AegisMM
Market maker for a yes/no contract. It quotes both sides, locks cross-venue mispricings, and pulls the book when the flow looks informed.
FED-OCT26 · Will the Fed cut in October 2026? · YES pays $1 · seed 7
Model
- Kalshi mid
- 52.0¢
- Latent
- 52.0¢
- Reservation
- 52.0¢
- Lean
- 0.0¢
- Half spread
- 3.1¢
- Horizon
- 1.00
σ² = 0.250
Long inventory pushes the reservation down so the bot is more willing to sell. That lean is strongest when the contract is a coin-flip, because p(1−p) peaks at 50¢. Moving γ or κ replays the session.
Quote ladder
48.0¢ / 56.0¢Risk and P&L
Pull threshold 0.70
Hard stop at ±100 YES.
- Spread captured
- $0.00
- TWSD score
- 0
- SMP blocks
- 0
- Locks
- 0
- Kalshi net
- 0
- Polymarket net
- 0
Two venues
No lock on this step. The two books are inside the fee band.
Kalshi
fee coef 0.07YES ask fee 1.7¢
Polymarket
fee coef 0.02YES ask fee 0.5¢
A lock is buying YES on one book and NO on the other for less than $1 after fees. Kalshi charges 7% of p(1−p). Polymarket is modeled at 2%. The package pays $1 no matter how the Fed meeting goes. If one venue is left long, the desk raises a rebalance flag.
Tape
- 0000ArmSession armed. ALPHA quotes the reservation. BETA chases the mid. SMP id AEGIS.
Cumulative P&L
Gold quoting · green locked arbWhat this desk is doing
A YES contract pays a dollar if the thing happens and nothing if it doesn’t. The price is just a probability. Fifty-two cents means the crowd thinks there’s a 52% chance.
Aegis stands in the middle and posts two prices: “I’ll buy here” and “I’ll sell there.” It earns the gap when someone trades with it. That only works if it doesn’t get stuck holding a pile of YES the moment the news goes the other way.
If it owns too many YES contracts, it marks both of its prices down so people are more likely to buy from it and less likely to sell to it. It worries more when the price is near 50¢, because that’s when being wrong hurts the most, and it still worries a bit at the settlement bell, because the contract jumps to 0 or 1. The math is bent through a curve called the logit so the price can never print below 0¢ or above 100¢.
Sometimes Kalshi and Polymarket disagree. If you can buy YES on one and NO on the other for less than a dollar after fees, one of those two contracts will pay you a dollar no matter what the Fed does. That’s the lock. It can leave one website very long and the other very short, so the desk yells when a single venue gets lopsided.
Exchanges pay firms that keep real size near the middle of the book. A second account, BETA, tries to sit on the mid and farm that score. ALPHA is the careful account. If BETA’s bid would trade with ALPHA’s offer, the self-match check deletes BETA’s order before it ever leaves the building.
VPIN is a shark meter. It asks whether recent volume was all buys or all sells. Past 0.70 the desk cancels everything and only comes back with wider prices. Run the session and jump to Pull, Lock, and SMP to see each of those happen on a tape.
Prototype for a market-structure discussion. Not a live exchange, and not affiliated with Kalshi or Polymarket. The fee schedules and the rebate score are illustrative.