The data nobody archives
DepthFeed is an independent research project. We capture and keep the one thing prediction-market traders can't get anywhere else: the full historical order book.
Why we built it
Backtesting a prediction-market strategy is only honest if you replay it against the book it would have actually traded against. But order-book depth is expensive to record in real time and impossible to backfill after the fact — so almost nobody keeps it. Free archives give you an hourly last price, which tells you nothing about spread, size, or slippage.
We run collectors against the Polymarket CLOB websocket and Kalshi's public orderbook, recording the full bid/ask book on both venues and archiving it to compact Parquet. The result is a dataset you can replay tick by tick and size a real strategy on.
How we work
The stack is deliberately small and durable: a Rust collector and API, ClickHouse for the hot window, and zstd Parquet for the cold archive. We document what we capture and how often, and we are precise about the difference between event-driven capture (Polymarket) and continuous polling (Kalshi) rather than rounding it up in marketing copy.
Not affiliated
DepthFeed is independent and is not affiliated with, endorsed by, or sponsored by Polymarket, Kalshi, or any exchange. All product names are the property of their respective owners.
Questions or data requests? Get in touch.