Cross-Venue Arbitrage Engine (Kalshi ↔ Polymarket)

What it is:

• Real-time scanner for equivalent contracts across venues
• Normalizes fees + depth to compute true "net edge"
• Executes arb opportunities automatically

Key pieces:

• Pair map (Kalshi ticker ↔ PM market/outcome) + confidence (similarity score)
• Effective price model (VWAP across top levels + fees)
• Filters: min edge, min depth, max time-to-resolution

Execution:

• Hedged two-leg execution with timeouts (IOC/FOK where possible)
• Handles partial fills + reconciliation
• Auto-unwind policy + kill switch (stale data, rejects, position drift)

Deliverables:

• Live dashboard: top arbs ranked by net edge + available size
• One-click / auto mode execution + trade timeline
• Post-trade report: locked edge vs realized PnL + fees + slippage