polymarket-kernel

Ultra-low latency computational core for Polymarket market making, now upgraded into a comprehensive decision-support and risk engine for prediction-market microstructure.

Overview

polymarket-kernel implements a unified logit-space stochastic framework where probabilities are transformed into log-odds and processed through SIMD-native math.

The crate now combines:

• high-throughput quoting primitives
• inventory-aware execution math
• vectorized analytics and portfolio risk aggregation

Source paper:

• Toward Black-Scholes for Prediction Markets (Shaw & Dalen, 2025)

Features

Core Quoting Kernel

• SoA (Structure of Arrays) layout for contiguous memory access and SIMD-friendly loads
• AVX-512 vectorized quote engine for batch processing
• Inventory-aware Avellaneda-Stoikov quoting in logit space
• Custom AVX-512 log1p approximation to avoid scalar fallback in spread computation
• Fast sigmoid approximation for x -> p mapping in hot paths

Analytics Capabilities

• Implied Belief Volatility calibration from market bid/ask quotes
• Vectorized Stress-Testing (what-if analysis) for shocked probabilities, PnL shifts, and re-quoted books
• Adaptive Kelly sizing for maker and taker clip recommendations under inventory and risk constraints
• Order Book Microstructure metrics: OBI, VWM, and pressure signal in logit space
• Cross-Market Portfolio Greeks aggregation with optional weighting and correlation matrix support

Systems Properties

• C kernel in c_src/* with FFI-safe Rust bindings in src/*
• Zero allocations in the hot path (pre-allocated caller-managed buffers)
• Numerically safe clamping for stable logit/sigmoid evaluation
• Lock-free SPSC ring buffer for market data handoff

Quick Start

Install:

cargo add polymarket-kernel

Call calculate_quotes_logit with SoA input slices:

use polymarket_kernel::calculate_quotes_logit;

fn main() {
    let x_t = vec![0.15, -0.35, 0.90, -1.20];
    let q_t = vec![10.0, -6.0, 3.0, 0.0];
    let sigma_b = vec![0.22, 0.18, 0.30, 0.15];
    let gamma = vec![0.08, 0.08, 0.08, 0.08];
    let tau = vec![0.50, 0.50, 0.50, 0.50];
    let k = vec![1.40, 1.25, 1.10, 1.80];

    let mut bid_p = vec![0.0; x_t.len()];
    let mut ask_p = vec![0.0; x_t.len()];

    calculate_quotes_logit(
        &x_t,
        &q_t,
        &sigma_b,
        &gamma,
        &tau,
        &k,
        &mut bid_p,
        &mut ask_p,
    );

    for i in 0..x_t.len() {
        println!("market {i}: bid={:.6}, ask={:.6}", bid_p[i], ask_p[i]);
    }
}

Analytics API Example

use polymarket_kernel::{analytics, GreekOut};

fn main() {
    let n = 4usize;

    let bid_p = vec![0.49, 0.41, 0.62, 0.23];
    let ask_p = vec![0.52, 0.45, 0.66, 0.27];
    let q_t = vec![8.0, -4.0, 2.0, 0.0];
    let gamma = vec![0.08; n];
    let tau = vec![0.5; n];
    let k = vec![1.4; n];

    let mut implied_sigma = vec![0.0; n];
    analytics::implied_belief_volatility_batch(
        &bid_p,
        &ask_p,
        &q_t,
        &gamma,
        &tau,
        &k,
        &mut implied_sigma,
    );

    let x_t = vec![0.20, -0.40, 0.70, -1.10];
    let shock_p = vec![0.01, -0.02, 0.03, -0.01];

    let mut out_r_x = vec![0.0; n];
    let mut out_bid = vec![0.0; n];
    let mut out_ask = vec![0.0; n];
    let mut out_greeks = vec![GreekOut::default(); n];
    let mut out_pnl = vec![0.0; n];

    analytics::simulate_shock_logit_batch(
        &x_t,
        &q_t,
        &implied_sigma,
        &gamma,
        &tau,
        &k,
        &shock_p,
        &mut out_r_x,
        &mut out_bid,
        &mut out_ask,
        &mut out_greeks,
        &mut out_pnl,
    );

    println!("implied sigma: {implied_sigma:?}");
    println!("stress pnl shift: {out_pnl:?}");
}

Benchmark Snapshot

============================================================
 POLYMARKET-KERNEL RAW BENCHMARK
============================================================
 Quote Batch Size        :       8192 markets
 Quote Iterations        :     100000
 AVX-512 Quote Latency   :       6.71 ns/market
------------------------------------------------------------
 SPSC Ring Capacity      :    1048576
 SPSC Messages           :   10000000
 SPSC Throughput         :      29.05 M msgs/sec
============================================================

License

MIT