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[FIX] Market Data session (prediction + perps) #426

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Description

@TexasCoding

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.

Activity

  1. added
    enhancementNew feature or request
    perpsPerps / margin (perpetual futures) API
    on Jun 5, 2026
  2. added a commit that references this issue on Jun 6, 2026
  3. added a commit that references this issue on Jun 6, 2026
    279fb69
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