Prediction Markets

Mercury supports Polymarket (CLOB-based) and Kalshi (regulated US) alongside crypto exchanges. Binary outcome contracts (YES/NO shares) map directly onto the existing OrderBook, BookUpdate, and Fill types — prices are stored as probabilities in FixedPoint (e.g. 0.42 = 42% probability).

Symbol derivation

Polymarket

Polymarket identifies markets by a 64-character hex condition_id. Because Symbol is 16 bytes, Mercury derives a stable key using the last 16 characters of the condition ID:

condition_id: 0xbd31dc8a20211944f6b70f31557f1001557b59905b7738480ca09bd4532f84af
Symbol key:                                                  0ca09bd4532f84af

The low-order bytes of the uint256 are unique across all active markets, so no collision occurs in practice. The helper condition_id_to_symbol(cid) in mercury-market performs this mapping.

Kalshi

Kalshi market tickers (e.g. TRUMPWIN-2024) are ≤ 15 characters and fit directly in Symbol with no truncation.

Polymarket

Feed (market data)

PolymarketParser subscribes to the Polymarket CLOB WebSocket:

• URL: wss://ws-subscriptions-clob.polymarket.com/ws/market
• Subscription: {"assets_ids": ["<condition_id>"], "type": "market"}
• Messages: book (full snapshot) → DepthSnapshot; price_change (delta) → DepthUpdate

Gateway (order execution)

PolymarketGateway uses the Polymarket CLOB REST API (https://clob.polymarket.com):

Authentication: HMAC-SHA256 over {timestamp}{nonce}POST{body} using api_secret.

Configuration

#![allow(unused)]
fn main() {
PolymarketConfig {
    api_key:        String,   // POLY-API-KEY header
    api_secret:     String,   // HMAC signing key
    api_passphrase: String,   // POLY-PASSPHRASE header
}
}

Environment variables: EXCHANGE_API_KEY, EXCHANGE_SECRET_KEY, POLYMARKET_PASSPHRASE.

Usage

# Paper trade (live feed, simulated orders)
cargo run --bin mercury -- run \
  --exchange polymarket \
  --symbol 0xbd31dc8a20211944f6b70f31557f1001557b59905b7738480ca09bd4532f84af \
  --paper \
  --strategy momentum

# Live trading
EXCHANGE_API_KEY=your_api_key \
EXCHANGE_SECRET_KEY=your_api_secret \
POLYMARKET_PASSPHRASE=your_passphrase \
  cargo run --bin mercury -- run \
  --exchange polymarket \
  --symbol 0x...condition_id... \
  --strategy rsi

Kalshi

Feed (market data)

KalshiParser subscribes to the Kalshi WebSocket:

• URL: wss://api.elections.kalshi.com/trade-api/ws/v2
• Subscription: {"cmd": "subscribe", "params": {"channels": ["orderbook_delta"], "market_tickers": ["TICKER"]}}
• Messages: orderbook_snapshot → DepthSnapshot; orderbook_delta → DepthUpdate
• Prices: Kalshi sends integer cents (e.g. 42 = 42 cents = 0.42 probability). The parser converts to FixedPoint automatically.

Gateway (order execution)

KalshiGateway uses the Kalshi REST API (https://api.elections.kalshi.com/trade-api/v2):

Authentication: RSA-SHA256 (PKCS#1v1.5). Signature message: {timestamp_ms}{method}{path}. The signed bytes are base64-encoded and sent in the KALSHI-ACCESS-SIGNATURE header.

Configuration

#![allow(unused)]
fn main() {
KalshiConfig {
    api_key_id:      String,   // UUID from the Kalshi dashboard
    private_key_pem: String,   // PEM-encoded RSA private key
}
}

Environment variables: KALSHI_API_KEY_ID, KALSHI_PRIVATE_KEY (PEM string or path to a .pem file).

Usage

# Paper trade
cargo run --bin mercury -- run \
  --exchange kalshi \
  --symbol TRUMPWIN-2024 \
  --paper \
  --strategy rsi

# Live trading — pass PEM file path
KALSHI_API_KEY_ID=your-uuid \
KALSHI_PRIVATE_KEY=./kalshi_private.pem \
  cargo run --bin mercury -- run \
  --exchange kalshi \
  --symbol TRUMPWIN-2024 \
  --strategy rsi

Price representation

Both markets price YES shares between 0 and 1 (in cents: 0–100). FixedPoint handles this with 8 decimal places of precision — no floating-point rounding errors.

Kalshi:     42 cents  →  parser converts to  0.42  FixedPoint
Polymarket: "0.42"    →  FixedPoint::from_str("0.42")

Side::Buy means buying YES shares. Side::Sell means selling YES shares (equivalent to buying NO at 1 - price).