Overview

You'll find here details about:

• historical data availability — since when historical data has been collected and is available
• captured real-time market data channels — historical market data is sourced from the Kalshi WebSocket API and can be downloaded by data type. For example, to get the historical trades of a market, provide the data type trades and the requested market_ticker via the HTTP API.

Market data collection overview

• All market data collection is performed in AWS us-east-2, colocated with Kalshi.
• The most granular, non-aggregated data feed is always collected.
• Kalshi data is collected from the Kalshi Trade API WebSocket v2. One connection subscribes to every market, so new markets are recorded as soon as Kalshi publishes them.
• Two WebSocket connections record the same feed to help prevent data loss. Messages received on both are stored once.
• Each received message is timestamped at arrival time and stored in UTC as timestamp[us] in local_timestamp. timestamp is the time Kalshi supplies in the message, where there is one.
• Timestamps come from a clock synchronized with chrony to AWS PHC, which AWS documents with a clock error bound typically under 40 µs. The bound is the most the clock can be off; the actual offset is usually far smaller.
• Messages are stored as received: one row per message, field names converted to snake_case, prices and sizes stored as decimal(18,4).
• Market data collection services are constantly monitored both manually and via automated tools, including monitoring and alert notifications, and have built-in self-healing capabilities.
• There are multiple built-in checks that detect whether a connection to an exchange is healthy during data collection:
  • Connection silence detection — if no messages or control frames are received for more than 30 seconds, the connection is automatically restarted.
  • Market data silence detection — even if PONG messages are still received, the connection is automatically restarted if market data for the current subscriptions remains absent.
  • Message format validation — JSON format and data items are checked; errors are recorded and processing continues so that an invalid message does not interrupt collection.

Collected order book data details

Kalshi sends a full order book snapshot only on subscription, reconnection, new markets and expiry; every other change is a signed delta. A day's file on its own could therefore not be replayed. To make each file self-contained, KacData adds two synthesized rows to every L2 file:

• The first row is the start-of-day (SOD) order book: the previous day's end-of-day book. Its timestamp and local_timestamp are both 00:00:00 UTC of that day.
• The last row is the end-of-day (EOD) order book: the day's last snapshot with every later delta applied in file order. Its timestamp and local_timestamp are both 00:00:00 UTC of the next day.

Replay from the first row of the file. See the L2 schema for the replay rules.

Per-exchange historical data details

• Kalshi