L2

Each row is a Kalshi order book snapshot or delta from the orderbook_delta channel. One file per market per UTC day.

Data type: l2 · Download sample ↗

Schema

Field	Type	Description
market_ticker	string	Kalshi market ticker.
timestamp	timestamp[us] | null	Kalshi timestamp (ts_ms) of a delta. Null for source snapshots, which carry no timestamp. 00:00 UTC on the synthesized SOD and EOD rows.
local_timestamp	timestamp[us]	KacData receive timestamp. 00:00 UTC on the synthesized SOD and EOD rows.
event_type	string	orderbook_snapshot or orderbook_delta.
yes_prices	list<decimal(18,4)> | null	YES bid prices; index 0 is the best bid. Snapshot rows only.
yes_sizes	list<decimal(18,4)> | null	Size at each price in yes_prices. Snapshot rows only.
no_prices	list<decimal(18,4)> | null	NO bid prices; index 0 is the best bid. A NO bid at p is a YES ask at 1 − p. Snapshot rows only.
no_sizes	list<decimal(18,4)> | null	Size at each price in no_prices. Snapshot rows only.
delta_price	decimal(18,4) | null	Price level being updated. Delta rows only.
delta_size	decimal(18,4) | null	Signed change to the size at delta_price. Delta rows only.
delta_side	string | null	yes or no: the side being updated. Delta rows only.

Replaying the order book

1. The first row of each file is the start-of-day (SOD) book, equal to the previous day's end-of-day book. The last row is the end-of-day (EOD) book. Both are orderbook_snapshot rows whose timestamp and local_timestamp equal a UTC day boundary; every other row is a Kalshi message.
2. On an orderbook_snapshot row (source or synthesized), replace the whole book.
3. On an orderbook_delta row, add delta_size to the level at delta_price on delta_side. Remove the level when the result is ≤ 0.
4. A source snapshot with all four lists empty means the market has expired: clear the book.

A market with no earlier book (recording had not yet received a snapshot for it, and there was no EOD the day before) has no SOD row; its deltas before the first snapshot are kept. A market that still has no book at the end of the day has no EOD row.

Example data

orderbook_snapshot row:

market_ticker	event_type	yes_prices	yes_sizes	no_prices	no_sizes
KXHIGHNY-26OCT15-B68.5	orderbook_snapshot	[0.4100, 0.4000, …]	[250.00, 1200.00, …]	[0.5700, 0.5600, …]	[310.00, 800.00, …]

orderbook_delta row:

market_ticker	event_type	delta_price	delta_size	delta_side
KXHIGHNY-26OCT15-B68.5	orderbook_delta	0.4200	-40.00	yes

Example rows are illustrative（占位，待改）.