Verifiable Kalshi 15-Minute Settlement Audit & Multi-Strategy Attribution Ledger
Public, machine-verifiable empirical record combining a real-time rolling audit of the most recently settled CFTC-regulated Kalshi 15-minute crypto contracts against Strike15's historical benchmark studies: 2,000 settled KXBTC15M contracts ($5.69B notional volume), 4,404 settlement-verified Kalshi/Polymarket paired orderbook snapshots, and 310 execution-isolated signals evaluated under Kalshi's exact 7.0% taker vs. 1.75% maker fee schedule.
|z| ≥ 0.85σ, 4-Exch dispersion ≤ 3.5 bps).
PM_Ask − K_Ask > 4¢ (n = 757) · +10.56¢ Taker EV (+15.24% ROI) & +12.38¢ Maker EV (+18.07% ROI).
floor_strike_t == expiration_value_{t-1} verified across 2,000 historical KXBTC15M contracts and the live 50-contract rolling feed.
Live Kalshi 15-Minute Contract Settlement Audit Feed
Polled live from /.netlify/functions/track-record and the public Kalshi Trade API v2. Every row verifies Official Kalshi floor_strike ($K_t$), Official CF Benchmarks expiration_value ($S_{\text{settle},t}$), Net 15m Move in basis points, binary resolution (YES / UP vs. NO / DOWN), and the Strike Continuity Identity ($K_t \equiv S_{\text{settle},t-1}$).
| Contract Ticker ↕ | Close Time (UTC) ↕ | Official floor_strike ($K_t$) ↕ |
CF Benchmarks expiration_value ↕ |
Net 15m Move ($) ↕ | Net Move (bps) ↕ | Settlement Result ↕ | Strike Continuity ($K_t == S_{t-1}$) ↕ | 15m Volume (Cts) ↕ |
|---|---|---|---|---|---|---|---|---|
| KXBTC15M-26OCT190545-45 ↗ | 2026-10-19 09:45:00Z | $82,881.75 | $82,912.32 | +$30.57 | +3.69 bps | YES / UP | VERIFIED (Δ $0.00) | 1,962,007 |
| KXBTC15M-26OCT190530-30 ↗ | 2026-10-19 09:30:00Z | $82,739.19 | $82,881.75 | +$142.56 | +17.23 bps | YES / UP | VERIFIED (Δ $0.00) | 1,626,485 |
| KXBTC15M-26OCT190515-15 ↗ | 2026-10-19 09:15:00Z | $82,745.12 | $82,739.19 | −$5.93 | −0.72 bps | NO / DOWN | VERIFIED (Δ $0.00) | 2,101,555 |
| KXBTC15M-26OCT190500-00 ↗ | 2026-10-19 09:00:00Z | $82,796.63 | $82,745.12 | −$51.51 | −6.22 bps | NO / DOWN | VERIFIED (Δ $0.00) | 1,786,789 |
| KXBTC15M-26OCT190445-45 ↗ | 2026-10-19 08:45:00Z | $82,687.97 | $82,796.63 | +$108.66 | +13.14 bps | YES / UP | VERIFIED (Δ $0.00) | 1,825,389 |
Execution & Strategy Attribution Ledger (v11 vs. Baseline v10)
Evaluated on a standardized $100.00 notional stake per signal using Kalshi's exact quadratic fee schedule: Fee_taker = ceil(7.0 × C × P × (1−P)) / 100 and Fee_maker = ceil(1.75 × C × P × (1−P)) / 100. Split-half out-of-sample returns (First 50% vs. Second 50% of chronological windows) are disclosed for every strategy.
Min 3 & Min 5 Volatility-Scaled Sigma + 4-Exchange Maker
|z| ≥ 0.85σ & 4-Exch Dispersion ≤ 3.5 bps
Minute-14 CF Benchmarks 60s Settlement Window Lock-In
σ_eff(τ) = σ_1m · (1 − τ/60)^(3/2) / √3
Polymarket >4¢ Cross-Venue Price Discovery Lead Gate
K−PM>4¢):
Blocks −4.88% Leader Loss (n = 608)
| Strategy & Execution Architecture ↕ | Study Cohort ↕ | Signals (N) ↕ | Wins – Losses ↕ | Win Rate (%) ↕ | Avg Entry ↕ | Kalshi Fees ($) ↕ | Net P&L ($100 Stake) ↕ | Net ROI (%) ↕ | Out-of-Sample Split (1H / 2H) ↕ | Profit Factor ↕ |
|---|---|---|---|---|---|---|---|---|---|---|
| Strategy 2: Min 14 (14m15s) Lock-In — Passive Maker | Jul 2026 Reconciled (883 Mkts) | 61 | 58W – 3L | 95.08% | 77.85¢ | $23.82 | +$1,428.84 | +23.53% | +32.43% / +14.91% | 5.755 |
| Strategy 2: Min 14 (14m15s) Lock-In — Tight Taker | Jul 2026 Reconciled (883 Mkts) | 62 | 59W – 3L | 95.16% | 78.92¢ | $91.39 | +$1,280.84 | +20.74% | +28.76% / +12.71% | 5.174 |
Strategy 3: Polymarket >4¢ Lead (PM_Ask − K_Ask > 4¢) — Maker |
4,404 Cross-Venue Book Pairs | 757 | 615W – 142L | 81.24% | 67.31¢ | $918.40 | +$13,678.90 | +18.07% | +17.40% / +18.74% | 2.140 |
Strategy 3: Polymarket >4¢ Lead (PM_Ask − K_Ask > 4¢) — Taker |
4,404 Cross-Venue Book Pairs | 757 | 615W – 142L | 81.24% | 69.31¢ | $3,622.10 | +$11,536.68 | +15.24% | +14.62% / +15.86% | 1.885 |
| Strategy 2: Min 14 (14m00s) Lock-In — Tight Taker | Oct 2026 KXBTC15M (1,000 Mkts) | 60 | 53W – 7L | 88.33% | 80.40¢ | $82.21 | +$617.77 | +10.34% | +10.99% / +9.69% | 1.874 |
| Strategy 2: Min 14 (14m00s) Lock-In — Passive Maker | Oct 2026 KXBTC15M (1,000 Mkts) | 85 | 77W – 8L | 90.59% | 83.33¢ | $25.09 | +$815.14 | +9.63% | +14.20% / +5.17% | 2.021 |
| Strategy 1: Min 3 Sigma + 4-Exch Confirm — Passive Maker | Oct 2026 KXBTC15M (1,000 Mkts) | 138 | 121W – 17L | 87.68% | 82.47¢ | $42.75 | +$818.70 | +5.96% | +6.86% / +5.06% | 1.482 |
| Strategy 1: Min 5 Sigma + 4-Exch Confirm — Passive Maker | Oct 2026 KXBTC15M (1,000 Mkts) | 148 | 129W – 19L | 87.16% | 82.66¢ | $45.40 | +$692.41 | +4.70% | +2.33% / +7.07% | 1.365 |
| Strategy 1 (Cross-Asset ETH): Sigma + 4-Exch — Passive Maker | Oct 2026 KXETH15M (240 Mkts) | 116 | 102W – 14L | 87.93% | 83.66¢ | $33.57 | +$526.88 | +4.56% | −0.73% / +9.86% | 1.377 |
| Strategy 1: Min 3 Sigma + 4-Exch Confirm — Tight Taker | Oct 2026 KXBTC15M (1,000 Mkts) | 52 | 44W – 8L | 84.62% | 80.16¢ | $72.02 | +$209.57 | +4.05% | −0.40% / +8.50% | 1.259 |
| Execution Isolation C4: Passive Maker + Hold to Expiry | 310 Identical Baseline Signals | 310 | 234W – 76L | 75.48% | 72.96¢ | $147.29 | +$1,017.82 | +3.30% | +8.30% / −1.70% | 1.134 |
| Baseline v10 (C1): Coinbase-Only + IOC Taker + Auto-Exit | 310 Identical Baseline Signals | 310 | 234W – 76L | 75.48% | 75.96¢ | $566.99 | −$1,057.51 | −3.43% | +0.55% / −7.40% | 0.857 |
Why Execution Architecture Alone Swings 310 Identical Signals by +$2,075.33 (+6.73% of Notional)
Holding the exact 310 directional entries (234 Wins, 76 Losses — 75.48% Win Rate) constant across 1,000 settled KXBTC15M markets isolates three compounding execution leaks in legacy retail bots: (1) mid-candle auto-exit spread crossing + double 7% taker fees, (2) aggressive IOC limit crossing slippage, and (3) paying the 7.0% taker fee schedule instead of resting passive post_only maker orders at 1.75%.
Ask+1¢, 7% fee) + Mid-Candle Auto-Exit (7% exit fee).Kalshi Fees: $566.99
Saves +$414.70 vs C1
+10¢ IOC sweep slippage (avg entry drops 75.96¢ → 74.96¢).Saves +$813.06 vs C1
Ask−2¢, 1.75% fee, $147.29 total fees, −74% fee cut).Net Swing: +$2,075.33 (+6.73%)
Oracle Basis Error Reduction & 60-Second Settlement Window Lock-In Telemetry
Kalshi 15-minute crypto contracts resolve on the 60-second simple average of CF Benchmarks' constituent USD spot index (BRTI) prior to close_time. Single-exchange instantaneous Coinbase spot suffers a $12.72 MAE and misclassifies 4.90% of all binary outcomes (11.60% on close calls ≤ 5 bps). Strike15's 4-exchange composite + 60-second window reconstructor reduces tracking error by 71.8%.
expiration_value
Empirical Mean Absolute Error (MAE in USD) and Binary Outcome Flip Rate across 1,000 settled KXBTC15M contracts and 46 high-resolution 1-second tick settlement windows (78,804 constituent spot trades).
| Oracle Estimator | MAE ($) | RMSE ($) | 95th Pct ($) | Outcome Flips | Close-Call (≤5 bps) Flips |
|---|---|---|---|---|---|
| Coinbase Open & Close Spot (Pre-Jul 8) | $12.72 | $19.01 | $38.71 | 6.60% (66/1000) | 15.31% (62/405) |
| Coinbase Close Spot vs Official Strike | $12.72 | $19.01 | $38.71 | 4.90% (49/1000) | 11.60% (47/405) |
| 4-Exch Synthetic BRTI 1m TWAP | $5.15 | $7.38 | $13.39 | 2.40% (24/1000) | 5.93% (24/405) |
| 4-Exch Synthetic BRTI 60s Window | $4.32 | $5.84 | $10.12 | 2.08% | 5.56% |
| 1s-Tick 60s Window BRTI (High-Res) | $3.29 | $4.00 | $6.82 | 2.17% (1/46) | 5.56% (1/18) |
Inside Minute 14 ($t \in [14\text{m}00\text{s}, 15\text{m}00\text{s}]$), each elapsed second $\tau \in [0, 60]$ locks in $1/60\text{th}$ of the official settlement price, collapsing remaining uncertainty at power $3/2$:
| Checkpoint | Locked Weight | Rem. σ_eff (bps) | Settle Dir Acc | P_lock ≥ 0.90 WR | Brier (Lock-In vs Spot) |
|---|---|---|---|---|---|
13m30s (90s left) |
0.0% | 3.029 bps | 89.13% | 93.94% (31/33) | 0.0834 vs 0.0899 |
14m00s (60s left) |
0.0% | 1.916 bps | 91.30% | 97.22% (35/36) | 0.0594 vs 0.0603 |
14m15s (45s left) |
25.0% | 1.244 bps | 95.65% | 100.0% (39/39) | 0.0273 vs 0.0369 |
14m30s (30s left) |
50.0% | 0.677 bps | 95.65% | 100.0% (41/41) | 0.0319 vs 0.0450 |
14m45s (15s left) |
75.0% | 0.239 bps | 97.83% | 97.67% (42/43) | 0.0228 vs 0.0486 |
Disclosed Quantitative Methodology & Verification Endpoints
Strike15 publishes full out-of-sample split-half metrics, exact exchange fee deductions, and unauthenticated JSON verification endpoints so any quantitative trader or institutional desk can independently audit every claim.
01 · Lookahead-Free Timestamp & Book Alignment
All historical strategy evaluations align 1-minute and 1-second constituent spot prices (Coinbase, Kraken, Bitstamp, Gemini) strictly at or prior to the decision timestamp $t$ against simultaneous Kalshi L1/L2 candlestick and orderbook snapshots. No future bars, post-settlement restatements, or in-sample curve-fitted parameters are permitted.
02 · Exact Kalshi Quadratic Fee & Rounding Schedule
Every backtest and execution isolation row deducts Kalshi's exact per-order ceiling-rounded fee formula on $C = \lfloor \text{Stake} / P \rfloor$ contracts: $\text{Fee}_{\text{taker}} = \lceil 7.0 \times C \times P \times (1-P) \rceil / 100$ and $\text{Fee}_{\text{maker}} = \lceil 1.75 \times C \times P \times (1-P) \rceil / 100$. Contracts held to expiration settle at $\$1.00$ or $\$0.00$ with $\$0.00$ settlement fee.
03 · Out-of-Sample Chronological Split-Half Validation
To guard against regime overfitting, every strategy dataset is partitioned chronologically into a First Half (1H) and Second Half (2H). Core v11 strategies maintain positive EV across both halves: Strategy 1 Min 3 Maker (+6.86% 1H / +5.06% 2H), Strategy 2 Oct Lock-In Taker (+10.99% 1H / +9.69% 2H), and Strategy 3 PM >4¢ Lead (+17.40% 1H / +18.74% 2H).
04 · Public JSON Verification Endpoints
Query live settled contracts and benchmark JSON directly via /.netlify/functions/track-record?asset=BTC, inspect real-time 4-venue BRTI telemetry via /.netlify/functions/brti-proxy?asset=BTC, or read the full working paper at strike15.com/research.
Trade Kalshi 15-Minute Crypto Markets with the Full Strike15 v11 Quantitative Suite
Access the live 4-exchange CF Benchmarks BRTI proxy, real-time Minute-14 60-second settlement lock-in calculator, Polymarket >4¢ cross-venue divergence gate, and automated post_only Maker limit routing across BTC, ETH, SOL, XRP, and DOGE.