# 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)](https://arxiv.org/pdf/2510.15205)
## 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:
```bash
cargo add polymarket-kernel
```
Call `calculate_quotes_logit` with SoA input slices:
```rust
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
```rust
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
```text
============================================================
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