing something like this but had to put it on hold due to college classes/exams. Have you had any success with this strategy?
I gave it some cash but in the end, with my risk configuration, it wasn't 'exciting' enough because orders don't really get taken very frequently. I think You'd have to deploy much more cash than I did (> $1000) and trade at least a couple dozen securities to really make it 'fun'.
A major improvement to the software that I didn't get around to was a script to identify which securities offer the best market making opportunities (e.g., maybe by generating a custom YAML file).
Did you try using it on the temperature markets? Those seem to get the most consistent trading volume.
Also, LMK if you want some of the data, I collected I can share this via an S3 bucket. It's from the chicago max temp market. I ended up scrapping my strategy (not market making), but don't want the data to go to waste.
Hey, not OP but I am interested in whatever data you have, I mess around with the temperature markets. Have gotten started with NYC, but am about to start with Chicago. E-mail in profile.
