218 lines
7.9 KiB
Python
218 lines
7.9 KiB
Python
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#!/usr/bin/env python3
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"""Polymarket <-> Kalshi cross-venue arbitrage scanner.
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Pulls live prices from both venues, matches the same event across them, and
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flags executable spreads: buy YES on one + NO on the other for < $1 (net of
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fees) = locked profit regardless of resolution.
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python3 xarb.py # one-shot scan -> xarb_hits.csv
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python3 xarb.py --min-vol 5000 # only liquid markets
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Matching is conservative (token overlap + same resolution month) to limit
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false matches — a wrong match isn't an arb, it's two different bets
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(resolution risk). Treat flagged hits as candidates to eyeball, not gospel.
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"""
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import argparse
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import csv
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import json
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import re
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import ssl
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import urllib.request
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from collections import defaultdict
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ctx = ssl._create_unverified_context()
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K = "https://api.elections.kalshi.com/trade-api/v2"
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GAMMA = "https://gamma-api.polymarket.com"
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STOP = {"will", "the", "a", "an", "to", "of", "in", "by", "be", "win", "wins",
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"winner", "2026", "2025", "at", "on", "for", "and", "vs", "game", "match",
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"who", "what", "during", "this", "next", "before", "after", "his", "her"}
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def get(url):
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req = urllib.request.Request(url, headers={"User-Agent": "Mozilla/5.0"})
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with urllib.request.urlopen(req, timeout=30, context=ctx) as r:
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return json.loads(r.read().decode())
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def get_safe(url):
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try:
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return get(url)
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except Exception:
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return None
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def fnum(v, d=0.0):
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try:
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return float(v)
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except (TypeError, ValueError):
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return d
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def norm(s):
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s = re.sub(r"[^a-z0-9 ]", " ", (s or "").lower())
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return {t for t in s.split() if t not in STOP and len(t) > 1}
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def nums(s):
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"""Numeric tokens (thresholds, scores, dates) that must match exactly for
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two markets to be the *same* contract, not just the same event."""
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return set(re.findall(r"\d+", (s or "").lower()))
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def kalshi_fee(price):
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"""Kalshi taker fee per $1 contract ≈ 0.07 * P * (1-P)."""
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return 0.07 * price * (1 - price)
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# ── data pulls ──────────────────────────────────────────────────────────────
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def pull_kalshi(min_vol):
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evs, cur = [], ""
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for _ in range(60):
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d = get(K + "/events?limit=200&status=open&with_nested_markets=true"
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+ (f"&cursor={cur}" if cur else ""))
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evs += d.get("events", [])
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cur = d.get("cursor")
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if not cur:
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break
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out = []
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for e in evs:
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for m in e.get("markets", []):
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ya, na = fnum(m.get("yes_ask_dollars")), fnum(m.get("no_ask_dollars"))
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if not (0 < ya < 1 and 0 < na < 1):
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continue
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vol = fnum(m.get("volume_24h_fp"))
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if vol < min_vol:
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continue
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text = f"{e.get('title','')} {m.get('yes_sub_title','')}"
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out.append({
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"venue": "kalshi", "ticker": m["ticker"], "text": text,
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"tokens": norm(text), "end": (m.get("close_time") or "")[:7],
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"yes_ask": ya, "no_ask": na,
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"yes_bid": fnum(m.get("yes_bid_dollars")),
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"no_bid": fnum(m.get("no_bid_dollars")), "vol": vol,
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})
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return out
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def pull_polymarket(min_vol):
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out, offset = [], 0
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for _ in range(200):
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g = get_safe(f"{GAMMA}/markets?limit=100&offset={offset}&active=true"
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f"&closed=false&order=volumeNum&ascending=false")
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if not g:
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break
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for m in g:
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try:
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outcomes = json.loads(m.get("outcomes", "[]"))
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except Exception:
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outcomes = []
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if [o.lower() for o in outcomes] != ["yes", "no"]:
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continue
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ask = fnum(m.get("bestAsk"))
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bid = fnum(m.get("bestBid"))
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if not (0 < ask < 1 and 0 < bid < 1):
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continue
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vol = fnum(m.get("volumeNum"))
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if vol < min_vol:
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continue
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q = m.get("question", "")
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out.append({
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"venue": "poly", "text": q, "tokens": norm(q),
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"end": (m.get("endDateIso") or m.get("endDate") or "")[:7],
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"yes_ask": ask, "no_ask": round(1 - bid, 4), # NO ask ≈ 1 - YES bid
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"vol": vol,
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})
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if len(g) < 100:
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break
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offset += 100
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return out
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# ── matching + arb ────────────────────────────────────────────────────────
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def match_and_scan(poly, kalshi, min_sim):
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# inverted index: token -> kalshi markets containing it
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idx = defaultdict(list)
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for k in kalshi:
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for t in k["tokens"]:
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idx[t].append(k)
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hits = []
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for p in poly:
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if len(p["tokens"]) < 2:
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continue
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p_nums = nums(p["text"])
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cand = {id(k): k for t in p["tokens"] for k in idx.get(t, [])}
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best, best_sim = None, 0
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for k in cand.values():
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if p["end"] and k["end"] and p["end"] != k["end"]:
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continue # different resolution month → skip
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if nums(k["text"]) != p_nums:
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continue # different thresholds/scores/dates → not the same contract
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inter = len(p["tokens"] & k["tokens"])
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sim = inter / len(p["tokens"] | k["tokens"])
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if sim > best_sim:
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best, best_sim = k, sim
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if not best or best_sim < min_sim:
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continue
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# two arb directions
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# A: poly YES + kalshi NO
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a_cost = p["yes_ask"] + best["no_ask"]
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a_edge = 1 - a_cost - kalshi_fee(best["no_ask"])
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# B: kalshi YES + poly NO
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b_cost = best["yes_ask"] + p["no_ask"]
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b_edge = 1 - b_cost - kalshi_fee(best["yes_ask"])
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if a_edge >= b_edge:
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edge, leg = a_edge, "poly YES + kalshi NO"
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else:
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edge, leg = b_edge, "kalshi YES + poly NO"
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hits.append({
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"edge_c": round(edge * 100, 2), "sim": round(best_sim, 2),
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"leg": leg, "poly": p["text"][:46], "kalshi": best["text"][:46],
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"p_yes": p["yes_ask"], "p_no": p["no_ask"],
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"k_yes": best["yes_ask"], "k_no": best["no_ask"],
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"min_vol": round(min(p["vol"], best["vol"])),
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})
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hits.sort(key=lambda h: h["edge_c"], reverse=True)
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return hits
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def main():
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ap = argparse.ArgumentParser(description=__doc__,
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formatter_class=argparse.RawDescriptionHelpFormatter)
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ap.add_argument("--min-vol", type=float, default=2000)
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ap.add_argument("--min-sim", type=float, default=0.5, help="token-overlap threshold")
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ap.add_argument("--top", type=int, default=30)
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args = ap.parse_args()
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print("pulling Kalshi...", flush=True)
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kalshi = pull_kalshi(args.min_vol)
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print(f" {len(kalshi)} liquid Kalshi markets", flush=True)
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print("pulling Polymarket...", flush=True)
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poly = pull_polymarket(args.min_vol)
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print(f" {len(poly)} liquid Polymarket markets", flush=True)
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hits = match_and_scan(poly, kalshi, args.min_sim)
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with open("xarb_hits.csv", "w", newline="") as f:
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w = csv.DictWriter(f, fieldnames=list(hits[0].keys()) if hits else
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["edge_c", "sim", "leg", "poly", "kalshi"])
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w.writeheader()
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w.writerows(hits)
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arbs = [h for h in hits if h["edge_c"] > 0]
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print(f"\nmatched pairs: {len(hits)} · positive-edge (after fees): {len(arbs)}")
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print(f"\n{'edge¢':>6}{'sim':>5}{'minVol':>9} match (poly ↔ kalshi)")
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print("-" * 92)
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for h in hits[:args.top]:
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print(f"{h['edge_c']:>6.1f}{h['sim']:>5.2f}{h['min_vol']:>9} "
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f"{h['poly'][:34]:34} ↔ {h['kalshi'][:30]}")
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print("-" * 92)
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print(f"saved {len(hits)} matched pairs → xarb_hits.csv (edge>0 = arb after fees)")
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return arbs, hits
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if __name__ == "__main__":
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main()
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