Video 11: Kalshi Arbitrage Trading Bot
This video explores how an automated trading bot can find arbitrage opportunities across Kalshi's Bitcoin and Ethereum 15-minute crypto markets. The bot monitors both markets, compares available contract prices, and identifies setups where the combined trade creates a potential pricing edge.
API key Filename
apikey
Private Key Filename
privatekey
Paper-Trading Code
; =========================
; PAPER TRADING Strategy Configuration
; =========================
assets := ["BTC", "ETH"] ;correlation pair
timeDelay := 15 ; activation window in minutes. 15 = monitor the whole 15m market.
EntryRange := [0.8, 0.93] ; [Min, Max] enter only when inverse pair sum is between 80c and 93c
PairExit := 0.60 ; Stop Loss
orderSize := 5 ; Size of order each shot
shots := 10 ; max pair entry shots per 15m market
cooldownSec := 40 ; seconds to wait after one shot before seeking the next
noEntryMinutes := 1 ; last N minutes allow no new entry shots;
InitialBalance := 10000.00 ; paper-mode starting balance
; =============================================================
; Kalshi Order API Config
; DO NOT TOUCH BELOW VALUES UNLESS YOU KNOW WHAT YOU ARE DOING
; =============================================================
BehaviorLookbackMs := 10000
BehaviorSignEpsBps := 0.25 ; moves within this many bps are treated as baseline
BehaviorEmaAlpha := 0.22 ; smoothing for the behavior score stream
PairExitOrderPrice := 0.01
entryOrderPrice := 1.00
enableLiveOrders := false ; paper mode
pollIntervalMs := 700
marketRefreshMs := 5000 ; refresh market/session metadata less often; orderbook still refreshes every loop
priceRefreshMs := 1500 ; throttle live asset price calls used only for LogStream
restDelay := 2000 ; ms to let order rest before checking position
paperLossExitFloor := 0.05 ; if PairExit is 0 or lower, use this paper-only loss floor so bad trades still close/register
entryDiff := 0.00 ; legacy BUY offset; pair entry uses entryOrderPrice above.
kalshiApiBase := "https://api.elections.kalshi.com"
assetSeriesMap := { "BTC": "KXBTC15M", "ETH": "KXETH15M", "SOL": "KXSOL15M", "XRP": "KXXRP15M", "DOGE": "KXDOGE15M", "HYPE": "KXHYPE15M", "BNB": "KXBNB15M" }
; Track the locked pair after entry. Individual legs are also mirrored in positions.
positions := {}
paperCash := InitialBalance
paperOpenTrades := []
paperPositionsByTicker := {}
paperParticipatedMarkets := {}
paperMarketsParticipated := 0
paperCompletedMarkets := {}
paperCompletedSessions := 0
paperResolutionWins := 0
paperLosses := 0
paperStopLosses := 0
paperBreakEvens := 0
paperLastPnl := 0
pairPhase := "WAIT_WINDOW"
pairSessionKey := ""
activePair := ""
pendingPair := ""
pendingEntryOrderIds := []
pairShotsSubmitted := 0
pairShotsFilled := 0
pairFilledContracts := 0
pairLastShotTick := 0
assetPhase := {} ; retained for legacy helper compatibility
assetLastPriceLogTick := {} ; throttled logging control
assetSnapshotCache := {}
assetMarketRefreshTick := {}
assetPriceCache := {}
assetPriceRefreshTick := {}
pairBehaviorSessionKey := ""
pairBehaviorBtcOpen := ""
pairBehaviorEthOpen := ""
pairBehaviorLastUpdateTick := 0
pairBehaviorPrevBtcMoveBps := ""
pairBehaviorPrevEthMoveBps := ""
pairBehaviorEmaScore := ""
pairBehaviorState := "WAITING"
pairBehaviorScore := ""
pairBehaviorHistory := []
Log("Paper mode started | InitialBalance: " FmtMoney(InitialBalance) " | EntryRange: " FmtEntryRange() " | BehaviorGate: SYNC | Exit < " FmtPairSum(EffectivePairExit()) EffectivePairExitNote() " | Window: last " timeDelay "m | Shots: " shots " x " orderSize " | Cooldown: " cooldownSec "s | No entry: last " noEntryMinutes "m | Assets: BTC/ETH")
if !PaperCanAffordMinimumEntry() {
pairPhase := "NO_BALANCE"
Log("PAIR not enough balance, nothing left to continue | balance " PaperBalanceText() " | minimum entry cost " FmtMoney(PaperMinimumEntryCost()))
}
loop {
btcSnap := GetKalshiMarketSnapshot("BTC")
ethSnap := GetKalshiMarketSnapshot("ETH")
if (!IsObject(btcSnap) || !IsObject(ethSnap)) {
if (IsObject(activePair) && PairSessionEnded(activePair, btcSnap, ethSnap))
MarkPairHeldToResolution()
LogOnce("PAIR", "NO_DATA_" CurrentQuarterIndex(), "PAIR Waiting for BTC/ETH market data")
Random, pollJitterMs, 0, 250
sleepMs := pollIntervalMs + pollJitterMs
Sleep %sleepMs%
continue
}
if !PairSnapshotsAligned(btcSnap, ethSnap) {
LogOnce("PAIR", "MISALIGNED_" PairMarketSuffix(btcSnap.marketTicker) "_" PairMarketSuffix(ethSnap.marketTicker), "PAIR Waiting for aligned BTC/ETH market | BTC " btcSnap.marketTicker " | ETH " ethSnap.marketTicker)
Random, pollJitterMs, 0, 250
sleepMs := pollIntervalMs + pollJitterMs
Sleep %sleepMs%
continue
}
sessionKey := BuildPairSessionKey(btcSnap, ethSnap)
if (IsObject(activePair) && PairSessionEnded(activePair, btcSnap, ethSnap)) {
MarkPairHeldToResolution()
Random, pollJitterMs, 0, 250
sleepMs := pollIntervalMs + pollJitterMs
Sleep %sleepMs%
continue
}
if (pairSessionKey = "" || pairSessionKey != sessionKey) {
if IsObject(pendingPair) {
if !PairSessionEnded(pendingPair, btcSnap, ethSnap) {
pairSessionKey := sessionKey
assetLastPriceLogTick["PAIR"] := 0
LogOnceReset("PAIR")
Log("PAIR Session key refreshed while entry pending | BTC " btcSnap.marketTicker " | ETH " ethSnap.marketTicker)
} else {
if PairAnyPositionOpen(pendingPair) {
CancelKalshiOrders(pendingEntryOrderIds)
Log(pendingPair.name " pending entry crossed session boundary with open leg(s); canceled remaining buy order(s)")
ClearPendingPairEntry()
pairSessionKey := sessionKey
pairPhase := "HAS_POSITION"
Log("PAIR Existing BTC or ETH position found, waiting for next session")
} else {
ClearPendingPairEntry()
pairSessionKey := sessionKey
pairPhase := "WAIT_WINDOW"
ResetPairShotState()
assetLastPriceLogTick["PAIR"] := 0
LogOnceReset("PAIR")
Log("PAIR New session | BTC " btcSnap.marketTicker " | ETH " ethSnap.marketTicker)
if (HasExistingPosition(btcSnap.marketTicker) || HasExistingPosition(ethSnap.marketTicker)) {
pairPhase := "HAS_POSITION"
Log("PAIR Existing BTC or ETH position found, waiting for next session")
}
}
}
} else {
pairSessionKey := sessionKey
pairPhase := "WAIT_WINDOW"
ResetPairShotState()
ClearPendingPairEntry()
assetLastPriceLogTick["PAIR"] := 0
LogOnceReset("PAIR")
Log("PAIR New session | BTC " btcSnap.marketTicker " | ETH " ethSnap.marketTicker)
if (HasExistingPosition(btcSnap.marketTicker) || HasExistingPosition(ethSnap.marketTicker)) {
pairPhase := "HAS_POSITION"
Log("PAIR Existing BTC or ETH position found, waiting for next session")
}
}
if (!IsObject(pendingPair) || PairSessionEnded(pendingPair, btcSnap, ethSnap)) {
PaperSetNoBalanceIfNeeded()
Random, pollJitterMs, 0, 250
sleepMs := pollIntervalMs + pollJitterMs
Sleep %sleepMs%
continue
}
}
if IsObject(pendingPair) {
streamPair := IsObject(activePair) ? activePair : pendingPair
LogPairStream(btcSnap, ethSnap, streamPair)
if IsObject(activePair) {
if TryExitLockedPairIfNeeded(btcSnap, ethSnap) {
Random, pollJitterMs, 0, 250
sleepMs := pollIntervalMs + pollJitterMs
Sleep %sleepMs%
continue
}
}
if PairAllPositionsOpen(pendingPair) {
activePair := pendingPair
ClearPendingPairEntry()
MarkPairShotFilled(activePair)
SetPairPositionState(activePair)
pairPhase := "IN_PAIR"
assetLastPriceLogTick["PAIR"] := 0
Log(activePair.name " shot " pairShotsFilled "/" shots " pending entry filled and locked | monitoring next shots")
if TryExitLockedPairIfNeeded(btcSnap, ethSnap) {
Random, pollJitterMs, 0, 250
sleepMs := pollIntervalMs + pollJitterMs
Sleep %sleepMs%
continue
}
} else {
pairPhase := IsObject(activePair) ? "IN_PAIR" : "BUY_PENDING"
if IsObject(activePair)
LogOnce("PAIR", "BUY_PENDING_ADD_" pendingPair.shotNumber, pendingPair.name " shot " pendingPair.shotNumber "/" shots " waiting for target quantity")
else if PairAnyPositionOpen(pendingPair)
LogOnce("PAIR", "BUY_PENDING_PARTIAL_" pendingPair.shotNumber, pendingPair.name " partial entry fill open, waiting for remaining leg(s); no unwind")
else
LogOnce("PAIR", "BUY_PENDING_" pendingPair.shotNumber, pendingPair.name " entry buy order(s) open, waiting for fill")
}
Random, pollJitterMs, 0, 250
sleepMs := pollIntervalMs + pollJitterMs
Sleep %sleepMs%
continue
}
if IsObject(activePair) {
pairPhase := "IN_PAIR"
LogPairStream(btcSnap, ethSnap, activePair)
if TryExitLockedPairIfNeeded(btcSnap, ethSnap) {
Random, pollJitterMs, 0, 250
sleepMs := pollIntervalMs + pollJitterMs
Sleep %sleepMs%
continue
}
TryNextPairShot(btcSnap, ethSnap, true)
Random, pollJitterMs, 0, 250
sleepMs := pollIntervalMs + pollJitterMs
Sleep %sleepMs%
continue
}
if (pairPhase = "BUY_FAILED") {
LogOnce("PAIR", "BUY_FAILED", "PAIR Buy failed earlier, waiting for next session")
Random, pollJitterMs, 0, 250
sleepMs := pollIntervalMs + pollJitterMs
Sleep %sleepMs%
continue
}
if (pairPhase = "EXITED") {
LogOnce("PAIR", "EXITED", "PAIR Locked pair exited, waiting for next session")
Random, pollJitterMs, 0, 250
sleepMs := pollIntervalMs + pollJitterMs
Sleep %sleepMs%
continue
}
if (pairPhase = "HAS_POSITION") {
LogOnce("PAIR", "HAS_POSITION", "PAIR Existing BTC or ETH position, waiting for next session")
Random, pollJitterMs, 0, 250
sleepMs := pollIntervalMs + pollJitterMs
Sleep %sleepMs%
continue
}
if (pairPhase = "NO_BALANCE") {
LogPairStream(btcSnap, ethSnap)
LogOnce("PAIR", "NO_BALANCE_STOP", "PAIR not enough balance, nothing left to continue | balance " PaperBalanceText())
Random, pollJitterMs, 0, 250
sleepMs := pollIntervalMs + pollJitterMs
Sleep %sleepMs%
continue
}
minsLeft := PairMinutesLeft(btcSnap, ethSnap)
inEntryWindow := (minsLeft > 0 && minsLeft <= timeDelay)
entryAllowed := (inEntryWindow && minsLeft > noEntryMinutes)
if (!inEntryWindow) {
if (minsLeft <= 0)
LogOnce("PAIR", "SESSION_ENDED", "PAIR End of session, waiting for new market")
else
LogOnce("PAIR", "WAIT_WINDOW", "PAIR Waiting for last " timeDelay " minutes")
pairPhase := "WAIT_WINDOW"
Random, pollJitterMs, 0, 250
sleepMs := pollIntervalMs + pollJitterMs
Sleep %sleepMs%
continue
}
if (!entryAllowed) {
LogPairStream(btcSnap, ethSnap)
LogOnce("PAIR", "NO_ENTRY_ZONE", "PAIR Last " noEntryMinutes " minute no-entry zone; holding only")
pairPhase := "WAIT_WINDOW"
Random, pollJitterMs, 0, 250
sleepMs := pollIntervalMs + pollJitterMs
Sleep %sleepMs%
continue
}
if (pairPhase != "MONITORING") {
pairPhase := "MONITORING"
Log("PAIR Monitoring BTC/ETH inverse sums | EntryRange " FmtEntryRange() " | BehaviorGate SYNC | Exit < " FmtPairSum(EffectivePairExit()) EffectivePairExitNote() " | Shots " pairShotsSubmitted "/" shots)
}
LogPairStream(btcSnap, ethSnap)
candidatePair := SelectPairEntry(btcSnap, ethSnap)
if !IsObject(candidatePair) {
Random, pollJitterMs, 0, 250
sleepMs := pollIntervalMs + pollJitterMs
Sleep %sleepMs%
continue
}
if !PairEntrySignalMet(candidatePair) {
Random, pollJitterMs, 0, 250
sleepMs := pollIntervalMs + pollJitterMs
Sleep %sleepMs%
continue
}
if !CanPlaceOrderNow("PAIR") {
LogOnce("PAIR", "NO_CREDS", "PAIR Missing credentials, cannot place orders")
Random, pollJitterMs, 0, 250
sleepMs := pollIntervalMs + pollJitterMs
Sleep %sleepMs%
continue
}
if (HasExistingPosition(btcSnap.marketTicker) || HasExistingPosition(ethSnap.marketTicker)) {
pairPhase := "HAS_POSITION"
Log("PAIR Existing BTC or ETH position found, waiting for next session")
Random, pollJitterMs, 0, 250
sleepMs := pollIntervalMs + pollJitterMs
Sleep %sleepMs%
continue
}
if !TrySubmitPairShot(candidatePair, false) {
pairPhase := "BUY_FAILED"
Log(candidatePair.name " pair order not filled after 4 attempts, skipping session")
}
Random, pollJitterMs, 0, 250
sleepMs := pollIntervalMs + pollJitterMs
Sleep %sleepMs%
}
LogOnce(asset, reason, msg) {
global logOnceKeys
if !IsObject(logOnceKeys)
logOnceKeys := {}
key := asset "|" reason
if (logOnceKeys.HasKey(key))
return
logOnceKeys[key] := true
Log(msg)
}
LogOnceReset(asset) {
global logOnceKeys
if !IsObject(logOnceKeys)
return
toRemove := []
for k, _ in logOnceKeys {
if (InStr(k, asset "|") = 1)
toRemove.Push(k)
}
for _, k in toRemove
logOnceKeys.Delete(k)
}
ResetPairShotState() {
global pairShotsSubmitted, pairShotsFilled, pairFilledContracts, pairLastShotTick, shots
pairShotsSubmitted := 0
pairShotsFilled := 0
pairFilledContracts := 0
pairLastShotTick := 0
}
PairShotCooldownRemainingMs() {
global pairLastShotTick, cooldownSec
if (pairLastShotTick = 0)
return 0
remaining := (cooldownSec * 1000) - (A_TickCount - pairLastShotTick)
return (remaining > 0) ? remaining : 0
}
PairShotCooldownRemainingText() {
remainingMs := PairShotCooldownRemainingMs()
if (remainingMs <= 0)
return "READY"
return Ceil(remainingMs / 1000.0) "s"
}
LogPairShotStream() {
; Pair stream is emitted from LogPairStream.
}
PairEntryWindowOpen(minsLeft) {
global timeDelay, noEntryMinutes
return (minsLeft != "" && minsLeft > noEntryMinutes && minsLeft <= timeDelay)
}
PairCanSubmitNextShot(minsLeft) {
global pairShotsSubmitted, shots, pendingPair
if (pairShotsSubmitted >= shots)
return false
if IsObject(pendingPair)
return false
if !PairEntryWindowOpen(minsLeft)
return false
if (PairShotCooldownRemainingMs() > 0)
return false
return true
}
TryNextPairShot(btcSnap, ethSnap, allowAdd := true) {
global activePair, pairShotsSubmitted, shots, noEntryMinutes
if !IsObject(activePair)
return false
minsLeft := PairMinutesLeft(btcSnap, ethSnap)
if (pairShotsSubmitted >= shots) {
LogOnce("PAIR", "SHOTS_DONE", activePair.name " max shots reached " pairShotsSubmitted "/" shots)
return false
}
if (minsLeft != "" && minsLeft <= noEntryMinutes) {
LogOnce("PAIR", "NO_ENTRY_ZONE_ACTIVE", activePair.name " last " noEntryMinutes " minute no-entry zone; holding only")
return false
}
if !PairCanSubmitNextShot(minsLeft)
return false
candidatePair := BuildPairFromName(activePair.name, btcSnap, ethSnap)
AttachPairBehavior(candidatePair, UpdatePairBehaviorState(btcSnap, ethSnap))
if !PairEntrySignalMet(candidatePair)
return false
return TrySubmitPairShot(candidatePair, allowAdd)
}
PairEntrySignalMet(pair) {
if !IsObject(pair)
return false
if !PairSumInEntryRange(pair.sum)
return false
if (!IsObject(pair.legs) || pair.legs.MaxIndex() < 2)
return false
if !PairBehaviorEntryAllowed(pair)
return false
return true
}
PreparePairShot(pair) {
global pairShotsSubmitted, orderSize
if !IsObject(pair)
return false
shotNumber := pairShotsSubmitted + 1
pair.shotNumber := shotNumber
pair.orderSize := orderSize
for _, leg in pair.legs {
beforeQty := GetExistingPositionQty(leg.ticker)
if (beforeQty = "" || beforeQty < 0)
beforeQty := 0
if (beforeQty = 0) {
trackedQty := PairTrackedContracts()
if (trackedQty > 0)
beforeQty := trackedQty
}
leg.beforeQty := beforeQty
leg.targetQty := beforeQty + orderSize
leg.count := orderSize
}
return true
}
TrySubmitPairShot(candidatePair, allowAdd := false) {
global activePair, pendingPair, pairPhase, assetLastPriceLogTick, pairShotsSubmitted, shots
if !IsObject(candidatePair)
return false
if (pairShotsSubmitted >= shots)
return false
if !CanPlaceOrderNow("PAIR") {
LogOnce("PAIR", "NO_CREDS", "PAIR Missing credentials, cannot place orders")
return false
}
if !PreparePairShot(candidatePair)
return false
if !PaperEnsureCanAffordEntry(candidatePair)
return true
behaviorText := candidatePair.HasKey("behaviorState") ? " | Behavior " candidatePair.behaviorState " score " FmtBehaviorScore(candidatePair.behaviorScore) : ""
Log(candidatePair.name " shot " candidatePair.shotNumber "/" shots " triggered @ sum " FmtPairSum(candidatePair.sum) " in range " FmtEntryRange() behaviorText " | BTC " candidatePair.btcTicker " | ETH " candidatePair.ethTicker " | placing " candidatePair.orderSize " contracts per leg")
buyConfirmed := false
loop, 4 {
if (A_Index > 1 && PairAllPositionsOpen(candidatePair)) {
Log(candidatePair.name " shot " candidatePair.shotNumber " positions detected before retry " A_Index)
buyConfirmed := true
break
}
buyResult := BuyPairPosition(candidatePair, allowAdd)
if (buyResult) {
Log(candidatePair.name " shot " candidatePair.shotNumber " position confirmed")
buyConfirmed := true
break
}
if IsObject(pendingPair) {
Log(candidatePair.name " shot " pendingPair.shotNumber " entry pending, waiting for remaining fill")
break
}
if (A_Index < 4) {
Log(candidatePair.name " shot " candidatePair.shotNumber " pair retry " A_Index "/3")
Sleep 1000
}
}
if (buyConfirmed) {
MarkPairShotSubmitted(candidatePair)
MarkPairShotFilled(candidatePair)
activePair := candidatePair
SetPairPositionState(activePair)
pairPhase := "IN_PAIR"
assetLastPriceLogTick["PAIR"] := 0
Log(activePair.name " shot " pairShotsSubmitted "/" shots " locked | monitoring next shots")
return true
}
if IsObject(pendingPair) {
MarkPairShotSubmitted(pendingPair)
pairPhase := IsObject(activePair) ? "IN_PAIR" : "BUY_PENDING"
LogOnce("PAIR", "BUY_PENDING_" pendingPair.shotNumber, pendingPair.name " shot " pendingPair.shotNumber "/" shots " entry submitted, waiting for fill")
return true
}
return false
}
MarkPairShotSubmitted(pair) {
global pairShotsSubmitted, pairLastShotTick
if !IsObject(pair)
return
if (pair.HasKey("shotNumber") && pair.shotNumber > pairShotsSubmitted)
pairShotsSubmitted := pair.shotNumber
pairLastShotTick := A_TickCount
LogPairShotStream()
}
MarkPairShotFilled(pair) {
global pairShotsFilled, pairFilledContracts, orderSize
if !IsObject(pair)
return
if (pair.HasKey("shotNumber") && pair.shotNumber > pairShotsFilled)
pairShotsFilled := pair.shotNumber
marketQty := PairFilledContractsFromMarket(pair)
if (marketQty != "")
pairFilledContracts := marketQty
else
pairFilledContracts := pairShotsFilled * orderSize
pair.filledContracts := pairFilledContracts
LogPairShotStream()
}
PairTrackedContracts() {
global pairFilledContracts, pairShotsFilled, orderSize
if (pairFilledContracts > 0)
return pairFilledContracts
if (pairShotsFilled > 0)
return pairShotsFilled * orderSize
return 0
}
PairFilledContractsFromMarket(pair) {
minQty := ""
if !IsObject(pair)
return ""
for _, leg in pair.legs {
qty := GetExistingPositionQty(leg.ticker)
if (qty = "")
return ""
if (minQty = "" || qty < minQty)
minQty := qty
}
return minQty
}
BuildPairSessionKey(btcSnap, ethSnap) {
btcKey := (IsObject(btcSnap) && btcSnap.marketTicker != "") ? btcSnap.marketTicker : "BTC_" CurrentQuarterIndex()
ethKey := (IsObject(ethSnap) && ethSnap.marketTicker != "") ? ethSnap.marketTicker : "ETH_" CurrentQuarterIndex()
return btcKey "|" ethKey
}
PairSnapshotsAligned(btcSnap, ethSnap) {
if (!IsObject(btcSnap) || !IsObject(ethSnap))
return false
btcSuffix := PairMarketSuffix(btcSnap.marketTicker)
ethSuffix := PairMarketSuffix(ethSnap.marketTicker)
if (btcSuffix != "" && ethSuffix != "" && btcSuffix != ethSuffix)
return false
btcClose := btcSnap.HasKey("closeTime") ? btcSnap.closeTime : ""
ethClose := ethSnap.HasKey("closeTime") ? ethSnap.closeTime : ""
if (btcClose != "" && ethClose != "" && btcClose != ethClose)
return false
return true
}
PairMarketSuffix(ticker) {
if (ticker = "")
return ""
pos := InStr(ticker, "-")
if (!pos)
return ticker
return SubStr(ticker, pos + 1)
}
PairMinutesLeft(btcSnap, ethSnap) {
btcMins := SnapshotMinutesLeft(btcSnap)
ethMins := SnapshotMinutesLeft(ethSnap)
if (btcMins = "" && ethMins = "")
return MinutesRemainingInQuarter()
if (btcMins = "")
return ethMins
if (ethMins = "")
return btcMins
return (btcMins < ethMins) ? btcMins : ethMins
}
BuildPairSums(btcSnap, ethSnap) {
sums := {}
sums.upDown := ""
sums.downUp := ""
if (IsObject(btcSnap) && IsObject(ethSnap)) {
if (btcSnap.up != "" && ethSnap.down != "")
sums.upDown := (btcSnap.up + 0) + (ethSnap.down + 0)
if (btcSnap.down != "" && ethSnap.up != "")
sums.downUp := (btcSnap.down + 0) + (ethSnap.up + 0)
}
return sums
}
SelectPairEntry(btcSnap, ethSnap) {
sums := BuildPairSums(btcSnap, ethSnap)
behavior := UpdatePairBehaviorState(btcSnap, ethSnap)
selected := ""
if (PairSumInEntryRange(sums.upDown))
selected := "BTC_UP_ETH_DOWN"
if (PairSumInEntryRange(sums.downUp)) {
if (selected = "" || sums.downUp < sums.upDown)
selected := "BTC_DOWN_ETH_UP"
}
if (selected = "")
return false
pair := BuildPairFromName(selected, btcSnap, ethSnap)
AttachPairBehavior(pair, behavior)
return pair
}
BuildPairFromName(name, btcSnap, ethSnap) {
if (!IsObject(btcSnap) || !IsObject(ethSnap))
return false
pair := {}
pair.name := name
pair.quarterIndex := CurrentQuarterIndex()
pair.btcTicker := btcSnap.marketTicker
pair.ethTicker := ethSnap.marketTicker
pair.legs := []
PaperRememberLatestSnapshots(pair, btcSnap, ethSnap)
if (name = "BTC_UP_ETH_DOWN") {
if (btcSnap.up = "" || ethSnap.down = "")
return false
pair.sum := (btcSnap.up + 0) + (ethSnap.down + 0)
pair.legs.Push({ asset: "BTC", ticker: btcSnap.marketTicker, side: "UP", price: btcSnap.up + 0 })
pair.legs.Push({ asset: "ETH", ticker: ethSnap.marketTicker, side: "DOWN", price: ethSnap.down + 0 })
return pair
}
if (name = "BTC_DOWN_ETH_UP") {
if (btcSnap.down = "" || ethSnap.up = "")
return false
pair.sum := (btcSnap.down + 0) + (ethSnap.up + 0)
pair.legs.Push({ asset: "BTC", ticker: btcSnap.marketTicker, side: "DOWN", price: btcSnap.down + 0 })
pair.legs.Push({ asset: "ETH", ticker: ethSnap.marketTicker, side: "UP", price: ethSnap.up + 0 })
return pair
}
return false
}
PairCurrentSum(pair, btcSnap, ethSnap) {
if !IsObject(pair)
return ""
if (pair.name = "BTC_UP_ETH_DOWN") {
if (IsObject(btcSnap) && IsObject(ethSnap) && btcSnap.up != "" && ethSnap.down != "")
return (btcSnap.up + 0) + (ethSnap.down + 0)
return ""
}
if (pair.name = "BTC_DOWN_ETH_UP") {
if (IsObject(btcSnap) && IsObject(ethSnap) && btcSnap.down != "" && ethSnap.up != "")
return (btcSnap.down + 0) + (ethSnap.up + 0)
return ""
}
return ""
}
LogPairStream(btcSnap, ethSnap, lockedPair := "") {
sums := BuildPairSums(btcSnap, ethSnap)
UpdatePairBehaviorState(btcSnap, ethSnap)
if IsObject(lockedPair)
PaperRememberLatestSnapshots(lockedPair, btcSnap, ethSnap)
LogStream("bUP-eDOWN", FmtPairSum(sums.upDown))
LogStream("eUP-bDOWN", FmtPairSum(sums.downUp))
LogStream("P/L", FmtSignedMoney(PaperLivePnl(btcSnap, ethSnap)))
LogStream("wins", PaperWinsText())
LogStream("balance", PaperBalanceText(btcSnap, ethSnap))
LogStream("cooldown", PairShotCooldownRemainingText())
}
PairLegSummary(pair) {
if !IsObject(pair)
return ""
summary := ""
for _, leg in pair.legs {
if (summary != "")
summary .= " + "
summary .= leg.asset " " leg.side " " FmtOrNA(leg.price)
}
return summary
}
FmtPairSum(value) {
if (value = "")
return "n/a"
return Round(value + 0, 4)
}
EntryRangeMin() {
global EntryRange
if (!IsObject(EntryRange) || EntryRange.MaxIndex() < 2)
return ""
minValue := EntryRange[1] + 0
maxValue := EntryRange[2] + 0
return (minValue <= maxValue) ? minValue : maxValue
}
EntryRangeMax() {
global EntryRange
if (!IsObject(EntryRange) || EntryRange.MaxIndex() < 2)
return ""
minValue := EntryRange[1] + 0
maxValue := EntryRange[2] + 0
return (minValue <= maxValue) ? maxValue : minValue
}
PairSumInEntryRange(sum) {
minValue := EntryRangeMin()
maxValue := EntryRangeMax()
if (sum = "" || minValue = "" || maxValue = "")
return false
value := sum + 0
return (value >= minValue && value <= maxValue)
}
FmtEntryRange() {
minValue := EntryRangeMin()
maxValue := EntryRangeMax()
if (minValue = "" || maxValue = "")
return "n/a"
return FmtPairSum(minValue) "-" FmtPairSum(maxValue)
}
EffectivePairExit() {
global PairExit, paperLossExitFloor
configuredExit := PairExit + 0
if (configuredExit <= 0 && paperLossExitFloor > 0)
return paperLossExitFloor + 0
return configuredExit
}
EffectivePairExitNote() {
global PairExit, paperLossExitFloor
if ((PairExit + 0) <= 0 && paperLossExitFloor > 0)
return " (PairExit 0 -> " FmtPairSum(paperLossExitFloor) " paper loss floor)"
return ""
}
AttachPairBehavior(pair, behavior) {
if (!IsObject(pair) || !IsObject(behavior))
return
pair.behaviorState := behavior.state
pair.behaviorScore := behavior.score
pair.btcMoveBps := behavior.btcMoveBps
pair.ethMoveBps := behavior.ethMoveBps
}
PairBehaviorEntryAllowed(pair) {
global pairBehaviorState, pairBehaviorScore
state := pairBehaviorState
score := pairBehaviorScore
if (IsObject(pair) && pair.HasKey("behaviorState")) {
state := pair.behaviorState
score := pair.HasKey("behaviorScore") ? pair.behaviorScore : ""
}
if (state = "SYNC")
return true
if (state = "")
state := "WAITING"
pairName := (IsObject(pair) && pair.HasKey("name")) ? pair.name : "PAIR"
pairSum := (IsObject(pair) && pair.HasKey("sum")) ? FmtPairSum(pair.sum) : "n/a"
LogOnce("PAIR", "WAIT_BEHAVIOR_" CurrentQuarterIndex() "_" state, pairName " entry in range " pairSum " but behavior " state " score " FmtBehaviorScore(score) "; waiting for SYNC")
return false
}
ResetPairBehaviorState(sessionKey := "") {
global pairBehaviorSessionKey, pairBehaviorBtcOpen, pairBehaviorEthOpen
global pairBehaviorLastUpdateTick, pairBehaviorPrevBtcMoveBps, pairBehaviorPrevEthMoveBps
global pairBehaviorEmaScore, pairBehaviorState, pairBehaviorScore, pairBehaviorHistory
global assetPriceCache, assetPriceRefreshTick
pairBehaviorSessionKey := sessionKey
pairBehaviorBtcOpen := ""
pairBehaviorEthOpen := ""
pairBehaviorLastUpdateTick := 0
pairBehaviorPrevBtcMoveBps := ""
pairBehaviorPrevEthMoveBps := ""
pairBehaviorEmaScore := ""
pairBehaviorState := "WAITING"
pairBehaviorScore := ""
pairBehaviorHistory := []
if IsObject(assetPriceCache) {
assetPriceCache.Delete("BTC")
assetPriceCache.Delete("ETH")
}
if IsObject(assetPriceRefreshTick) {
assetPriceRefreshTick.Delete("BTC")
assetPriceRefreshTick.Delete("ETH")
}
}
UpdatePairBehaviorState(btcSnap, ethSnap) {
global BehaviorLookbackMs, BehaviorSignEpsBps, BehaviorEmaAlpha
global pairBehaviorSessionKey, pairBehaviorBtcOpen, pairBehaviorEthOpen
global pairBehaviorLastUpdateTick, pairBehaviorPrevBtcMoveBps, pairBehaviorPrevEthMoveBps
global pairBehaviorEmaScore, pairBehaviorState, pairBehaviorScore
sessionKey := BuildPairSessionKey(btcSnap, ethSnap)
nowTick := A_TickCount
if (pairBehaviorSessionKey = "" || pairBehaviorSessionKey != sessionKey)
ResetPairBehaviorState(sessionKey)
if (pairBehaviorLastUpdateTick != 0 && (nowTick - pairBehaviorLastUpdateTick) < 250)
return PairBehaviorSnapshot()
btcObj := GetCachedKalshiPriceObj("BTC")
ethObj := GetCachedKalshiPriceObj("ETH")
btcPrice := PriceObjCurrent(btcObj)
ethPrice := PriceObjCurrent(ethObj)
if (btcPrice = "" || ethPrice = "" || btcPrice <= 0 || ethPrice <= 0) {
pairBehaviorState := "WAITING"
pairBehaviorScore := ""
return PairBehaviorSnapshot()
}
if (pairBehaviorBtcOpen = "") {
btcOpen := PriceObjOpen(btcObj)
pairBehaviorBtcOpen := (btcOpen != "" && btcOpen > 0) ? btcOpen + 0 : btcPrice + 0
}
if (pairBehaviorEthOpen = "") {
ethOpen := PriceObjOpen(ethObj)
pairBehaviorEthOpen := (ethOpen != "" && ethOpen > 0) ? ethOpen + 0 : ethPrice + 0
}
if (pairBehaviorBtcOpen <= 0 || pairBehaviorEthOpen <= 0) {
pairBehaviorState := "WAITING"
pairBehaviorScore := ""
return PairBehaviorSnapshot()
}
btcMoveBps := Ln((btcPrice + 0) / (pairBehaviorBtcOpen + 0)) * 10000.0
ethMoveBps := Ln((ethPrice + 0) / (pairBehaviorEthOpen + 0)) * 10000.0
lookback := PairBehaviorLookbackPoint(nowTick)
if IsObject(lookback) {
btcVelocity := btcMoveBps - lookback.btcMoveBps
ethVelocity := ethMoveBps - lookback.ethMoveBps
} else {
btcVelocity := 0
ethVelocity := 0
}
btcSign := BehaviorSign(btcMoveBps)
ethSign := BehaviorSign(ethMoveBps)
distance := Abs(btcMoveBps - ethMoveBps)
momentumGap := Abs(btcVelocity - ethVelocity)
opposite := (btcSign != 0 && ethSign != 0 && btcSign != ethSign)
delayed := (btcSign != ethSign && !opposite)
if (opposite) {
stateName := "DIVERGENCE"
rawScore := -(distance + 14 + momentumGap * 2)
} else if (delayed) {
stateName := "DELAYED FOLLOW"
rawScore := -(distance * 0.85 + 6 + momentumGap * 1.5)
} else {
instability := distance * 0.42 + momentumGap * 1.2
rawScore := 10 - instability
minMove := Abs(btcMoveBps)
if (Abs(ethMoveBps) < minMove)
minMove := Abs(ethMoveBps)
if (rawScore < 0 || (minMove < 1 && momentumGap > 0.4)) {
stateName := "CROSSOVER INSTABILITY"
altScore := instability - 8
if (altScore < 1)
altScore := 1
altScore := -altScore
if (altScore < rawScore)
rawScore := altScore
} else {
stateName := "SYNC"
}
}
if (pairBehaviorEmaScore = "")
pairBehaviorEmaScore := rawScore
else
pairBehaviorEmaScore := pairBehaviorEmaScore + BehaviorEmaAlpha * (rawScore - pairBehaviorEmaScore)
pairBehaviorState := stateName
pairBehaviorScore := pairBehaviorEmaScore
pairBehaviorPrevBtcMoveBps := btcMoveBps
pairBehaviorPrevEthMoveBps := ethMoveBps
pairBehaviorLastUpdateTick := nowTick
PairBehaviorPushHistory(nowTick, btcMoveBps, ethMoveBps)
return PairBehaviorSnapshot()
}
PairBehaviorSnapshot() {
global pairBehaviorState, pairBehaviorScore, pairBehaviorPrevBtcMoveBps, pairBehaviorPrevEthMoveBps
obj := {}
obj.state := (pairBehaviorState != "") ? pairBehaviorState : "WAITING"
obj.score := pairBehaviorScore
obj.btcMoveBps := pairBehaviorPrevBtcMoveBps
obj.ethMoveBps := pairBehaviorPrevEthMoveBps
return obj
}
PairBehaviorPushHistory(tick, btcMoveBps, ethMoveBps) {
global pairBehaviorHistory, BehaviorLookbackMs
if !IsObject(pairBehaviorHistory)
pairBehaviorHistory := []
pairBehaviorHistory.Push({ tick: tick, btcMoveBps: btcMoveBps, ethMoveBps: ethMoveBps })
cutoff := tick - (BehaviorLookbackMs * 3)
while (pairBehaviorHistory.MaxIndex() != "" && pairBehaviorHistory[1].tick < cutoff)
pairBehaviorHistory.RemoveAt(1)
}
PairBehaviorLookbackPoint(tick) {
global pairBehaviorHistory, BehaviorLookbackMs
if !IsObject(pairBehaviorHistory)
return ""
target := tick - BehaviorLookbackMs
lookback := ""
for _, point in pairBehaviorHistory {
if (point.tick <= target)
lookback := point
else
break
}
return lookback
}
BehaviorSign(value) {
global BehaviorSignEpsBps
if (value = "" || Abs(value + 0) <= BehaviorSignEpsBps)
return 0
return (value > 0) ? 1 : -1
}
PriceObjCurrent(obj) {
if !IsObject(obj)
return ""
fields := ["price", "underlyingCurrent", "underlying_current", "current", "close"]
for _, field in fields {
if (obj.HasKey(field) && obj[field] != "" && obj[field] > 0)
return obj[field] + 0
}
return ""
}
PriceObjOpen(obj) {
if !IsObject(obj)
return ""
fields := ["open15m", "underlyingOpen", "underlying_open", "open"]
for _, field in fields {
if (obj.HasKey(field) && obj[field] != "" && obj[field] > 0)
return obj[field] + 0
}
return ""
}
FmtBehaviorScore(value) {
if (value = "")
return "n/a"
value := value + 0
if (Abs(value) >= 100)
return Round(value, 1)
return Round(value, 2)
}
FmtMoneyAbs(value) {
return Round(Abs(value + 0), 2)
}
FmtMoney(value) {
value := value + 0
if (value < 0)
return "-$" FmtMoneyAbs(value)
return "$" FmtMoneyAbs(value)
}
FmtSignedMoney(value) {
value := value + 0
if (value < 0)
return "-$" FmtMoneyAbs(value)
return "+$" FmtMoneyAbs(value)
}
PaperWinsText() {
global paperResolutionWins, paperCompletedSessions
return paperResolutionWins "/" paperCompletedSessions
}
PaperMarketKey(pair) {
if !IsObject(pair)
return ""
return pair.btcTicker "|" pair.ethTicker
}
PaperRememberLatestSnapshots(pair, btcSnap, ethSnap) {
if !IsObject(pair)
return
if IsObject(btcSnap)
pair.lastBtcSnap := btcSnap
if IsObject(ethSnap)
pair.lastEthSnap := ethSnap
}
PaperRegisterMarketParticipation(pair) {
global paperParticipatedMarkets, paperMarketsParticipated
key := PaperMarketKey(pair)
if (key = "")
return
if !paperParticipatedMarkets.HasKey(key) {
paperParticipatedMarkets[key] := true
paperMarketsParticipated++
}
}
PaperRegisterCompletedSession(pair) {
global paperCompletedMarkets, paperCompletedSessions
key := PaperMarketKey(pair)
if (key = "")
return
if !paperCompletedMarkets.HasKey(key) {
paperCompletedMarkets[key] := true
paperCompletedSessions++
}
}
PaperCurrentLegPrice(asset, side, btcSnap, ethSnap) {
snap := (asset = "BTC") ? btcSnap : ethSnap
if !IsObject(snap)
return ""
if (side = "UP")
return snap.up
return snap.down
}
PaperResolutionLegValue(leg, pair) {
if (!IsObject(leg) || !IsObject(pair))
return 0
snap := (leg.asset = "BTC") ? pair.lastBtcSnap : pair.lastEthSnap
if !IsObject(snap)
return 0
up := snap.up
down := snap.down
if (up = "" || down = "")
return 0
if (leg.side = "UP")
return ((up + 0) >= (down + 0)) ? 1 : 0
return ((down + 0) > (up + 0)) ? 1 : 0
}
PaperAddPosition(ticker, asset, side, qty) {
global paperPositionsByTicker
if (ticker = "" || qty <= 0)
return
if paperPositionsByTicker.HasKey(ticker) {
pos := paperPositionsByTicker[ticker]
pos.qty := (pos.qty + 0) + (qty + 0)
paperPositionsByTicker[ticker] := pos
return
}
paperPositionsByTicker[ticker] := { asset: asset, side: side, qty: qty + 0 }
}
PaperPositionQty(ticker) {
global paperPositionsByTicker
if (ticker = "" || !paperPositionsByTicker.HasKey(ticker))
return 0
pos := paperPositionsByTicker[ticker]
if !IsObject(pos)
return 0
return pos.qty + 0
}
PaperClearPositionsForPair(pair) {
global paperPositionsByTicker
if !IsObject(pair)
return
for _, leg in pair.legs {
if (leg.ticker != "" && paperPositionsByTicker.HasKey(leg.ticker))
paperPositionsByTicker.Delete(leg.ticker)
}
}
PaperBuyPair(pair) {
global paperCash, paperOpenTrades, orderSize
if !IsObject(pair)
return false
if !PaperEnsureCanAffordEntry(pair)
return false
trade := {}
trade.marketKey := PaperMarketKey(pair)
trade.pairName := pair.name
trade.btcTicker := pair.btcTicker
trade.ethTicker := pair.ethTicker
trade.legs := []
trade.entryCost := 0
pairQty := ""
for _, leg in pair.legs {
legCount := (leg.HasKey("count") && leg.count != "") ? (leg.count + 0) : (orderSize + 0)
legPrice := leg.price + 0
if (pairQty = "" || legCount < pairQty)
pairQty := legCount
trade.entryCost += legPrice * legCount
trade.legs.Push({ asset: leg.asset, ticker: leg.ticker, side: leg.side, entry: legPrice, qty: legCount })
PaperAddPosition(leg.ticker, leg.asset, leg.side, legCount)
}
if (pairQty = "")
pairQty := orderSize + 0
trade.qty := pairQty
paperCash -= trade.entryCost
paperOpenTrades.Push(trade)
PaperRegisterMarketParticipation(pair)
Log(pair.name " PAPER entry filled @ exact sum " FmtPairSum(trade.entryCost / pairQty) " | cost " FmtMoney(trade.entryCost) " | cash " FmtMoney(paperCash) " | balance " PaperBalanceText())
return true
}
PaperOpenValue(btcSnap := "", ethSnap := "") {
global paperOpenTrades
value := 0
for _, trade in paperOpenTrades {
for _, leg in trade.legs {
legPrice := PaperCurrentLegPrice(leg.asset, leg.side, btcSnap, ethSnap)
if (legPrice = "" && leg.HasKey("entry"))
legPrice := leg.entry
if (legPrice != "")
value += (legPrice + 0) * (leg.qty + 0)
}
}
return value
}
PaperLivePnl(btcSnap := "", ethSnap := "") {
global InitialBalance, paperCash, paperLastPnl
paperLastPnl := (paperCash + PaperOpenValue(btcSnap, ethSnap)) - InitialBalance
return paperLastPnl
}
PaperEquity(btcSnap := "", ethSnap := "") {
global paperCash
return (paperCash + 0) + PaperOpenValue(btcSnap, ethSnap)
}
PaperBalanceText(btcSnap := "", ethSnap := "") {
return FmtMoney(PaperEquity(btcSnap, ethSnap))
}
PaperAvailableCashText() {
global paperCash
return FmtMoney(paperCash)
}
PaperEntryCostInfo(pair) {
global orderSize
info := {}
info.cost := 0
info.qty := 0
if !IsObject(pair)
return info
pairQty := ""
for _, leg in pair.legs {
legCount := (leg.HasKey("count") && leg.count != "") ? (leg.count + 0) : (orderSize + 0)
legPrice := leg.price + 0
if (pairQty = "" || legCount < pairQty)
pairQty := legCount
info.cost += legPrice * legCount
}
info.qty := (pairQty = "") ? (orderSize + 0) : pairQty
return info
}
PaperMinimumEntryCost() {
global orderSize
minValue := EntryRangeMin()
if (minValue = "")
return ""
return (minValue + 0) * (orderSize + 0)
}
PaperCanAffordMinimumEntry() {
global paperCash
minCost := PaperMinimumEntryCost()
if (minCost = "")
return (paperCash > 0)
return ((paperCash + 0.000001) >= (minCost + 0))
}
PaperEnsureCanAffordEntry(pair) {
global paperCash, pairPhase, activePair
info := PaperEntryCostInfo(pair)
required := info.cost + 0
available := paperCash + 0
if (available + 0.000001 >= required)
return true
pairName := (IsObject(pair) && pair.HasKey("name")) ? pair.name : "PAIR"
LogOnce("PAIR", "NO_BALANCE_ENTRY_" CurrentQuarterIndex(), pairName " PAPER entry blocked: not enough balance | required " FmtMoney(required) " | cash " FmtMoney(available) " | balance " PaperBalanceText())
if (!IsObject(activePair) && !PaperCanAffordMinimumEntry()) {
pairPhase := "NO_BALANCE"
LogOnce("PAIR", "NO_BALANCE_STOP", "PAIR not enough balance, nothing left to continue | balance " PaperBalanceText())
}
return false
}
PaperSetNoBalanceIfNeeded() {
global activePair, pendingPair, pairPhase
if (IsObject(activePair) || IsObject(pendingPair))
return false
if PaperCanAffordMinimumEntry()
return false
pairPhase := "NO_BALANCE"
LogOnce("PAIR", "NO_BALANCE_STOP", "PAIR not enough balance, nothing left to continue | balance " PaperBalanceText())
return true
}
PaperClosePair(pair, btcSnap := "", ethSnap := "", mode := "EXIT") {
global paperCash, paperOpenTrades, paperResolutionWins, paperLosses, paperStopLosses, paperBreakEvens
result := {}
result.trades := 0
result.contracts := 0
result.entryCost := 0
result.revenue := 0
result.resolutionValue := 0
result.pnl := 0
result.outcome := ""
if !IsObject(pair)
return result
PaperRememberLatestSnapshots(pair, btcSnap, ethSnap)
key := PaperMarketKey(pair)
kept := []
for _, trade in paperOpenTrades {
if (trade.marketKey != key) {
kept.Push(trade)
continue
}
tradeRevenue := 0
tradeResolutionValue := 0
for _, leg in trade.legs {
if (mode = "RESOLUTION") {
legValue := PaperResolutionLegValue(leg, pair)
legRevenue := legValue * (leg.qty + 0)
tradeResolutionValue += legValue
} else {
legPrice := PaperCurrentLegPrice(leg.asset, leg.side, btcSnap, ethSnap)
if (legPrice = "")
legPrice := 0
legRevenue := (legPrice + 0) * (leg.qty + 0)
}
tradeRevenue += legRevenue
}
result.trades++
result.contracts += trade.qty + 0
result.entryCost += trade.entryCost + 0
result.revenue += tradeRevenue
if (tradeResolutionValue > result.resolutionValue)
result.resolutionValue := tradeResolutionValue
paperCash += tradeRevenue
}
paperOpenTrades := kept
PaperClearPositionsForPair(pair)
result.pnl := result.revenue - result.entryCost
if (result.trades > 0) {
PaperRegisterCompletedSession(pair)
if (result.pnl > 0) {
paperResolutionWins++
result.outcome := "WIN"
} else if (result.pnl < 0) {
paperLosses++
if (mode = "EXIT")
paperStopLosses++
result.outcome := "LOSS"
} else {
paperBreakEvens++
result.outcome := "BREAKEVEN"
}
}
return result
}
SetPairPositionState(pair) {
global positions
if !IsObject(pair)
return
for _, leg in pair.legs {
pos := {}
pos.side := leg.side
pos.entry := leg.price
pos.ticker := leg.ticker
pos.quarterIndex := pair.quarterIndex
pos.pairName := pair.name
pos.qty := GetExistingPositionQty(leg.ticker)
positions[leg.asset] := pos
}
}
ClearPairPositionState() {
global activePair, positions
if IsObject(positions) {
if (positions.HasKey("BTC"))
positions.Delete("BTC")
if (positions.HasKey("ETH"))
positions.Delete("ETH")
}
activePair := ""
}
ClearPendingPairEntry() {
global pendingPair, pendingEntryOrderIds
pendingPair := ""
pendingEntryOrderIds := []
}
SetPendingPairEntry(pair, orderIds := "") {
global pendingPair, pendingEntryOrderIds
pendingPair := pair
pendingEntryOrderIds := IsObject(orderIds) ? orderIds : []
}
HasSubmittedOrderIds(orderIds) {
return (IsObject(orderIds) && orderIds.MaxIndex() != "")
}
PairSessionEnded(pair, btcSnap := "", ethSnap := "") {
if !IsObject(pair)
return false
if (pair.HasKey("quarterIndex") && CurrentQuarterIndex() != pair.quarterIndex)
return true
if (IsObject(btcSnap) && btcSnap.marketTicker != "" && pair.HasKey("btcTicker") && pair.btcTicker != "" && btcSnap.marketTicker != pair.btcTicker)
return true
if (IsObject(ethSnap) && ethSnap.marketTicker != "" && pair.HasKey("ethTicker") && pair.ethTicker != "" && ethSnap.marketTicker != pair.ethTicker)
return true
return false
}
MarkPairHeldToResolution() {
global activePair, pairPhase
if !IsObject(activePair)
return
paperResult := PaperClosePair(activePair, activePair.lastBtcSnap, activePair.lastEthSnap, "RESOLUTION")
Log(activePair.name " PAPER held to resolution | " paperResult.outcome " | payout value " FmtPairSum(paperResult.resolutionValue) " | revenue " FmtMoney(paperResult.revenue) " | close P/L " FmtSignedMoney(paperResult.pnl) " | total P/L " FmtSignedMoney(PaperLivePnl()))
ClearPairPositionState()
ResetPairShotState()
ClearKalshiMarketCache("BTC")
ClearKalshiMarketCache("ETH")
pairPhase := PaperCanAffordMinimumEntry() ? "WAIT_WINDOW" : "NO_BALANCE"
if (pairPhase = "NO_BALANCE")
LogOnce("PAIR", "NO_BALANCE_STOP", "PAIR not enough balance, nothing left to continue | balance " PaperBalanceText())
}
TryExitLockedPairIfNeeded(btcSnap, ethSnap) {
global activePair, pendingPair, pendingEntryOrderIds, pairPhase, PairExit
if !IsObject(activePair)
return false
PaperRememberLatestSnapshots(activePair, btcSnap, ethSnap)
lockedSum := PairCurrentSum(activePair, btcSnap, ethSnap)
effectiveExit := EffectivePairExit()
if (lockedSum = "" || lockedSum >= effectiveExit)
return false
Log(activePair.name " PAPER exit triggered @ locked sum " FmtPairSum(lockedSum) " < " FmtPairSum(effectiveExit) EffectivePairExitNote() " | calculating exit at exact current prices")
if IsObject(pendingPair) {
CancelKalshiOrders(pendingEntryOrderIds)
ClearPendingPairEntry()
Log(activePair.name " canceled pending add-on buy order(s) before exit")
}
if ExitPairPosition(activePair, btcSnap, ethSnap) {
Log(activePair.name " PAPER exit confirmed | P/L " FmtSignedMoney(PaperLivePnl(btcSnap, ethSnap)))
ClearPairPositionState()
ResetPairShotState()
ClearKalshiMarketCache("BTC")
ClearKalshiMarketCache("ETH")
pairPhase := PaperCanAffordMinimumEntry() ? "EXITED" : "NO_BALANCE"
if (pairPhase = "NO_BALANCE")
LogOnce("PAIR", "NO_BALANCE_STOP", "PAIR not enough balance, nothing left to continue | balance " PaperBalanceText(btcSnap, ethSnap))
} else {
Log(activePair.name " PAPER EXIT FAILED; will retry while locked sum remains below " FmtPairSum(effectiveExit))
}
return true
}
ExitPairPosition(pair, btcSnap := "", ethSnap := "") {
if !IsObject(pair)
return true
paperResult := PaperClosePair(pair, btcSnap, ethSnap, "EXIT")
Log(pair.name " PAPER exit @ exact current prices | " paperResult.outcome " | revenue " FmtMoney(paperResult.revenue) " | close P/L " FmtSignedMoney(paperResult.pnl) " | closed " paperResult.contracts " pair contracts")
return true
}
BuildPairExitLegs(pair) {
exitLegs := []
if !IsObject(pair)
return exitLegs
for _, leg in pair.legs {
qty := GetExistingPositionQty(leg.ticker)
if (qty = "" || qty <= 0) {
if !HasExistingPosition(leg.ticker)
continue
qty := PairTrackedContracts()
}
qty := Floor(qty + 0)
if (qty < 1)
continue
exitLegs.Push({ asset: leg.asset, ticker: leg.ticker, side: leg.side, price: 0, count: qty })
Log(pair.name " exit leg " leg.asset " " leg.side " " leg.ticker " qty " qty)
}
return exitLegs
}
PairAllPositionsOpen(pair) {
if !IsObject(pair)
return false
for _, leg in pair.legs {
if (leg.HasKey("targetQty")) {
qty := GetExistingPositionQty(leg.ticker)
if (qty = "") {
if !HasExistingPosition(leg.ticker)
return false
if (leg.HasKey("beforeQty") && (leg.beforeQty + 0) > 0)
return false
continue
}
if ((qty + 0.0001) < (leg.targetQty + 0))
return false
} else {
if !HasExistingPosition(leg.ticker)
return false
}
}
return true
}
PairAnyPositionOpen(pair) {
if !IsObject(pair)
return false
for _, leg in pair.legs {
if HasExistingPosition(leg.ticker)
return true
}
return false
}
BuyPairPosition(pair, allowAdd := false) {
if !IsObject(pair)
return false
return PaperBuyPair(pair)
}
PositionSessionEnded(asset, snapshot := "") {
global positions
if !IsObject(positions[asset])
return false
pos := positions[asset]
if (IsObject(snapshot) && snapshot.marketTicker != "" && pos.HasKey("ticker") && pos.ticker != "" && snapshot.marketTicker != pos.ticker)
return true
if (pos.HasKey("quarterIndex") && CurrentQuarterIndex() != pos.quarterIndex)
return true
return false
}
MarkHeldToResolution(asset) {
global positions, assetPhase
if !IsObject(positions[asset])
return
pos := positions[asset]
Log(asset " " pos.side " held to resolution")
positions.Delete(asset)
ClearKalshiMarketCache(asset)
assetPhase[asset] := "WAIT_WINDOW"
}
UpdateKalshiLogStream(asset, snapshot) {
return ""
}
LogMonitoringStream(asset, snapshot, livePrice := "", LiveDelta := "") {
return
}
GetCachedKalshiPriceObj(asset) {
global assetPriceCache, assetPriceRefreshTick, priceRefreshMs
nowTick := A_TickCount
if (assetPriceCache.HasKey(asset) && assetPriceRefreshTick.HasKey(asset)) {
if ((nowTick - assetPriceRefreshTick[asset]) < priceRefreshMs)
return assetPriceCache[asset]
}
priceObj := GetKalshiPrice(asset)
assetPriceRefreshTick[asset] := nowTick
if (IsObject(priceObj) && priceObj.HasKey("price") && priceObj.price > 0) {
assetPriceCache[asset] := priceObj
return priceObj
}
if (assetPriceCache.HasKey(asset))
return assetPriceCache[asset]
return ""
}
GetCachedKalshiAssetPrice(asset) {
obj := GetCachedKalshiPriceObj(asset)
if (IsObject(obj) && obj.HasKey("price"))
return obj.price
return ""
}
FmtOrNA(price) {
if (price = "")
return "n/a"
return Fmt(price)
}
FmtLiveDeltaOrNA(value) {
if (value = "")
return "n/a"
value := value + 0
if (Abs(value) >= 1)
return Round(value, 2)
return Round(value, 4)
}
Fmt(price) {
return Round(price + 0, 2)
}
HasExistingPosition(marketTicker) {
if (marketTicker = "")
return false
return (PaperPositionQty(marketTicker) > 0)
}
GetExistingPositionQty(marketTicker) {
if (marketTicker = "")
return 0
return PaperPositionQty(marketTicker)
}
PositionQtyFromBody(body) {
qty := JsonField(body, "position")
if (qty != "" && IsNumericStr(qty))
return Abs(qty + 0)
qty := JsonField(body, "position_fp")
if (qty != "" && IsNumericStr(qty)) {
value := Abs(qty + 0)
if (value <= 10000)
return value
}
fields := ["contracts", "count"]
for _, field in fields {
qty := JsonField(body, field)
if (qty != "" && IsNumericStr(qty))
return Abs(qty + 0)
}
return ""
}
BuildKalshiOrderJson(action, marketTicker, side, price, size, clientOrderId := "") {
global entryDiff
apiAction := ToLower(action)
isBuy := (apiAction = "buy")
if (!isBuy && apiAction != "sell")
return ""
if (isBuy)
price := price + entryDiff
size := Round(size + 0)
if (size < 1)
size := 1
apiSide := (side = "UP") ? "yes" : "no"
cents := Round(price * 100)
if (isBuy && cents < 1)
cents := 1
else if (!isBuy && cents < 1)
cents := 1
else if (cents > 99)
cents := 99
priceField := (apiSide = "yes") ? "yes_price" : "no_price"
reduceOnly := isBuy ? "" : """reduce_only"":true,""time_in_force"":""immediate_or_cancel"","
if (clientOrderId = "")
clientOrderId := BuildClientOrderId(marketTicker, apiAction, apiSide)
return "{"
. """ticker"":""" marketTicker ""","
. """action"":""" apiAction ""","
. """side"":""" apiSide ""","
. """count"":" size ","
. """type"":""limit"","
. """" priceField """:" cents ","
. reduceOnly
. """client_order_id"":""" clientOrderId """"
. "}"
}
SubmitKalshiIndividualOrders(action, legs, overridePrice := "", skipExisting := true) {
result := {}
result.ok := true
result.orderIds := []
result.status := "paper"
result.body := ""
return result
}
CancelKalshiOrders(orderIds) {
return
}
CancelKalshiOrder(orderId) {
return
}
LoadKalshiCredentialsFromFiles() {
return
}
StartupCredentialCheck() {
return
}
ResolveCredentialPath(pathSpec) {
if (pathSpec = "")
return ""
if FileExist(pathSpec)
return pathSpec
normalized := StrReplace(pathSpec, "\", "/")
if FileExist(normalized)
return normalized
relative := normalized
while (SubStr(relative, 1, 1) = "/" || SubStr(relative, 1, 1) = "\")
relative := SubStr(relative, 2)
fromScriptDir := A_ScriptDir "/" relative
if FileExist(fromScriptDir)
return fromScriptDir
fromScriptDirBackslash := StrReplace(fromScriptDir, "/", "\")
if FileExist(fromScriptDirBackslash)
return fromScriptDirBackslash
return ""
}
JsonUnescape(s) {
s := StrReplace(s, "\/", "/")
s := StrReplace(s, "\n", "`n")
s := StrReplace(s, "\r", "`r")
s := StrReplace(s, "\t", A_Tab)
s := StrReplace(s, Chr(92) Chr(34), Chr(34))
s := StrReplace(s, Chr(92) Chr(92), Chr(92))
return s
}
KalshiSignedRequest(method, endpointPath, bodyJson := "") {
return false
}
SignKalshiMessage(message) {
return ""
}
BuildClientOrderId(ticker, action, side) {
nowUtc := CurrentUtcNowAhk()
if (nowUtc = "")
nowUtc := A_Now
Random, r, 100000, 999999
return ticker "-" action "-" side "-" nowUtc "-" A_TickCount "-" r
}
CurrentTimeMillis() {
epoch := CurrentUtcNowAhk()
if (epoch = "")
return ""
EnvSub, epoch, 19700101000000, Seconds
return epoch * 1000
}
CurrentUtcNowAhk() {
nowUtc := A_NowUTC
if (nowUtc != "")
return nowUtc
out := Trim(RunAndCapture("powershell -NoProfile -Command ""[DateTime]::UtcNow.ToString('yyyyMMddHHmmss')"""))
if RegExMatch(out, "^\d{14}$")
return out
return ""
}
QuoteForCmd(s) {
s := StrReplace(s, """", "\""")
return """" s """"
}
RunAndCapture(command) {
return RunCMD(command, A_ScriptDir)
}
ToLower(s) {
StringLower, out, s
return out
}
FindNightSharkSigner() {
return ""
}
CanPlaceOrderNow(asset) {
return true
}
ShouldLogPrice(asset, minIntervalMs) {
global assetLastPriceLogTick
nowTick := A_TickCount
if !assetLastPriceLogTick.HasKey(asset) {
assetLastPriceLogTick[asset] := nowTick
return true
}
if ((nowTick - assetLastPriceLogTick[asset]) >= minIntervalMs) {
assetLastPriceLogTick[asset] := nowTick
return true
}
return false
}
MinutesRemainingInQuarter() {
utc := CurrentUtcNowAhk()
if (utc = "") {
; Fallback to local clock if UTC unavailable
currentMinute := A_Min + 0
remaining := 15 - Mod(currentMinute, 15)
remaining := remaining - ((A_Sec + 0) / 60.0)
return remaining
}
mm := SubStr(utc, 11, 2) + 0
ss := SubStr(utc, 13, 2) + 0
remaining := 15 - Mod(mm, 15) - (ss / 60.0)
return remaining
}
IsXMinRemaining(x) {
return (MinutesRemainingInQuarter() <= x)
}
CurrentQuarterIndex() {
utc := CurrentUtcNowAhk()
if (utc = "") {
totalMinutes := (A_Hour + 0) * 60 + (A_Min + 0)
return Floor(totalMinutes / 15)
}
hh := SubStr(utc, 9, 2) + 0
mm := SubStr(utc, 11, 2) + 0
totalMinutes := hh * 60 + mm
return Floor(totalMinutes / 15)
}
SnapshotMinutesLeft(snapshot) {
if !IsObject(snapshot)
return ""
if (snapshot.HasKey("closeTime") && snapshot.closeTime != "") {
minsLeft := MinutesUntilIsoUtc(snapshot.closeTime)
if (minsLeft != "")
return minsLeft
}
if (snapshot.HasKey("minutesLeft"))
return snapshot.minutesLeft
return ""
}
IsSnapshotExpired(snapshot, cutoffMinutes := 0) {
minsLeft := SnapshotMinutesLeft(snapshot)
return (minsLeft != "" && minsLeft <= cutoffMinutes)
}
ClearKalshiMarketCache(asset) {
global assetSnapshotCache, assetMarketRefreshTick
if (assetSnapshotCache.HasKey(asset))
assetSnapshotCache.Delete(asset)
if (assetMarketRefreshTick.HasKey(asset))
assetMarketRefreshTick.Delete(asset)
}
GetKalshiMarketSnapshot(asset, maxRetries := 4) {
global assetSeriesMap, assetSnapshotCache, assetMarketRefreshTick, marketRefreshMs
if !assetSeriesMap.HasKey(asset)
return false
series := assetSeriesMap[asset]
nowTick := A_TickCount
if (assetSnapshotCache.HasKey(asset) && assetMarketRefreshTick.HasKey(asset)) {
cached := assetSnapshotCache[asset]
if (IsObject(cached) && (nowTick - assetMarketRefreshTick[asset]) < marketRefreshMs) {
if (IsSnapshotExpired(cached, 0.5)) {
ClearKalshiMarketCache(asset)
} else {
if (RefreshKalshiBestAsks(cached))
return cached
return false
}
}
}
attempt := 1
while (attempt <= maxRetries) {
url := "https://api.elections.kalshi.com/trade-api/v2/markets?series_ticker=" series "&status=open&limit=1&_=" A_TickCount "-" attempt
body := HttpGet(url)
if (body != "") {
marketTicker := GetFirstNonEmptyJsonField(body, ["ticker"])
yesPrice := GetKalshiDollarPrice(body, "yes_ask_dollars", "yes_ask")
noPrice := GetKalshiDollarPrice(body, "no_ask_dollars", "no_ask")
closeIso := GetFirstNonEmptyJsonField(body, ["close_time", "expected_expiration_time", "expiration_time", "settlement_time"])
minsLeft := MinutesUntilIsoUtc(closeIso)
; Skip markets that already closed or close in < 30 seconds (stale/expired)
if (minsLeft != "" && minsLeft < 0.5) {
if (attempt < maxRetries) {
Sleep 200
attempt++
continue
}
}
if (marketTicker != "") {
obj := {}
obj.up := (yesPrice != "") ? yesPrice + 0 : ""
obj.down := (noPrice != "") ? noPrice + 0 : ""
obj.minutesLeft := minsLeft
obj.closeTime := closeIso
obj.marketTicker := marketTicker
assetSnapshotCache[asset] := obj
assetMarketRefreshTick[asset] := nowTick
if (RefreshKalshiBestAsks(obj) || (obj.up != "" && obj.down != ""))
return obj
}
}
if (attempt < maxRetries)
Sleep 200
attempt++
}
if (assetSnapshotCache.HasKey(asset)) {
cached := assetSnapshotCache[asset]
if IsObject(cached) {
if (IsSnapshotExpired(cached, 0.5)) {
ClearKalshiMarketCache(asset)
return false
}
if (RefreshKalshiBestAsks(cached))
return cached
}
}
return false
}
RefreshKalshiBestAsks(snapshot) {
if !IsObject(snapshot) || snapshot.marketTicker = ""
return false
url := "https://api.elections.kalshi.com/trade-api/v2/markets/" snapshot.marketTicker "/orderbook?depth=1&_=" A_TickCount
body := HttpGet(url)
if (body = "")
return false
yesBid := GetOrderbookBestBid(body, "yes_dollars")
noBid := GetOrderbookBestBid(body, "no_dollars")
updated := false
if (noBid != "") {
snapshot.up := Round(1 - (noBid + 0), 4)
updated := true
}
if (yesBid != "") {
snapshot.down := Round(1 - (yesBid + 0), 4)
updated := true
}
return updated
}
GetOrderbookBestBid(json, sideField) {
pattern := """" sideField """\s*:\s*\[\s*\[\s*""?(-?\d+(?:\.\d+)?)"
if RegExMatch(json, pattern, m)
return m1
return ""
}
GetKalshiDollarPrice(json, dollarField, centsField := "") {
val := GetFirstNonEmptyJsonField(json, [dollarField])
if (val != "")
return val
if (centsField != "") {
val := GetFirstNonEmptyJsonField(json, [centsField])
if (val != "" && IsNumericStr(val))
return (val + 0) / 100.0
}
return ""
}
GetFirstNonEmptyJsonField(json, fields, skipZero := false) {
for _, field in fields {
val := JsonField(json, field)
if (val != "") {
if (skipZero && IsNumericStr(val) && (val + 0) = 0)
continue
return val
}
}
return ""
}
IsNumericStr(s) {
s := Trim(s)
return RegExMatch(s, "^-?\d+(\.\d+)?$")
}
JsonField(json, field) {
pattern := """" field """\s*:\s*(""([^""]*)""|[^,}\s][^,}\r\n]*)"
result := ""
pos := 1
while (pos := RegExMatch(json, pattern, m, pos)) {
val := Trim(m1)
val := Trim(val, """")
if (val != "")
result := val
pos += StrLen(m)
}
return result
}
JsonFields(json, field) {
values := []
pattern := """" field """\s*:\s*(""([^""]*)""|[^,}\s][^,}\r\n]*)"
pos := 1
while (pos := RegExMatch(json, pattern, m, pos)) {
val := Trim(m1)
val := Trim(val, """")
if (val != "")
values.Push(val)
pos += StrLen(m)
}
return values
}
MinutesUntilIsoUtc(iso) {
ts := IsoUtcToAhk(iso)
if (ts = "")
return ""
nowUtc := CurrentUtcNowAhk()
if (nowUtc = "")
return ""
diff := ts
EnvSub, diff, %nowUtc%, Seconds
return diff / 60.0
}
IsoUtcToAhk(iso) {
if (iso = "")
return ""
if !RegExMatch(iso, "O)^(\d{4})-(\d{2})-(\d{2})T(\d{2}):(\d{2}):(\d{2})", m)
return ""
return m1 m2 m3 m4 m5 m6
}
Live Trading Code
; =========================
; LIVE TRADING Strategy Configuration
; =========================
assets := ["BTC", "ETH"] ; Arbitrage pair
timeDelay := 15 ; activation window in minutes. 15 = monitor the whole 15m market.
EntryRange := [0.8, 0.93] ; [Min, Max] enter only when inverse pair sum is between 80c and 93c
PairExit := 0.70 ; Stop Loss for pairs exits
orderSize := 1
shots := 2 ; max pair entry shots per 15m market
cooldownSec := 60 ; seconds to wait after one shot before seeking the next
noEntryMinutes := 1 ; last N minutes allow no new entry shots; open positions hold to resolution
; =============================================================
; Kalshi Order API Config
; DO NOT TOUCH BELOW VALUES UNLESS YOU KNOW WHAT YOU ARE DOING
; =============================================================
enableLiveOrders := true
pollIntervalMs := 700
marketRefreshMs := 5000
priceRefreshMs := 1500
restDelay := 2000
entryDiff := 0.00 ; legacy BUY offset; pair entry uses entryOrderPrice above.
kalshiApiBase := "https://external-api.kalshi.com"
assetSeriesMap := { "BTC": "KXBTC15M", "ETH": "KXETH15M", "SOL": "KXSOL15M", "XRP": "KXXRP15M", "DOGE": "KXDOGE15M", "HYPE": "KXHYPE15M", "BNB": "KXBNB15M" }
kalshiApiKeyId := ""
kalshiApiKeyFile := "reactions/apikey.json"
kalshiPrivateKeyFile := "reactions/privatekey.json"
kalshiPrivateKeyPath := ""
kalshiApiKeyResolvedPath := ""
kalshiPrivateKeyResolvedPath := ""
kalshiKeyPassphrase := ""
kalshiSignerPath := ""
PairExitOrderPrice := 0.01
BehaviorLookbackMs := 10000 ; behavior velocity lookback window
BehaviorSignEpsBps := 0.25
BehaviorEmaAlpha := 0.22
entryOrderPrice := 1.00
partialEntryRetryMax := 3
partialEntryRetryDelayMs := 1750
; Track the locked pair after entry. Individual legs are also mirrored in positions.
positions := {}
pairPhase := "WAIT_WINDOW" ; WAIT_WINDOW | MONITORING | BUY_PENDING | IN_PAIR | BUY_FAILED | HAS_POSITION | EXITED
pairSessionKey := ""
activePair := ""
pendingPair := ""
pendingEntryOrderIds := []
pairShotsSubmitted := 0
pairShotsFilled := 0
pairFilledContracts := 0
pairLastShotTick := 0
pairPartialEntryFailures := []
assetPhase := {} ; retained for legacy helper compatibility
assetLastPriceLogTick := {} ; throttled logging control
assetSnapshotCache := {}
assetMarketRefreshTick := {}
assetPriceCache := {}
assetPriceRefreshTick := {}
pairBehaviorSessionKey := ""
pairBehaviorBtcOpen := ""
pairBehaviorEthOpen := ""
pairBehaviorLastUpdateTick := 0
pairBehaviorPrevBtcMoveBps := ""
pairBehaviorPrevEthMoveBps := ""
pairBehaviorEmaScore := ""
pairBehaviorState := "WAITING"
pairBehaviorScore := ""
pairBehaviorHistory := []
LoadKalshiCredentialsFromFiles()
if (kalshiSignerPath = "")
kalshiSignerPath := FindNightSharkSigner()
Log("Application Started | EntryRange: " FmtEntryRange() " | BehaviorGate: SYNC | Exit < " FmtPairSum(PairExit) " | Window: last " timeDelay "m | Shots: " shots " x " orderSize " | Cooldown: " cooldownSec "s | No entry: last " noEntryMinutes "m | Assets: BTC/ETH")
StartupCredentialCheck()
loop {
btcSnap := GetKalshiMarketSnapshot("BTC")
ethSnap := GetKalshiMarketSnapshot("ETH")
if (!IsObject(btcSnap) || !IsObject(ethSnap)) {
if (IsObject(activePair) && PairSessionEnded(activePair, btcSnap, ethSnap))
MarkPairHeldToResolution()
LogOnce("PAIR", "NO_DATA_" CurrentQuarterIndex(), "PAIR Waiting for BTC/ETH market data")
Random, pollJitterMs, 0, 250
sleepMs := pollIntervalMs + pollJitterMs
Sleep %sleepMs%
continue
}
if !PairSnapshotsAligned(btcSnap, ethSnap) {
LogOnce("PAIR", "MISALIGNED_" PairMarketSuffix(btcSnap.marketTicker) "_" PairMarketSuffix(ethSnap.marketTicker), "PAIR Waiting for aligned BTC/ETH market | BTC " btcSnap.marketTicker " | ETH " ethSnap.marketTicker)
Random, pollJitterMs, 0, 250
sleepMs := pollIntervalMs + pollJitterMs
Sleep %sleepMs%
continue
}
sessionKey := BuildPairSessionKey(btcSnap, ethSnap)
if (IsObject(activePair) && PairSessionEnded(activePair, btcSnap, ethSnap)) {
MarkPairHeldToResolution()
Random, pollJitterMs, 0, 250
sleepMs := pollIntervalMs + pollJitterMs
Sleep %sleepMs%
continue
}
if (pairSessionKey = "" || pairSessionKey != sessionKey) {
if IsObject(pendingPair) {
if !PairSessionEnded(pendingPair, btcSnap, ethSnap) {
pairSessionKey := sessionKey
assetLastPriceLogTick["PAIR"] := 0
LogOnceReset("PAIR")
Log("PAIR Session key refreshed while entry pending | BTC " btcSnap.marketTicker " | ETH " ethSnap.marketTicker)
} else {
if PairAnyPositionOpen(pendingPair) {
CancelKalshiOrders(pendingEntryOrderIds)
Log(pendingPair.name " pending entry crossed session boundary with open leg(s); canceled remaining buy order(s)")
ClearPendingPairEntry()
pairSessionKey := sessionKey
pairPhase := "HAS_POSITION"
Log("PAIR Existing BTC or ETH position found, waiting for next session")
} else {
ClearPendingPairEntry()
pairSessionKey := sessionKey
pairPhase := "WAIT_WINDOW"
ResetPairShotState()
assetLastPriceLogTick["PAIR"] := 0
LogOnceReset("PAIR")
Log("PAIR New session | BTC " btcSnap.marketTicker " | ETH " ethSnap.marketTicker)
if (HasExistingPosition(btcSnap.marketTicker) || HasExistingPosition(ethSnap.marketTicker)) {
pairPhase := "HAS_POSITION"
Log("PAIR Existing BTC or ETH position found, waiting for next session")
}
}
}
} else {
pairSessionKey := sessionKey
pairPhase := "WAIT_WINDOW"
ResetPairShotState()
ClearPendingPairEntry()
assetLastPriceLogTick["PAIR"] := 0
LogOnceReset("PAIR")
Log("PAIR New session | BTC " btcSnap.marketTicker " | ETH " ethSnap.marketTicker)
if (HasExistingPosition(btcSnap.marketTicker) || HasExistingPosition(ethSnap.marketTicker)) {
pairPhase := "HAS_POSITION"
Log("PAIR Existing BTC or ETH position found, waiting for next session")
}
}
if (!IsObject(pendingPair) || PairSessionEnded(pendingPair, btcSnap, ethSnap)) {
Random, pollJitterMs, 0, 250
sleepMs := pollIntervalMs + pollJitterMs
Sleep %sleepMs%
continue
}
}
; --- Entry pending: buy orders were submitted but both legs are not confirmed yet. ---
if IsObject(pendingPair) {
streamPair := IsObject(activePair) ? activePair : pendingPair
LogPairStream(btcSnap, ethSnap, streamPair)
if IsObject(activePair) {
if TryExitLockedPairIfNeeded(btcSnap, ethSnap) {
Random, pollJitterMs, 0, 250
sleepMs := pollIntervalMs + pollJitterMs
Sleep %sleepMs%
continue
}
}
if !PairAllPositionsOpen(pendingPair)
TryRetryPendingPairMissingLegs(pendingPair)
if PairAllPositionsOpen(pendingPair) {
activePair := pendingPair
ClearPendingPairEntry()
MarkPairShotFilled(activePair)
SetPairPositionState(activePair)
pairPhase := "IN_PAIR"
assetLastPriceLogTick["PAIR"] := 0
Log(activePair.name " shot " pairShotsFilled "/" shots " pending entry filled and locked | monitoring next shots")
if TryExitLockedPairIfNeeded(btcSnap, ethSnap) {
Random, pollJitterMs, 0, 250
sleepMs := pollIntervalMs + pollJitterMs
Sleep %sleepMs%
continue
}
} else {
pairPhase := IsObject(activePair) ? "IN_PAIR" : "BUY_PENDING"
if IsObject(activePair)
LogOnce("PAIR", "BUY_PENDING_ADD_" pendingPair.shotNumber, pendingPair.name " shot " pendingPair.shotNumber "/" shots " waiting for target quantity")
else if PairAnyTargetProgress(pendingPair)
LogOnce("PAIR", "BUY_PENDING_PARTIAL_" pendingPair.shotNumber, pendingPair.name " partial entry fill open, retrying remaining leg(s); no unwind")
else
LogOnce("PAIR", "BUY_PENDING_" pendingPair.shotNumber, pendingPair.name " entry buy order(s) open, waiting for fill")
}
Random, pollJitterMs, 0, 250
sleepMs := pollIntervalMs + pollJitterMs
Sleep %sleepMs%
continue
}
; --- In pair: hold the locked pair and look for additional shots. ---
if IsObject(activePair) {
pairPhase := "IN_PAIR"
LogPairStream(btcSnap, ethSnap, activePair)
if TryExitLockedPairIfNeeded(btcSnap, ethSnap) {
Random, pollJitterMs, 0, 250
sleepMs := pollIntervalMs + pollJitterMs
Sleep %sleepMs%
continue
}
TryNextPairShot(btcSnap, ethSnap, true)
Random, pollJitterMs, 0, 250
sleepMs := pollIntervalMs + pollJitterMs
Sleep %sleepMs%
continue
}
if (pairPhase = "BUY_FAILED") {
LogOnce("PAIR", "BUY_FAILED", "PAIR Buy failed earlier, waiting for next session")
Random, pollJitterMs, 0, 250
sleepMs := pollIntervalMs + pollJitterMs
Sleep %sleepMs%
continue
}
if (pairPhase = "EXITED") {
LogOnce("PAIR", "EXITED", "PAIR Locked pair exited, waiting for next session")
Random, pollJitterMs, 0, 250
sleepMs := pollIntervalMs + pollJitterMs
Sleep %sleepMs%
continue
}
if (pairPhase = "HAS_POSITION") {
LogOnce("PAIR", "HAS_POSITION", "PAIR Existing BTC or ETH position, waiting for next session")
Random, pollJitterMs, 0, 250
sleepMs := pollIntervalMs + pollJitterMs
Sleep %sleepMs%
continue
}
minsLeft := PairMinutesLeft(btcSnap, ethSnap)
inEntryWindow := (minsLeft > 0 && minsLeft <= timeDelay)
entryAllowed := (inEntryWindow && minsLeft > noEntryMinutes)
if (!inEntryWindow) {
if (minsLeft <= 0)
LogOnce("PAIR", "SESSION_ENDED", "PAIR End of session, waiting for new market")
else
LogOnce("PAIR", "WAIT_WINDOW", "PAIR Waiting for last " timeDelay " minutes")
pairPhase := "WAIT_WINDOW"
Random, pollJitterMs, 0, 250
sleepMs := pollIntervalMs + pollJitterMs
Sleep %sleepMs%
continue
}
if (!entryAllowed) {
LogPairStream(btcSnap, ethSnap)
LogOnce("PAIR", "NO_ENTRY_ZONE", "PAIR Last " noEntryMinutes " minute no-entry zone; holding only")
pairPhase := "WAIT_WINDOW"
Random, pollJitterMs, 0, 250
sleepMs := pollIntervalMs + pollJitterMs
Sleep %sleepMs%
continue
}
if (pairPhase != "MONITORING") {
pairPhase := "MONITORING"
Log("PAIR Monitoring BTC/ETH inverse sums | EntryRange " FmtEntryRange() " | BehaviorGate SYNC | Exit < " FmtPairSum(PairExit) " | Shots " pairShotsSubmitted "/" shots)
}
LogPairStream(btcSnap, ethSnap)
candidatePair := SelectPairEntry(btcSnap, ethSnap)
if !IsObject(candidatePair) {
Random, pollJitterMs, 0, 250
sleepMs := pollIntervalMs + pollJitterMs
Sleep %sleepMs%
continue
}
if !PairEntrySignalMet(candidatePair) {
Random, pollJitterMs, 0, 250
sleepMs := pollIntervalMs + pollJitterMs
Sleep %sleepMs%
continue
}
if !CanPlaceOrderNow("PAIR") {
LogOnce("PAIR", "NO_CREDS", "PAIR Missing credentials, cannot place orders")
Random, pollJitterMs, 0, 250
sleepMs := pollIntervalMs + pollJitterMs
Sleep %sleepMs%
continue
}
if (HasExistingPosition(btcSnap.marketTicker) || HasExistingPosition(ethSnap.marketTicker)) {
pairPhase := "HAS_POSITION"
Log("PAIR Existing BTC or ETH position found, waiting for next session")
Random, pollJitterMs, 0, 250
sleepMs := pollIntervalMs + pollJitterMs
Sleep %sleepMs%
continue
}
if !TrySubmitPairShot(candidatePair, false) {
pairPhase := "BUY_FAILED"
Log(candidatePair.name " pair order not filled after 4 attempts, skipping session")
}
Random, pollJitterMs, 0, 250
sleepMs := pollIntervalMs + pollJitterMs
Sleep %sleepMs%
}
LogOnce(asset, reason, msg) {
global logOnceKeys
if !IsObject(logOnceKeys)
logOnceKeys := {}
key := asset "|" reason
if (logOnceKeys.HasKey(key))
return
logOnceKeys[key] := true
Log(msg)
}
LogOnceReset(asset) {
global logOnceKeys
if !IsObject(logOnceKeys)
return
toRemove := []
for k, _ in logOnceKeys {
if (InStr(k, asset "|") = 1)
toRemove.Push(k)
}
for _, k in toRemove
logOnceKeys.Delete(k)
}
ResetPairShotState() {
global pairShotsSubmitted, pairShotsFilled, pairFilledContracts, pairLastShotTick, pairPartialEntryFailures, shots
pairShotsSubmitted := 0
pairShotsFilled := 0
pairFilledContracts := 0
pairLastShotTick := 0
pairPartialEntryFailures := []
LogStream("shots", "0/0/" shots)
LogStream("cooldown", "ready")
}
PairShotCooldownRemainingMs() {
global pairLastShotTick, cooldownSec
if (pairLastShotTick = 0)
return 0
remaining := (cooldownSec * 1000) - (A_TickCount - pairLastShotTick)
return (remaining > 0) ? remaining : 0
}
LogPairShotStream() {
global pairShotsSubmitted, pairShotsFilled, pairFilledContracts, pairLastShotTick, shots
LogStream("shots", pairShotsFilled "/" pairShotsSubmitted "/" shots)
remaining := PairShotCooldownRemainingMs()
if (remaining > 0)
LogStream("cooldown", Ceil(remaining / 1000) "s")
else
LogStream("cooldown", "ready")
}
PairEntryWindowOpen(minsLeft) {
global timeDelay, noEntryMinutes
return (minsLeft != "" && minsLeft > noEntryMinutes && minsLeft <= timeDelay)
}
PairCanSubmitNextShot(minsLeft) {
global pairShotsSubmitted, shots, pendingPair
if (pairShotsSubmitted >= shots)
return false
if IsObject(pendingPair)
return false
if !PairEntryWindowOpen(minsLeft)
return false
if (PairShotCooldownRemainingMs() > 0)
return false
return true
}
TryNextPairShot(btcSnap, ethSnap, allowAdd := true) {
global activePair, pairShotsSubmitted, shots, noEntryMinutes
if !IsObject(activePair)
return false
minsLeft := PairMinutesLeft(btcSnap, ethSnap)
if (pairShotsSubmitted >= shots) {
LogOnce("PAIR", "SHOTS_DONE", activePair.name " max shots reached " pairShotsSubmitted "/" shots)
return false
}
if (minsLeft != "" && minsLeft <= noEntryMinutes) {
LogOnce("PAIR", "NO_ENTRY_ZONE_ACTIVE", activePair.name " last " noEntryMinutes " minute no-entry zone; holding only")
return false
}
if !PairCanSubmitNextShot(minsLeft)
return false
candidatePair := BuildPairFromName(activePair.name, btcSnap, ethSnap)
AttachPairBehavior(candidatePair, UpdatePairBehaviorState(btcSnap, ethSnap))
if !PairEntrySignalMet(candidatePair)
return false
return TrySubmitPairShot(candidatePair, allowAdd)
}
PairEntrySignalMet(pair) {
if !IsObject(pair)
return false
if !PairSumInEntryRange(pair.sum)
return false
if (!IsObject(pair.legs) || pair.legs.MaxIndex() < 2)
return false
if !PairBehaviorEntryAllowed(pair)
return false
return true
}
PreparePairShot(pair) {
global pairShotsSubmitted, orderSize
if !IsObject(pair)
return false
shotNumber := pairShotsSubmitted + 1
pair.shotNumber := shotNumber
pair.orderSize := orderSize
for _, leg in pair.legs {
beforeQty := GetExistingPositionQty(leg.ticker)
if (beforeQty = "" || beforeQty < 0)
beforeQty := 0
if (beforeQty = 0) {
trackedQty := PairTrackedContracts()
if (trackedQty > 0)
beforeQty := trackedQty
}
leg.beforeQty := beforeQty
leg.targetQty := beforeQty + orderSize
leg.count := orderSize
}
return true
}
TrySubmitPairShot(candidatePair, allowAdd := false) {
global activePair, pendingPair, pairPhase, assetLastPriceLogTick, pairShotsSubmitted, shots
if !IsObject(candidatePair)
return false
if (pairShotsSubmitted >= shots)
return false
if !CanPlaceOrderNow("PAIR") {
LogOnce("PAIR", "NO_CREDS", "PAIR Missing credentials, cannot place orders")
return false
}
if !PreparePairShot(candidatePair)
return false
behaviorText := candidatePair.HasKey("behaviorState") ? " | Behavior " candidatePair.behaviorState " score " FmtBehaviorScore(candidatePair.behaviorScore) : ""
Log(candidatePair.name " shot " candidatePair.shotNumber "/" shots " triggered @ sum " FmtPairSum(candidatePair.sum) " in range " FmtEntryRange() behaviorText " | BTC " candidatePair.btcTicker " | ETH " candidatePair.ethTicker " | placing " candidatePair.orderSize " contracts per leg")
buyConfirmed := false
loop, 4 {
if (A_Index > 1 && PairAllPositionsOpen(candidatePair)) {
Log(candidatePair.name " shot " candidatePair.shotNumber " positions detected before retry " A_Index)
buyConfirmed := true
break
}
buyResult := BuyPairPosition(candidatePair, allowAdd)
if (buyResult) {
Log(candidatePair.name " shot " candidatePair.shotNumber " position confirmed")
buyConfirmed := true
break
}
if IsObject(pendingPair) {
Log(candidatePair.name " shot " pendingPair.shotNumber " entry pending, waiting for remaining fill")
break
}
if (A_Index < 4) {
Log(candidatePair.name " shot " candidatePair.shotNumber " pair retry " A_Index "/3")
Sleep 1000
}
}
if (buyConfirmed) {
MarkPairShotSubmitted(candidatePair)
MarkPairShotFilled(candidatePair)
activePair := candidatePair
SetPairPositionState(activePair)
pairPhase := "IN_PAIR"
assetLastPriceLogTick["PAIR"] := 0
Log(activePair.name " shot " pairShotsSubmitted "/" shots " locked | monitoring next shots")
return true
}
if IsObject(pendingPair) {
MarkPairShotSubmitted(pendingPair)
pairPhase := IsObject(activePair) ? "IN_PAIR" : "BUY_PENDING"
LogOnce("PAIR", "BUY_PENDING_" pendingPair.shotNumber, pendingPair.name " shot " pendingPair.shotNumber "/" shots " entry submitted, waiting for fill")
return true
}
return false
}
MarkPairShotSubmitted(pair) {
global pairShotsSubmitted, pairLastShotTick
if !IsObject(pair)
return
if (pair.HasKey("shotNumber") && pair.shotNumber > pairShotsSubmitted)
pairShotsSubmitted := pair.shotNumber
pairLastShotTick := A_TickCount
LogPairShotStream()
}
MarkPairShotFilled(pair) {
global pairShotsFilled, pairFilledContracts, orderSize
if !IsObject(pair)
return
if (pair.HasKey("shotNumber") && pair.shotNumber > pairShotsFilled)
pairShotsFilled := pair.shotNumber
marketQty := PairFilledContractsFromMarket(pair)
if (marketQty != "")
pairFilledContracts := marketQty
else
pairFilledContracts := pairShotsFilled * orderSize
pair.filledContracts := pairFilledContracts
LogPairShotStream()
}
PairTrackedContracts() {
global pairFilledContracts, pairShotsFilled, orderSize
if (pairFilledContracts > 0)
return pairFilledContracts
if (pairShotsFilled > 0)
return pairShotsFilled * orderSize
return 0
}
PairFilledContractsFromMarket(pair) {
minQty := ""
if !IsObject(pair)
return ""
for _, leg in pair.legs {
qty := GetExistingPositionQty(leg.ticker)
if (qty = "")
return ""
if (minQty = "" || qty < minQty)
minQty := qty
}
return minQty
}
BuildPairSessionKey(btcSnap, ethSnap) {
btcKey := (IsObject(btcSnap) && btcSnap.marketTicker != "") ? btcSnap.marketTicker : "BTC_" CurrentQuarterIndex()
ethKey := (IsObject(ethSnap) && ethSnap.marketTicker != "") ? ethSnap.marketTicker : "ETH_" CurrentQuarterIndex()
return btcKey "|" ethKey
}
PairSnapshotsAligned(btcSnap, ethSnap) {
if (!IsObject(btcSnap) || !IsObject(ethSnap))
return false
btcSuffix := PairMarketSuffix(btcSnap.marketTicker)
ethSuffix := PairMarketSuffix(ethSnap.marketTicker)
if (btcSuffix != "" && ethSuffix != "" && btcSuffix != ethSuffix)
return false
btcClose := btcSnap.HasKey("closeTime") ? btcSnap.closeTime : ""
ethClose := ethSnap.HasKey("closeTime") ? ethSnap.closeTime : ""
if (btcClose != "" && ethClose != "" && btcClose != ethClose)
return false
return true
}
PairMarketSuffix(ticker) {
if (ticker = "")
return ""
pos := InStr(ticker, "-")
if (!pos)
return ticker
return SubStr(ticker, pos + 1)
}
PairMinutesLeft(btcSnap, ethSnap) {
btcMins := SnapshotMinutesLeft(btcSnap)
ethMins := SnapshotMinutesLeft(ethSnap)
if (btcMins = "" && ethMins = "")
return MinutesRemainingInQuarter()
if (btcMins = "")
return ethMins
if (ethMins = "")
return btcMins
return (btcMins < ethMins) ? btcMins : ethMins
}
BuildPairSums(btcSnap, ethSnap) {
sums := {}
sums.upDown := ""
sums.downUp := ""
if (IsObject(btcSnap) && IsObject(ethSnap)) {
if (btcSnap.up != "" && ethSnap.down != "")
sums.upDown := (btcSnap.up + 0) + (ethSnap.down + 0)
if (btcSnap.down != "" && ethSnap.up != "")
sums.downUp := (btcSnap.down + 0) + (ethSnap.up + 0)
}
return sums
}
SelectPairEntry(btcSnap, ethSnap) {
sums := BuildPairSums(btcSnap, ethSnap)
behavior := UpdatePairBehaviorState(btcSnap, ethSnap)
selected := ""
if (PairSumInEntryRange(sums.upDown))
selected := "BTC_UP_ETH_DOWN"
if (PairSumInEntryRange(sums.downUp)) {
if (selected = "" || sums.downUp < sums.upDown)
selected := "BTC_DOWN_ETH_UP"
}
if (selected = "")
return false
pair := BuildPairFromName(selected, btcSnap, ethSnap)
AttachPairBehavior(pair, behavior)
return pair
}
BuildPairFromName(name, btcSnap, ethSnap) {
if (!IsObject(btcSnap) || !IsObject(ethSnap))
return false
pair := {}
pair.name := name
pair.quarterIndex := CurrentQuarterIndex()
pair.btcTicker := btcSnap.marketTicker
pair.ethTicker := ethSnap.marketTicker
pair.legs := []
if (name = "BTC_UP_ETH_DOWN") {
if (btcSnap.up = "" || ethSnap.down = "")
return false
pair.sum := (btcSnap.up + 0) + (ethSnap.down + 0)
pair.legs.Push({ asset: "BTC", ticker: btcSnap.marketTicker, side: "UP", price: btcSnap.up + 0 })
pair.legs.Push({ asset: "ETH", ticker: ethSnap.marketTicker, side: "DOWN", price: ethSnap.down + 0 })
return pair
}
if (name = "BTC_DOWN_ETH_UP") {
if (btcSnap.down = "" || ethSnap.up = "")
return false
pair.sum := (btcSnap.down + 0) + (ethSnap.up + 0)
pair.legs.Push({ asset: "BTC", ticker: btcSnap.marketTicker, side: "DOWN", price: btcSnap.down + 0 })
pair.legs.Push({ asset: "ETH", ticker: ethSnap.marketTicker, side: "UP", price: ethSnap.up + 0 })
return pair
}
return false
}
PairCurrentSum(pair, btcSnap, ethSnap) {
if !IsObject(pair)
return ""
if (pair.name = "BTC_UP_ETH_DOWN") {
if (IsObject(btcSnap) && IsObject(ethSnap) && btcSnap.up != "" && ethSnap.down != "")
return (btcSnap.up + 0) + (ethSnap.down + 0)
return ""
}
if (pair.name = "BTC_DOWN_ETH_UP") {
if (IsObject(btcSnap) && IsObject(ethSnap) && btcSnap.down != "" && ethSnap.up != "")
return (btcSnap.down + 0) + (ethSnap.up + 0)
return ""
}
return ""
}
LogPairStream(btcSnap, ethSnap, lockedPair := "") {
sums := BuildPairSums(btcSnap, ethSnap)
behavior := UpdatePairBehaviorState(btcSnap, ethSnap)
LogStream("bup+edown", FmtPairSum(sums.upDown))
LogStream("bdown+eup", FmtPairSum(sums.downUp))
LogStream("behavior", behavior.state)
LogPairShotStream()
}
PairLegSummary(pair) {
if !IsObject(pair)
return ""
summary := ""
for _, leg in pair.legs {
if (summary != "")
summary .= " + "
summary .= leg.asset " " leg.side " " FmtOrNA(leg.price)
}
return summary
}
FmtPairSum(value) {
if (value = "")
return "n/a"
return Round(value + 0, 4)
}
EntryRangeMin() {
global EntryRange
if (!IsObject(EntryRange) || EntryRange.MaxIndex() < 2)
return ""
minValue := EntryRange[1] + 0
maxValue := EntryRange[2] + 0
return (minValue <= maxValue) ? minValue : maxValue
}
EntryRangeMax() {
global EntryRange
if (!IsObject(EntryRange) || EntryRange.MaxIndex() < 2)
return ""
minValue := EntryRange[1] + 0
maxValue := EntryRange[2] + 0
return (minValue <= maxValue) ? maxValue : minValue
}
PairSumInEntryRange(sum) {
minValue := EntryRangeMin()
maxValue := EntryRangeMax()
if (sum = "" || minValue = "" || maxValue = "")
return false
value := sum + 0
return (value >= minValue && value <= maxValue)
}
FmtEntryRange() {
minValue := EntryRangeMin()
maxValue := EntryRangeMax()
if (minValue = "" || maxValue = "")
return "n/a"
return FmtPairSum(minValue) "-" FmtPairSum(maxValue)
}
AttachPairBehavior(pair, behavior) {
if (!IsObject(pair) || !IsObject(behavior))
return
pair.behaviorState := behavior.state
pair.behaviorScore := behavior.score
pair.btcMoveBps := behavior.btcMoveBps
pair.ethMoveBps := behavior.ethMoveBps
}
PairBehaviorEntryAllowed(pair) {
global pairBehaviorState, pairBehaviorScore
state := pairBehaviorState
score := pairBehaviorScore
if (IsObject(pair) && pair.HasKey("behaviorState")) {
state := pair.behaviorState
score := pair.HasKey("behaviorScore") ? pair.behaviorScore : ""
}
if (state = "SYNC")
return true
if (state = "")
state := "WAITING"
pairName := (IsObject(pair) && pair.HasKey("name")) ? pair.name : "PAIR"
pairSum := (IsObject(pair) && pair.HasKey("sum")) ? FmtPairSum(pair.sum) : "n/a"
LogOnce("PAIR", "WAIT_BEHAVIOR_" CurrentQuarterIndex() "_" state, pairName " entry in range " pairSum " but behavior " state " score " FmtBehaviorScore(score) "; waiting for SYNC")
return false
}
ResetPairBehaviorState(sessionKey := "") {
global pairBehaviorSessionKey, pairBehaviorBtcOpen, pairBehaviorEthOpen
global pairBehaviorLastUpdateTick, pairBehaviorPrevBtcMoveBps, pairBehaviorPrevEthMoveBps
global pairBehaviorEmaScore, pairBehaviorState, pairBehaviorScore, pairBehaviorHistory
global assetPriceCache, assetPriceRefreshTick
pairBehaviorSessionKey := sessionKey
pairBehaviorBtcOpen := ""
pairBehaviorEthOpen := ""
pairBehaviorLastUpdateTick := 0
pairBehaviorPrevBtcMoveBps := ""
pairBehaviorPrevEthMoveBps := ""
pairBehaviorEmaScore := ""
pairBehaviorState := "WAITING"
pairBehaviorScore := ""
pairBehaviorHistory := []
if IsObject(assetPriceCache) {
assetPriceCache.Delete("BTC")
assetPriceCache.Delete("ETH")
}
if IsObject(assetPriceRefreshTick) {
assetPriceRefreshTick.Delete("BTC")
assetPriceRefreshTick.Delete("ETH")
}
}
UpdatePairBehaviorState(btcSnap, ethSnap) {
global BehaviorLookbackMs, BehaviorSignEpsBps, BehaviorEmaAlpha
global pairBehaviorSessionKey, pairBehaviorBtcOpen, pairBehaviorEthOpen
global pairBehaviorLastUpdateTick, pairBehaviorPrevBtcMoveBps, pairBehaviorPrevEthMoveBps
global pairBehaviorEmaScore, pairBehaviorState, pairBehaviorScore
sessionKey := BuildPairSessionKey(btcSnap, ethSnap)
nowTick := A_TickCount
if (pairBehaviorSessionKey = "" || pairBehaviorSessionKey != sessionKey)
ResetPairBehaviorState(sessionKey)
if (pairBehaviorLastUpdateTick != 0 && (nowTick - pairBehaviorLastUpdateTick) < 250)
return PairBehaviorSnapshot()
btcObj := GetCachedKalshiPriceObj("BTC")
ethObj := GetCachedKalshiPriceObj("ETH")
btcPrice := PriceObjCurrent(btcObj)
ethPrice := PriceObjCurrent(ethObj)
if (btcPrice = "" || ethPrice = "" || btcPrice <= 0 || ethPrice <= 0) {
pairBehaviorState := "WAITING"
pairBehaviorScore := ""
return PairBehaviorSnapshot()
}
if (pairBehaviorBtcOpen = "") {
btcOpen := PriceObjOpen(btcObj)
pairBehaviorBtcOpen := (btcOpen != "" && btcOpen > 0) ? btcOpen + 0 : btcPrice + 0
}
if (pairBehaviorEthOpen = "") {
ethOpen := PriceObjOpen(ethObj)
pairBehaviorEthOpen := (ethOpen != "" && ethOpen > 0) ? ethOpen + 0 : ethPrice + 0
}
if (pairBehaviorBtcOpen <= 0 || pairBehaviorEthOpen <= 0) {
pairBehaviorState := "WAITING"
pairBehaviorScore := ""
return PairBehaviorSnapshot()
}
btcMoveBps := Ln((btcPrice + 0) / (pairBehaviorBtcOpen + 0)) * 10000.0
ethMoveBps := Ln((ethPrice + 0) / (pairBehaviorEthOpen + 0)) * 10000.0
lookback := PairBehaviorLookbackPoint(nowTick)
if IsObject(lookback) {
btcVelocity := btcMoveBps - lookback.btcMoveBps
ethVelocity := ethMoveBps - lookback.ethMoveBps
} else {
btcVelocity := 0
ethVelocity := 0
}
btcSign := BehaviorSign(btcMoveBps)
ethSign := BehaviorSign(ethMoveBps)
distance := Abs(btcMoveBps - ethMoveBps)
momentumGap := Abs(btcVelocity - ethVelocity)
opposite := (btcSign != 0 && ethSign != 0 && btcSign != ethSign)
delayed := (btcSign != ethSign && !opposite)
if (opposite) {
stateName := "DIVERGENCE"
rawScore := -(distance + 14 + momentumGap * 2)
} else if (delayed) {
stateName := "DELAYED FOLLOW"
rawScore := -(distance * 0.85 + 6 + momentumGap * 1.5)
} else {
instability := distance * 0.42 + momentumGap * 1.2
rawScore := 10 - instability
minMove := Abs(btcMoveBps)
if (Abs(ethMoveBps) < minMove)
minMove := Abs(ethMoveBps)
if (rawScore < 0 || (minMove < 1 && momentumGap > 0.4)) {
stateName := "CROSSOVER INSTABILITY"
altScore := instability - 8
if (altScore < 1)
altScore := 1
altScore := -altScore
if (altScore < rawScore)
rawScore := altScore
} else {
stateName := "SYNC"
}
}
if (pairBehaviorEmaScore = "")
pairBehaviorEmaScore := rawScore
else
pairBehaviorEmaScore := pairBehaviorEmaScore + BehaviorEmaAlpha * (rawScore - pairBehaviorEmaScore)
pairBehaviorState := stateName
pairBehaviorScore := pairBehaviorEmaScore
pairBehaviorPrevBtcMoveBps := btcMoveBps
pairBehaviorPrevEthMoveBps := ethMoveBps
pairBehaviorLastUpdateTick := nowTick
PairBehaviorPushHistory(nowTick, btcMoveBps, ethMoveBps)
return PairBehaviorSnapshot()
}
PairBehaviorSnapshot() {
global pairBehaviorState, pairBehaviorScore, pairBehaviorPrevBtcMoveBps, pairBehaviorPrevEthMoveBps
obj := {}
obj.state := (pairBehaviorState != "") ? pairBehaviorState : "WAITING"
obj.score := pairBehaviorScore
obj.btcMoveBps := pairBehaviorPrevBtcMoveBps
obj.ethMoveBps := pairBehaviorPrevEthMoveBps
return obj
}
PairBehaviorPushHistory(tick, btcMoveBps, ethMoveBps) {
global pairBehaviorHistory, BehaviorLookbackMs
if !IsObject(pairBehaviorHistory)
pairBehaviorHistory := []
pairBehaviorHistory.Push({ tick: tick, btcMoveBps: btcMoveBps, ethMoveBps: ethMoveBps })
cutoff := tick - (BehaviorLookbackMs * 3)
while (pairBehaviorHistory.MaxIndex() != "" && pairBehaviorHistory[1].tick < cutoff)
pairBehaviorHistory.RemoveAt(1)
}
PairBehaviorLookbackPoint(tick) {
global pairBehaviorHistory, BehaviorLookbackMs
if !IsObject(pairBehaviorHistory)
return ""
target := tick - BehaviorLookbackMs
lookback := ""
for _, point in pairBehaviorHistory {
if (point.tick <= target)
lookback := point
else
break
}
return lookback
}
BehaviorSign(value) {
global BehaviorSignEpsBps
if (value = "" || Abs(value + 0) <= BehaviorSignEpsBps)
return 0
return (value > 0) ? 1 : -1
}
PriceObjCurrent(obj) {
if !IsObject(obj)
return ""
fields := ["price", "underlyingCurrent", "underlying_current", "current", "close"]
for _, field in fields {
if (obj.HasKey(field) && obj[field] != "" && obj[field] > 0)
return obj[field] + 0
}
return ""
}
PriceObjOpen(obj) {
if !IsObject(obj)
return ""
fields := ["open15m", "underlyingOpen", "underlying_open", "open"]
for _, field in fields {
if (obj.HasKey(field) && obj[field] != "" && obj[field] > 0)
return obj[field] + 0
}
return ""
}
FmtBehaviorScore(value) {
if (value = "")
return "n/a"
value := value + 0
if (Abs(value) >= 100)
return Round(value, 1)
return Round(value, 2)
}
SetPairPositionState(pair) {
global positions
if !IsObject(pair)
return
for _, leg in pair.legs {
pos := {}
pos.side := leg.side
pos.entry := leg.price
pos.ticker := leg.ticker
pos.quarterIndex := pair.quarterIndex
pos.pairName := pair.name
pos.qty := GetExistingPositionQty(leg.ticker)
positions[leg.asset] := pos
}
}
ClearPairPositionState() {
global activePair, positions
if IsObject(positions) {
if (positions.HasKey("BTC"))
positions.Delete("BTC")
if (positions.HasKey("ETH"))
positions.Delete("ETH")
}
activePair := ""
}
ClearPendingPairEntry() {
global pendingPair, pendingEntryOrderIds
pendingPair := ""
pendingEntryOrderIds := []
}
SetPendingPairEntry(pair, orderIds := "") {
global pendingPair, pendingEntryOrderIds, partialEntryRetryDelayMs
if !pair.HasKey("partialRetryCount")
pair.partialRetryCount := 0
if !pair.HasKey("partialRetryNextTick")
pair.partialRetryNextTick := A_TickCount + partialEntryRetryDelayMs
if !pair.HasKey("partialRetryExhausted")
pair.partialRetryExhausted := false
if !pair.HasKey("partialUnfilledText")
pair.partialUnfilledText := ""
pendingPair := pair
pendingEntryOrderIds := IsObject(orderIds) ? orderIds : []
}
HasSubmittedOrderIds(orderIds) {
return (IsObject(orderIds) && orderIds.MaxIndex() != "")
}
PairSessionEnded(pair, btcSnap := "", ethSnap := "") {
if !IsObject(pair)
return false
if (pair.HasKey("quarterIndex") && CurrentQuarterIndex() != pair.quarterIndex)
return true
if (IsObject(btcSnap) && btcSnap.marketTicker != "" && pair.HasKey("btcTicker") && pair.btcTicker != "" && btcSnap.marketTicker != pair.btcTicker)
return true
if (IsObject(ethSnap) && ethSnap.marketTicker != "" && pair.HasKey("ethTicker") && pair.ethTicker != "" && ethSnap.marketTicker != pair.ethTicker)
return true
return false
}
MarkPairHeldToResolution() {
global activePair, pairPhase
if !IsObject(activePair)
return
Log(activePair.name " held to resolution")
ClearPairPositionState()
ResetPairShotState()
ClearKalshiMarketCache("BTC")
ClearKalshiMarketCache("ETH")
pairPhase := "WAIT_WINDOW"
}
TryExitLockedPairIfNeeded(btcSnap, ethSnap) {
global activePair, pendingPair, pendingEntryOrderIds, pairPhase, PairExit
if !IsObject(activePair)
return false
lockedSum := PairCurrentSum(activePair, btcSnap, ethSnap)
if (lockedSum = "" || lockedSum >= PairExit)
return false
Log(activePair.name " exit triggered @ locked sum " FmtPairSum(lockedSum) " < " FmtPairSum(PairExit) " | selling all open pair legs with reduce-only IOC floor " Fmt(PairExitOrderPrice))
if IsObject(pendingPair) {
CancelKalshiOrders(pendingEntryOrderIds)
ClearPendingPairEntry()
Log(activePair.name " canceled pending add-on buy order(s) before exit")
}
if ExitPairPosition(activePair) {
Log(activePair.name " exit confirmed")
ClearPairPositionState()
ResetPairShotState()
ClearKalshiMarketCache("BTC")
ClearKalshiMarketCache("ETH")
pairPhase := "EXITED"
} else {
Log(activePair.name " EXIT FAILED; will retry while locked sum remains below " FmtPairSum(PairExit))
}
return true
}
ExitPairPosition(pair) {
global enableLiveOrders, PairExitOrderPrice
if !IsObject(pair)
return true
if (!enableLiveOrders)
return true
loop, 4 {
exitLegs := BuildPairExitLegs(pair)
if (!IsObject(exitLegs) || exitLegs.MaxIndex() = "")
return true
submit := SubmitKalshiIndividualOrders("SELL", exitLegs, PairExitOrderPrice, false)
if (!IsObject(submit) || !submit.ok) {
statusText := IsObject(submit) ? submit.status : "no response"
bodyText := IsObject(submit) ? submit.body : ""
Log(pair.name " exit sell submit incomplete | status " statusText " | " bodyText)
}
Sleep 150
if (!PairAnyPositionOpen(pair))
return true
if (A_Index < 4) {
Log(pair.name " exit sell retry " A_Index "/3")
Sleep 1000
}
}
return false
}
BuildPairExitLegs(pair) {
exitLegs := []
if !IsObject(pair)
return exitLegs
for _, leg in pair.legs {
qty := GetExistingPositionQty(leg.ticker)
if (qty = "" || qty <= 0) {
if !HasExistingPosition(leg.ticker)
continue
qty := PairTrackedContracts()
}
qty := Floor(qty + 0)
if (qty < 1)
continue
exitLegs.Push({ asset: leg.asset, ticker: leg.ticker, side: leg.side, price: 0, count: qty })
Log(pair.name " exit leg " leg.asset " " leg.side " " leg.ticker " qty " qty)
}
return exitLegs
}
PairAllPositionsOpen(pair) {
if !IsObject(pair)
return false
for _, leg in pair.legs {
if (leg.HasKey("targetQty")) {
qty := GetExistingPositionQty(leg.ticker)
if (qty = "") {
if !HasExistingPosition(leg.ticker)
return false
if (leg.HasKey("beforeQty") && (leg.beforeQty + 0) > 0)
return false
continue
}
if ((qty + 0.0001) < (leg.targetQty + 0))
return false
} else {
if !HasExistingPosition(leg.ticker)
return false
}
}
return true
}
PairAnyPositionOpen(pair) {
if !IsObject(pair)
return false
for _, leg in pair.legs {
if HasExistingPosition(leg.ticker)
return true
}
return false
}
PairAnyTargetProgress(pair) {
if !IsObject(pair)
return false
for _, leg in pair.legs {
qty := GetExistingPositionQty(leg.ticker)
if (qty = "")
continue
beforeQty := leg.HasKey("beforeQty") ? (leg.beforeQty + 0) : 0
if ((qty + 0.0001) > beforeQty)
return true
}
return false
}
GetPairMissingEntryLegs(pair) {
state := { legs: [], unknown: false, anyProgress: false }
if !IsObject(pair)
return state
for _, leg in pair.legs {
qty := GetExistingPositionQty(leg.ticker)
if (qty = "") {
state.unknown := true
continue
}
beforeQty := leg.HasKey("beforeQty") ? (leg.beforeQty + 0) : 0
targetQty := leg.HasKey("targetQty") ? (leg.targetQty + 0) : (beforeQty + 1)
if ((qty + 0.0001) > beforeQty)
state.anyProgress := true
if ((qty + 0.0001) >= targetQty)
continue
missingCount := Ceil(targetQty - qty)
if (missingCount < 1)
missingCount := 1
state.legs.Push({ asset: leg.asset
, ticker: leg.ticker
, side: leg.side
, price: leg.price
, count: missingCount
, currentQty: qty
, targetQty: targetQty })
}
return state
}
PairMissingEntryText(missingState) {
if (!IsObject(missingState) || !IsObject(missingState.legs) || missingState.legs.MaxIndex() = "")
return "none"
text := ""
for _, leg in missingState.legs {
if (text != "")
text .= ", "
text .= leg.asset " " leg.side " " FmtPairSum(leg.currentQty) "/" FmtPairSum(leg.targetQty)
}
return text
}
TrackPairPartialEntryFailure(pair, missingText) {
global pairPartialEntryFailures
if !IsObject(pairPartialEntryFailures)
pairPartialEntryFailures := []
shotNumber := pair.HasKey("shotNumber") ? pair.shotNumber : "?"
record := "shot " shotNumber " | " missingText
pairPartialEntryFailures.Push(record)
Log(pair.name " PARTIAL ENTRY UNFILLED after retries | " missingText " | existing leg(s) remain open; no unwind")
}
TryRetryPendingPairMissingLegs(pair) {
global pendingEntryOrderIds, partialEntryRetryMax, partialEntryRetryDelayMs, entryOrderPrice, restDelay
if !IsObject(pair)
return false
if (pair.HasKey("partialRetryExhausted") && pair.partialRetryExhausted)
return false
if (pair.HasKey("partialRetryNextTick") && A_TickCount < pair.partialRetryNextTick)
return false
missingState := GetPairMissingEntryLegs(pair)
if (missingState.unknown) {
pair.partialRetryNextTick := A_TickCount + partialEntryRetryDelayMs
LogOnce("PAIR", "PARTIAL_POSITION_UNKNOWN_" pair.shotNumber, pair.name " partial entry position check unavailable; retry deferred")
return false
}
if (!missingState.anyProgress || (missingState.legs.MaxIndex() = ""))
return (missingState.legs.MaxIndex() = "")
missingText := PairMissingEntryText(missingState)
retryCount := pair.HasKey("partialRetryCount") ? pair.partialRetryCount : 0
if (retryCount >= partialEntryRetryMax) {
pair.partialRetryExhausted := true
pair.partialUnfilledText := missingText
TrackPairPartialEntryFailure(pair, missingText)
return false
}
retryCount += 1
pair.partialRetryCount := retryCount
pair.partialRetryNextTick := A_TickCount + (partialEntryRetryDelayMs * retryCount)
Log(pair.name " partial entry retry " retryCount "/" partialEntryRetryMax " | missing " missingText)
if (HasSubmittedOrderIds(pendingEntryOrderIds)) {
cancelOk := CancelKalshiOrders(pendingEntryOrderIds)
pendingEntryOrderIds := []
if (!cancelOk) {
Log(pair.name " partial entry retry deferred because a prior order could not be canceled")
return false
}
Sleep 350
}
if PairAllPositionsOpen(pair)
return true
missingState := GetPairMissingEntryLegs(pair)
if (missingState.unknown || (missingState.legs.MaxIndex() = ""))
return (missingState.legs.MaxIndex() = "")
submit := SubmitKalshiIndividualOrders("BUY", missingState.legs, entryOrderPrice, false)
if (IsObject(submit) && IsObject(submit.orderIds))
pendingEntryOrderIds := submit.orderIds
statusText := IsObject(submit) ? submit.status : "no response"
if (!IsObject(submit) || !submit.ok) {
bodyText := IsObject(submit) ? TruncateLogText(submit.body) : ""
Log(pair.name " partial entry retry " retryCount "/" partialEntryRetryMax " submit failed | HTTP " statusText " | " bodyText)
return false
}
Sleep %restDelay%
if PairAllPositionsOpen(pair) {
Log(pair.name " partial entry retry " retryCount "/" partialEntryRetryMax " filled missing leg(s)")
return true
}
remaining := GetPairMissingEntryLegs(pair)
Log(pair.name " partial entry retry " retryCount "/" partialEntryRetryMax " still unfilled | " PairMissingEntryText(remaining))
return false
}
BuyPairPosition(pair, allowAdd := false) {
global enableLiveOrders, restDelay, entryOrderPrice
if !IsObject(pair)
return false
if (!enableLiveOrders)
return true
submit := SubmitKalshiIndividualOrders("BUY", pair.legs, entryOrderPrice, !allowAdd)
if (!IsObject(submit) || !submit.ok) {
pendingDetected := IsObject(submit) && (HasSubmittedOrderIds(submit.orderIds) || (!allowAdd && PairAnyPositionOpen(pair)))
if (pendingDetected) {
SetPendingPairEntry(pair, submit.orderIds)
Log(pair.name " entry submit incomplete; leaving buy order(s) open, waiting for fill")
}
return false
}
Sleep %restDelay%
if PairAllPositionsOpen(pair)
return true
SetPendingPairEntry(pair, submit.orderIds)
if (allowAdd)
Log(pair.name " shot " pair.shotNumber " submitted but target quantity not filled yet; leaving buy order(s) open")
else if PairAnyPositionOpen(pair)
Log(pair.name " partial entry fill detected; leaving open leg(s) and buy order(s), no unwind")
else
Log(pair.name " entry buy order(s) submitted but not filled yet; leaving open")
return false
}
PositionSessionEnded(asset, snapshot := "") {
global positions
if !IsObject(positions[asset])
return false
pos := positions[asset]
if (IsObject(snapshot) && snapshot.marketTicker != "" && pos.HasKey("ticker") && pos.ticker != "" && snapshot.marketTicker != pos.ticker)
return true
if (pos.HasKey("quarterIndex") && CurrentQuarterIndex() != pos.quarterIndex)
return true
return false
}
MarkHeldToResolution(asset) {
global positions, assetPhase
if !IsObject(positions[asset])
return
pos := positions[asset]
Log(asset " " pos.side " held to resolution")
positions.Delete(asset)
ClearKalshiMarketCache(asset)
assetPhase[asset] := "WAIT_WINDOW"
}
UpdateKalshiLogStream(asset, snapshot) {
if !IsObject(snapshot)
return ""
priceObj := GetCachedKalshiPriceObj(asset)
livePrice := (IsObject(priceObj) && priceObj.HasKey("price") && priceObj.price > 0) ? priceObj.price : ""
LiveDelta := ""
if (livePrice != "" && IsObject(priceObj) && priceObj.HasKey("open15m") && priceObj.open15m > 0)
LiveDelta := Abs(priceObj.open15m - livePrice)
LogMonitoringStream(asset, snapshot, livePrice, LiveDelta)
return LiveDelta
}
LogMonitoringStream(asset, snapshot, livePrice := "", LiveDelta := "") {
return
}
GetCachedKalshiPriceObj(asset) {
global assetPriceCache, assetPriceRefreshTick, priceRefreshMs
nowTick := A_TickCount
if (assetPriceCache.HasKey(asset) && assetPriceRefreshTick.HasKey(asset)) {
if ((nowTick - assetPriceRefreshTick[asset]) < priceRefreshMs)
return assetPriceCache[asset]
}
priceObj := GetKalshiPrice(asset)
assetPriceRefreshTick[asset] := nowTick
if (IsObject(priceObj) && priceObj.HasKey("price") && priceObj.price > 0) {
assetPriceCache[asset] := priceObj
return priceObj
}
if (assetPriceCache.HasKey(asset))
return assetPriceCache[asset]
return ""
}
GetCachedKalshiAssetPrice(asset) {
obj := GetCachedKalshiPriceObj(asset)
if (IsObject(obj) && obj.HasKey("price"))
return obj.price
return ""
}
FmtOrNA(price) {
if (price = "")
return "n/a"
return Fmt(price)
}
FmtLiveDeltaOrNA(value) {
if (value = "")
return "n/a"
value := value + 0
if (Abs(value) >= 1)
return Round(value, 2)
return Round(value, 4)
}
Fmt(price) {
return Round(price + 0, 2)
}
HasExistingPosition(marketTicker) {
if (marketTicker = "")
return false
res := KalshiSignedRequest("GET", "/trade-api/v2/portfolio/positions?ticker=" marketTicker)
if !IsObject(res) || (res.status != 200)
return false
qty := PositionQtyFromBody(res.body)
if (qty != "")
return (Abs(qty + 0) > 0)
exposure := JsonField(res.body, "market_exposure_dollars")
return (exposure != "" && Abs(exposure + 0) > 0)
}
GetExistingPositionQty(marketTicker) {
if (marketTicker = "")
return ""
res := KalshiSignedRequest("GET", "/trade-api/v2/portfolio/positions?ticker=" marketTicker)
if !IsObject(res) || (res.status != 200)
return ""
return PositionQtyFromBody(res.body)
}
PositionQtyFromBody(body) {
qty := JsonField(body, "position")
if (qty != "" && IsNumericStr(qty))
return Abs(qty + 0)
qty := JsonField(body, "position_fp")
if (qty != "" && IsNumericStr(qty)) {
value := Abs(qty + 0)
if (value <= 10000)
return value
}
fields := ["contracts", "count"]
for _, field in fields {
qty := JsonField(body, field)
if (qty != "" && IsNumericStr(qty))
return Abs(qty + 0)
}
return ""
}
BuildKalshiOrderJson(action, marketTicker, side, price, size, clientOrderId := "") {
global entryDiff
apiAction := ToLower(action)
isBuy := (apiAction = "buy")
if (!isBuy && apiAction != "sell")
return ""
if (isBuy)
price := price + entryDiff
outcomePrice := KalshiClampPrice(price)
bookPrice := KalshiEventOrderPrice(side, outcomePrice)
bookSide := KalshiEventOrderSide(apiAction, side)
countText := KalshiFixedCount(size)
priceText := KalshiFixedPrice(bookPrice)
timeInForce := isBuy ? "good_till_canceled" : "immediate_or_cancel"
reduceOnly := isBuy ? "false" : "true"
if (clientOrderId = "")
clientOrderId := BuildClientOrderId(marketTicker, apiAction, bookSide)
return "{"
. """ticker"":""" marketTicker ""","
. """client_order_id"":""" clientOrderId ""","
. """side"":""" bookSide ""","
. """count"":""" countText ""","
. """price"":""" priceText ""","
. """time_in_force"":""" timeInForce ""","
. """self_trade_prevention_type"":""taker_at_cross"","
. """post_only"":false,"
. """cancel_order_on_pause"":true,"
. """reduce_only"":" reduceOnly
. "}"
}
KalshiEventOrderSide(apiAction, contractSide) {
; Event-order V2 quotes the YES book: bid=buy YES, ask=sell YES.
if (apiAction = "buy")
return (contractSide = "UP") ? "bid" : "ask"
return (contractSide = "UP") ? "ask" : "bid"
}
KalshiEventOrderPrice(contractSide, outcomePrice) {
outcomePrice := KalshiClampPrice(outcomePrice)
if (contractSide = "UP")
return outcomePrice
return KalshiClampPrice(1 - outcomePrice)
}
KalshiClampPrice(price) {
price := price + 0
if (price < 0.01)
return 0.01
if (price > 0.99)
return 0.99
return price
}
KalshiFixedPrice(price) {
priceUnits := Round(KalshiClampPrice(price) * 10000)
whole := Floor(priceUnits / 10000)
frac := Mod(priceUnits, 10000)
return whole "." KalshiPadLeft(frac, 4)
}
KalshiFixedCount(size) {
countUnits := Round((size + 0) * 100)
if (countUnits < 100)
countUnits := 100
whole := Floor(countUnits / 100)
frac := Mod(countUnits, 100)
return whole "." KalshiPadLeft(frac, 2)
}
KalshiPadLeft(value, width) {
text := Round(value + 0)
while (StrLen(text) < width)
text := "0" text
return text
}
SubmitKalshiIndividualOrders(action, legs, overridePrice := "", skipExisting := true) {
global enableLiveOrders, kalshiApiKeyId, kalshiPrivateKeyPath, orderSize
result := {}
result.ok := false
result.orderIds := []
result.status := ""
result.body := ""
if (!enableLiveOrders) {
result.ok := true
return result
}
if (kalshiApiKeyId = "" || kalshiPrivateKeyPath = "")
return result
if (!IsObject(legs) || (legs.MaxIndex() = ""))
return result
apiAction := ToLower(action)
for _, leg in legs {
if (leg.ticker = "")
return result
if (apiAction = "buy" && skipExisting && HasExistingPosition(leg.ticker))
continue
legPrice := (overridePrice != "") ? overridePrice : leg.price
legCount := (leg.HasKey("count") && leg.count != "") ? leg.count : orderSize
payload := BuildKalshiOrderJson(action, leg.ticker, leg.side, legPrice, legCount)
if (payload = "")
return result
res := KalshiSignedRequest("POST", "/trade-api/v2/portfolio/events/orders", payload)
if !IsObject(res)
return result
result.status := res.status
result.body := res.body
orderId := JsonField(res.body, "order_id")
if (orderId != "")
result.orderIds.Push(orderId)
fillCount := JsonField(res.body, "fill_count")
remainingCount := JsonField(res.body, "remaining_count")
responseText := "ORDER " apiAction " " leg.asset " " leg.side " " leg.ticker
. " qty " legCount " price " Fmt(legPrice)
. " | HTTP " res.status
if (orderId != "")
responseText .= " | order " orderId
if (fillCount != "")
responseText .= " | filled " fillCount
if (remainingCount != "")
responseText .= " | remaining " remainingCount
if (res.status != 200 && res.status != 201)
responseText .= " | " TruncateLogText(res.body)
Log(responseText)
if (res.status = 429) {
Log("WARN: Kalshi order rate limit reached on " leg.asset "; missing leg retry will back off")
return result
}
if (res.status = 401 || res.status = 403) {
Log("WARN: HTTP " res.status " on order submit, will retry")
return result
}
if (res.status != 201 && res.status != 200)
return result
}
result.ok := true
return result
}
CancelKalshiOrders(orderIds) {
if !IsObject(orderIds)
return true
allCanceled := true
for _, orderId in orderIds {
if !CancelKalshiOrder(orderId)
allCanceled := false
}
return allCanceled
}
CancelKalshiOrder(orderId) {
if (orderId = "")
return true
res := KalshiSignedRequest("DELETE", "/trade-api/v2/portfolio/events/orders/" orderId)
if !IsObject(res) {
Log("WARN: no response while canceling order " orderId)
return false
}
if (res.status = 200 || res.status = 204 || res.status = 404)
return true
Log("WARN: cancel order " orderId " failed | HTTP " res.status " | " TruncateLogText(res.body))
return false
}
LoadKalshiCredentialsFromFiles() {
global kalshiApiKeyId, kalshiApiKeyFile, kalshiPrivateKeyPath, kalshiPrivateKeyFile, kalshiApiKeyResolvedPath, kalshiPrivateKeyResolvedPath
kalshiApiKeyId := ""
kalshiApiKeyResolvedPath := ResolveCredentialPath(kalshiApiKeyFile)
if (kalshiApiKeyResolvedPath != "") {
FileRead, apiRaw, %kalshiApiKeyResolvedPath%
apiCode := JsonField(apiRaw, "code")
if (apiCode != "")
kalshiApiKeyId := Trim(JsonUnescape(apiCode))
}
kalshiPrivateKeyPath := ""
kalshiPrivateKeyResolvedPath := ResolveCredentialPath(kalshiPrivateKeyFile)
if (kalshiPrivateKeyResolvedPath != "") {
FileRead, keyRaw, %kalshiPrivateKeyResolvedPath%
keyCode := JsonField(keyRaw, "code")
if (keyCode != "") {
pemText := JsonUnescape(keyCode)
tempBase := A_Temp
if (tempBase = "")
tempBase := A_ScriptDir
tempPem := tempBase "\kalshi_ahk\privatekey_runtime.pem"
FileCreateDir, % tempBase "\kalshi_ahk"
FileDelete, %tempPem%
FileAppend, %pemText%, %tempPem%
kalshiPrivateKeyPath := tempPem
}
}
}
StartupCredentialCheck() {
global enableLiveOrders, kalshiApiKeyId, kalshiPrivateKeyPath, kalshiSignerPath
apiReady := (kalshiApiKeyId != "")
keyReady := (kalshiPrivateKeyPath != "" && FileExist(kalshiPrivateKeyPath))
signerOut := RunAndCapture(QuoteForCmd(kalshiSignerPath) " version")
signerReady := InStr(signerOut, "NightShark Signer")
if (apiReady && keyReady && signerReady) {
res := KalshiSignedRequest("GET", "/trade-api/v2/portfolio/balance")
if IsObject(res) && (res.status = 200) {
Log("Credentials processed successfully")
return
}
if IsObject(res) && (res.status = 401 || res.status = 403) {
Log("ERROR: API key or private key is incorrect (HTTP " res.status ")")
Log("Please fix your API key / private key and restart.")
stopCode()
}
Log("WARNING: Could not verify credentials (HTTP " (IsObject(res) ? res.status : "no response") ")")
Log("Please paste below link in browser to watch fix video")
Log("https://youtu.be/Es0vvpzyND4")
stopCode()
}
if (!apiReady)
Log("ERROR: API key not loaded")
if (!keyReady)
Log("ERROR: Private key not loaded")
if (!signerReady)
Log("ERROR: NightShark signer not found")
Log("Please fix API credentials. Stopping script.")
stopCode()
}
ResolveCredentialPath(pathSpec) {
if (pathSpec = "")
return ""
if FileExist(pathSpec)
return pathSpec
normalized := StrReplace(pathSpec, "\", "/")
if FileExist(normalized)
return normalized
relative := normalized
while (SubStr(relative, 1, 1) = "/" || SubStr(relative, 1, 1) = "\")
relative := SubStr(relative, 2)
fromScriptDir := A_ScriptDir "/" relative
if FileExist(fromScriptDir)
return fromScriptDir
fromScriptDirBackslash := StrReplace(fromScriptDir, "/", "\")
if FileExist(fromScriptDirBackslash)
return fromScriptDirBackslash
return ""
}
JsonUnescape(s) {
s := StrReplace(s, "\/", "/")
s := StrReplace(s, "\n", "`n")
s := StrReplace(s, "\r", "`r")
s := StrReplace(s, "\t", A_Tab)
s := StrReplace(s, Chr(92) Chr(34), Chr(34))
s := StrReplace(s, Chr(92) Chr(92), Chr(92))
return s
}
KalshiSignedRequest(method, endpointPath, bodyJson := "") {
global kalshiApiBase, kalshiApiKeyId
timestamp := CurrentTimeMillis()
signPath := endpointPath
if InStr(signPath, "?")
signPath := SubStr(signPath, 1, InStr(signPath, "?") - 1)
signature := SignKalshiMessage(timestamp method signPath)
if (signature = "")
return false
url := kalshiApiBase endpointPath
global httpSignedObj
if !IsObject(httpSignedObj)
httpSignedObj := ComObjCreate("WinHttp.WinHttpRequest.5.1")
http := httpSignedObj
http.Option(9) := 2048 | 8192
http.Open(method, url, false)
http.SetTimeouts(1000, 1000, 3000, 5000)
http.SetRequestHeader("User-Agent", "Mozilla/5.0")
http.SetRequestHeader("Cache-Control", "no-cache, no-store")
http.SetRequestHeader("Pragma", "no-cache")
http.SetRequestHeader("KALSHI-ACCESS-KEY", kalshiApiKeyId)
http.SetRequestHeader("KALSHI-ACCESS-TIMESTAMP", timestamp)
http.SetRequestHeader("KALSHI-ACCESS-SIGNATURE", signature)
http.SetRequestHeader("Content-Type", "application/json")
try {
if (bodyJson != "")
http.Send(bodyJson)
else
http.Send()
} catch e {
httpSignedObj := ""
return false
}
obj := {}
obj.status := http.Status
obj.body := http.ResponseText
return obj
}
SignKalshiMessage(message) {
global kalshiPrivateKeyPath, kalshiKeyPassphrase, kalshiSignerPath
if (kalshiPrivateKeyPath = "" || !FileExist(kalshiPrivateKeyPath))
return ""
passArg := ""
if (kalshiKeyPassphrase != "")
passArg := " --passphrase " QuoteForCmd(kalshiKeyPassphrase)
signCmd := QuoteForCmd(kalshiSignerPath)
. " sign --key "
. QuoteForCmd(kalshiPrivateKeyPath)
. " --message "
. QuoteForCmd(message)
. passArg
out := Trim(RunAndCapture(signCmd))
if (SubStr(out, 1, 6) = "ERROR:")
return ""
return out
}
BuildClientOrderId(ticker, action, side) {
nowUtc := CurrentUtcNowAhk()
if (nowUtc = "")
nowUtc := A_Now
Random, r, 100000, 999999
marketToken := RegExReplace(ticker, "^KX([A-Z0-9]+)15M.*$", "$1")
if (marketToken = ticker || marketToken = "")
marketToken := SubStr(RegExReplace(ticker, "[^A-Za-z0-9]", ""), 1, 12)
clientOrderId := marketToken "-" action "-" side "-" nowUtc "-" A_TickCount "-" r
return SubStr(clientOrderId, 1, 64)
}
CurrentTimeMillis() {
epoch := CurrentUtcNowAhk()
if (epoch = "")
return ""
EnvSub, epoch, 19700101000000, Seconds
return epoch * 1000
}
CurrentUtcNowAhk() {
nowUtc := A_NowUTC
if (nowUtc != "")
return nowUtc
out := Trim(RunAndCapture("powershell -NoProfile -Command ""[DateTime]::UtcNow.ToString('yyyyMMddHHmmss')"""))
if RegExMatch(out, "^\d{14}$")
return out
return ""
}
QuoteForCmd(s) {
s := StrReplace(s, """", "\""")
return """" s """"
}
RunAndCapture(command) {
return RunCMD(command, A_ScriptDir)
}
ToLower(s) {
StringLower, out, s
return out
}
FindNightSharkSigner() {
candidates := [ A_ScriptDir "\nightshark-signer.exe"
, A_ScriptDir "/nightshark-signer.exe"
, A_WorkingDir "\nightshark-signer.exe"
, A_WorkingDir "/nightshark-signer.exe" ]
for _, p in candidates {
if FileExist(p)
return p
}
return A_ScriptDir "\nightshark-signer.exe"
}
CanPlaceOrderNow(asset) {
global enableLiveOrders, kalshiApiKeyId, kalshiPrivateKeyPath
if (!enableLiveOrders)
return true
if (kalshiApiKeyId != "" && kalshiPrivateKeyPath != "" && FileExist(kalshiPrivateKeyPath))
return true
return false
}
ShouldLogPrice(asset, minIntervalMs) {
global assetLastPriceLogTick
nowTick := A_TickCount
if !assetLastPriceLogTick.HasKey(asset) {
assetLastPriceLogTick[asset] := nowTick
return true
}
if ((nowTick - assetLastPriceLogTick[asset]) >= minIntervalMs) {
assetLastPriceLogTick[asset] := nowTick
return true
}
return false
}
MinutesRemainingInQuarter() {
utc := CurrentUtcNowAhk()
if (utc = "") {
; Fallback to local clock if UTC unavailable
currentMinute := A_Min + 0
remaining := 15 - Mod(currentMinute, 15)
remaining := remaining - ((A_Sec + 0) / 60.0)
return remaining
}
mm := SubStr(utc, 11, 2) + 0
ss := SubStr(utc, 13, 2) + 0
remaining := 15 - Mod(mm, 15) - (ss / 60.0)
return remaining
}
IsXMinRemaining(x) {
return (MinutesRemainingInQuarter() <= x)
}
CurrentQuarterIndex() {
utc := CurrentUtcNowAhk()
if (utc = "") {
totalMinutes := (A_Hour + 0) * 60 + (A_Min + 0)
return Floor(totalMinutes / 15)
}
hh := SubStr(utc, 9, 2) + 0
mm := SubStr(utc, 11, 2) + 0
totalMinutes := hh * 60 + mm
return Floor(totalMinutes / 15)
}
SnapshotMinutesLeft(snapshot) {
if !IsObject(snapshot)
return ""
if (snapshot.HasKey("closeTime") && snapshot.closeTime != "") {
minsLeft := MinutesUntilIsoUtc(snapshot.closeTime)
if (minsLeft != "")
return minsLeft
}
if (snapshot.HasKey("minutesLeft"))
return snapshot.minutesLeft
return ""
}
IsSnapshotExpired(snapshot, cutoffMinutes := 0) {
minsLeft := SnapshotMinutesLeft(snapshot)
return (minsLeft != "" && minsLeft <= cutoffMinutes)
}
ClearKalshiMarketCache(asset) {
global assetSnapshotCache, assetMarketRefreshTick
if (assetSnapshotCache.HasKey(asset))
assetSnapshotCache.Delete(asset)
if (assetMarketRefreshTick.HasKey(asset))
assetMarketRefreshTick.Delete(asset)
}
GetKalshiMarketSnapshot(asset, maxRetries := 4) {
global assetSeriesMap, assetSnapshotCache, assetMarketRefreshTick, marketRefreshMs, kalshiApiBase
if !assetSeriesMap.HasKey(asset)
return false
series := assetSeriesMap[asset]
nowTick := A_TickCount
if (assetSnapshotCache.HasKey(asset) && assetMarketRefreshTick.HasKey(asset)) {
cached := assetSnapshotCache[asset]
if (IsObject(cached) && (nowTick - assetMarketRefreshTick[asset]) < marketRefreshMs) {
if (IsSnapshotExpired(cached, 0.5)) {
ClearKalshiMarketCache(asset)
} else {
if (RefreshKalshiBestAsks(cached))
return cached
return false
}
}
}
attempt := 1
while (attempt <= maxRetries) {
url := kalshiApiBase "/trade-api/v2/markets?series_ticker=" series "&status=open&limit=1&_=" A_TickCount "-" attempt
body := HttpGet(url)
if (body != "") {
marketTicker := GetFirstNonEmptyJsonField(body, ["ticker"])
yesPrice := GetKalshiDollarPrice(body, "yes_ask_dollars", "yes_ask")
noPrice := GetKalshiDollarPrice(body, "no_ask_dollars", "no_ask")
closeIso := GetFirstNonEmptyJsonField(body, ["close_time", "expected_expiration_time", "expiration_time", "settlement_time"])
minsLeft := MinutesUntilIsoUtc(closeIso)
; Skip markets that already closed or close in < 30 seconds (stale/expired)
if (minsLeft != "" && minsLeft < 0.5) {
if (attempt < maxRetries) {
Sleep 200
attempt++
continue
}
}
if (marketTicker != "") {
obj := {}
obj.up := (yesPrice != "") ? yesPrice + 0 : ""
obj.down := (noPrice != "") ? noPrice + 0 : ""
obj.minutesLeft := minsLeft
obj.closeTime := closeIso
obj.marketTicker := marketTicker
assetSnapshotCache[asset] := obj
assetMarketRefreshTick[asset] := nowTick
if (RefreshKalshiBestAsks(obj) || (obj.up != "" && obj.down != ""))
return obj
}
}
if (attempt < maxRetries)
Sleep 200
attempt++
}
if (assetSnapshotCache.HasKey(asset)) {
cached := assetSnapshotCache[asset]
if IsObject(cached) {
if (IsSnapshotExpired(cached, 0.5)) {
ClearKalshiMarketCache(asset)
return false
}
if (RefreshKalshiBestAsks(cached))
return cached
}
}
return false
}
RefreshKalshiBestAsks(snapshot) {
global kalshiApiBase
if !IsObject(snapshot) || snapshot.marketTicker = ""
return false
url := kalshiApiBase "/trade-api/v2/markets/" snapshot.marketTicker "/orderbook?depth=1&_=" A_TickCount
body := HttpGet(url)
if (body = "")
return false
yesBid := GetOrderbookBestBid(body, "yes_dollars")
noBid := GetOrderbookBestBid(body, "no_dollars")
updated := false
if (noBid != "") {
snapshot.up := Round(1 - (noBid + 0), 4)
updated := true
}
if (yesBid != "") {
snapshot.down := Round(1 - (yesBid + 0), 4)
updated := true
}
return updated
}
GetOrderbookBestBid(json, sideField) {
pattern := """" sideField """\s*:\s*\[\s*\[\s*""?(-?\d+(?:\.\d+)?)"
if RegExMatch(json, pattern, m)
return m1
return ""
}
GetKalshiDollarPrice(json, dollarField, centsField := "") {
val := GetFirstNonEmptyJsonField(json, [dollarField])
if (val != "")
return val
if (centsField != "") {
val := GetFirstNonEmptyJsonField(json, [centsField])
if (val != "" && IsNumericStr(val))
return (val + 0) / 100.0
}
return ""
}
GetFirstNonEmptyJsonField(json, fields, skipZero := false) {
for _, field in fields {
val := JsonField(json, field)
if (val != "") {
if (skipZero && IsNumericStr(val) && (val + 0) = 0)
continue
return val
}
}
return ""
}
IsNumericStr(s) {
s := Trim(s)
return RegExMatch(s, "^-?\d+(\.\d+)?$")
}
TruncateLogText(text, maxLength := 240) {
text := StrReplace(text, "`r", " ")
text := StrReplace(text, "`n", " ")
text := Trim(text)
if (StrLen(text) <= maxLength)
return text
return SubStr(text, 1, maxLength) "..."
}
JsonField(json, field) {
pattern := """" field """\s*:\s*(""([^""]*)""|[^,}\s][^,}\r\n]*)"
result := ""
pos := 1
while (pos := RegExMatch(json, pattern, m, pos)) {
val := Trim(m1)
val := Trim(val, """")
if (val != "")
result := val
pos += StrLen(m)
}
return result
}
JsonFields(json, field) {
values := []
pattern := """" field """\s*:\s*(""([^""]*)""|[^,}\s][^,}\r\n]*)"
pos := 1
while (pos := RegExMatch(json, pattern, m, pos)) {
val := Trim(m1)
val := Trim(val, """")
if (val != "")
values.Push(val)
pos += StrLen(m)
}
return values
}
MinutesUntilIsoUtc(iso) {
ts := IsoUtcToAhk(iso)
if (ts = "")
return ""
nowUtc := CurrentUtcNowAhk()
if (nowUtc = "")
return ""
diff := ts
EnvSub, diff, %nowUtc%, Seconds
return diff / 60.0
}
IsoUtcToAhk(iso) {
if (iso = "")
return ""
if !RegExMatch(iso, "O)^(\d{4})-(\d{2})-(\d{2})T(\d{2}):(\d{2}):(\d{2})", m)
return ""
return m1 m2 m3 m4 m5 m6
}