{"repo":"holypolyfoundation/KDE","free":true,"listed":false,"github":"https://github.com/holypolyfoundation/KDE","clone":"git clone https://github.com/holypolyfoundation/KDE.git","description":"KDE for polymarket","language":"Rust","stars":12,"topics":["etl","kde","poly","polymarket","rust","ws"],"license":null,"category":"data-pipelines","readme_excerpt":"BTC 15-Min Microstructure KDE Pipeline Real-time microstructure analysis of Polymarket BTC 15-minute prediction markets. Records L2 order book data via WebSocket, computes rolling statistical features in Rust, and visualizes their distributions as dark-themed KDE plots segmented by time phase. Architecture Rust core ( src/lib.rs ) — PyO3 native module: - Connects to Polymarket CLOB WebSocket, maintains a live L2 order book - Computes 6 rolling features over a 500-tick window per book update - Writes feature snapshots to Parquet (throttled to 1 per 200ms) Python orchestrator ( main.py ): - Discovers the next active BTC 15-min market via Gamma API - Waits for the 15-minute clock boundary, then triggers Rust recording - Segments data into 3 time phases and generates KDE plots Features Computed Feature Description --- --- Tick Intensity Order book updates per second (activity proxy) Sample Entropy Predictability of mid-price returns (m=2, r=0.2σ) Permutation Entropy Ordinal pattern complexity of raw prices (order=3, delay=5) Contract Price Entropy Shannon entropy of L2 volume distribution Hurst Exponent Trend persistence via R/S analysis ( 0.5 = trending) Microprice Divergence Top-10 level VWAP minus mid-price (directional pressure) Time Segments Each 15-minute window is split into three phases for comparative analysis: - First 12 Min (cyan) — baseline regime - Last 3 Min excl 30s (magenta) — transition zone - Last 30 Sec (yellow) — settlement convergence Setup Prerequisites - Py","default_branch":null,"files":null,"tree":[],"storefront":"/r/holypolyfoundation","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/holypolyfoundation/KDE/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}