Market Data Ingestion Plan

Goal

Ingest real-time orderbook data from Polymarket (CLOB) and Kalshi (Exchange) to feed the Arbitrage Engine.

Polymarket (CLOB)

• Protocol: WebSocket
• Endpoint: wss://ws-fidelity.polymarket.com
• Message Format: JSON
• Channels: book (L2 Orderbook)

Kalshi

• Protocol: WebSocket
• Endpoint: wss://api.kalshi.com/trade-api/v2/ws

Implementation Steps

1. Types: Define normalized OrderBook struct in types/market.rs.
2. Polymarket Monitor:
3. Connect to WS using tokio-tungstenite.
4. Parse messages.
5. Update local state.