Polymarket and Kalshi Order Book Depth: 10,000 Contracts Fit 64% and 57% of Books

The quoted price holds for 100 contracts and often not for 10,000. Every one of 2,701 Polymarket order books showed enough asks to fill 100 contracts, 78% showed enough for 1,000, and 64% enough for 10,000. On Kalshi the shares were 99.9%, 96% and 57% of 1,188 books.

Where the order did fit, it cost little on Polymarket and a lot on Kalshi. The median 10,000-contract buy paid 0.25¢ a contract above the best ask on Polymarket and 15.38¢ above it on Kalshi, before fees.

Vultax took the first order-book snapshot of each hour on 17 and 18 September 2026, 10,282 books in all, and walked up the displayed asks at three order sizes in every book with a best ask between 10¢ and 90¢. The two venues were sampled on different watchlists, so each venue's figures stand on their own.

A snapshot holds up to 20 price levels a side. An order fits when those levels hold enough contracts; its cost is the average price paid walking up them, less the best ask. Polymarket books are one side of a market's token pair; Kalshi books are the Yes side, with asks derived from resting No bids.

On Polymarket the 90th-percentile cost falls from 9.38¢ at 1,000 contracts to 1.65¢ at 10,000. Bigger orders did not get cheaper: the thin books that made 1,000 contracts expensive cannot fill 10,000 at all, so they drop out of the larger order's average.

Hold the books fixed and the curve runs the right way. In the 1,717 Polymarket books that could fill every size, the median cost was 0.00¢, 0.00¢ and 0.25¢ at 100, 1,000 and 10,000 contracts. In the 680 Kalshi books it was 0.00¢, 1.71¢ and 15.38¢. In every book, a larger order paid the same average price or a higher one.

A median of zero means half the orders filled entirely at the best ask. The other half is where the cost sits: one Polymarket order in ten paid 9.38¢ or more above the best ask at 1,000 contracts, and one Kalshi order in ten paid 29.44¢ or more.

A screenshot of a price says nothing about size. Three checks follow from the numbers.

• Match the size, not the price - 100 contracts filled at or near the quote almost everywhere; at 10,000 more than a third of books on both venues could not fill the order from what they displayed.
• Size cost more on the Kalshi books sampled - where 10,000 contracts did fit, the median cost above the best ask was 15.38¢ a contract, against 0.25¢ on Polymarket. The two watchlists hold different markets, so this is each venue's own result, not a like-for-like ranking.
• Add the delay - these are books frozen at one moment. Following a Polymarket trade 30 seconds late has its own measured cost, and midterm contracts have their own depth table.
• Add the fee - on a fee-charging Polymarket market the taker fee comes on top of the fill; the fee calculator gives it for a size, price and category.

The source is Vultax's order-book archive for 17 and 18 September 2026: 616,950 book records, from which the first recorded cycle of each UTC hour on each venue was kept. That gives 48 cycles covering 83 Polymarket markets and 407 Kalshi tickers, rolling contracts included. Books enter the size test with a positive, uncrossed bid and a best ask between 10¢ and 90¢, which keeps near-settled markets from dominating the costs.

For an order of a given size, asks are sorted by price and consumed level by level; the cost is the sum of price times quantity divided by the order size. When the captured levels hold fewer contracts than the order, the order is counted as not fitting and gets no cost. Depth can exist beyond the 20 captured levels, and a displayed order can be cancelled before anyone reaches it.

The watchlists were built for event research, and hourly snapshots of one market are related to each other. Fees, order minimums and the time between seeing a price and sending an order are outside the measurement. Challenge a figure at [email protected]; material changes are logged in the changelog.

The downloadable Kalshi-related input and derived data files are temporarily unavailable while source redistribution permissions are reviewed. Methods and limitations remain described here; contact [email protected] for questions. This is not a claim that Vultax owns the underlying venue data.

Copy-trading services that want their own alerts replayed this way can write to [email protected]: send a timestamped alert log and the execution rules, and Vultax will publish the fill table at 100, 1,000 and 10,000 contracts with the fee schedule applied, misses included.