Scope
FIX Market Data (MD) session for both products — order-book snapshots/updates and security status, on the KalshiMD session type (port 8233, dedicated MD host).
Messages
MarketDataRequest (35=V), MarketDataSnapshotFullRefresh (35=W), MarketDataIncrementalRefresh (35=X), MarketDataRequestReject (35=Y).SecurityStatusRequest (35=e), SecurityStatus (35=f).
Work
- MD session subscribe/unsubscribe API and typed snapshot/incremental delivery.
- Order-book reconstruction from snapshot + incrementals (consider reusing the patterns in
kalshi/ws/orderbook.py / sequence.py).
- Prediction vs perps pricing (
DollarDecimal; UseDollars/fixed-point on perps).
- Confirm the production MD host for prediction (foundation currently co-locates it with the OE host; demo splits onto
marketdata.fix.demo.kalshi.co).
Acceptance
Golden fixtures for V/W/X/Y + e/f; order-book reconstruction tests (snapshot then deltas, gap recovery) against the mock acceptor. ruff + mypy --strict clean.
Dependencies
Foundation #422. Part of #402.
Scope
FIX Market Data (MD) session for both products — order-book snapshots/updates and security status, on the
KalshiMDsession type (port 8233, dedicated MD host).Messages
MarketDataRequest(35=V),MarketDataSnapshotFullRefresh(35=W),MarketDataIncrementalRefresh(35=X),MarketDataRequestReject(35=Y).SecurityStatusRequest(35=e),SecurityStatus(35=f).Work
kalshi/ws/orderbook.py/sequence.py).DollarDecimal;UseDollars/fixed-point on perps).marketdata.fix.demo.kalshi.co).Acceptance
Golden fixtures for V/W/X/Y + e/f; order-book reconstruction tests (snapshot then deltas, gap recovery) against the mock acceptor.
ruff+mypy --strictclean.Dependencies
Foundation #422. Part of #402.