Prediction markets forget.
Kalshi and Polymarket will tell you what a contract is worth right now, and roughly what it was worth before. They will not tell you how it got there. The order book that produced those prices is discarded as it goes by. Dodona writes it down.
One hour of one market
The history you can buy is not the history that happened.
A tennis doubles match on Kalshi, the afternoon of 23 July 2026. The top lane is the finest history the exchange sells: one bar a minute, drawn from its own published quotes. An orderly hour.
Sixty minutes, sixty bars. Nothing here asks for a second look.
A 1,643-lot order printed at 91¢ (marked). Within half a second every bid from 80¢ to 91¢ was gone: 13,502 contracts across 8 levels, withdrawn. The best bid was 11¢. The ask (dashed) never moved.
KXITFDOUBLES-26JUL23LOPNIKBALDEL-LOPNIK · 2026-07-23T17:00Z · 78,745 order-book messages in the hour. The book emptied, refilled, and emptied again inside 0.8 seconds. Kalshi’s own quote feed samples about once a second and reports an 85¢ bid throughout. Book rebuilt from snapshot and deltas; it agrees with 98.5% of the exchange’s own 1,385 published quotes.
Why it matters
You cannot backtest what nobody wrote down.
Every backtest assumes a fill. That assumption is a claim about what was resting on the book at one instant, and the bar chart above has no opinion on it. Ask what 1,643 lots would have cost in that minute and the bars say one thing; the book says the bid vanished for most of a second. Spread, depth, resting size, how fast quotes pull when size arrives: these are message-level questions. They do not survive being summarised into a bar.
Event markets are the most interesting place to ask them. A specific, resolvable question gets priced in public by people with money on it. How information becomes a price is easier to watch here than almost anywhere else.
Equities and futures have decades of tick archives, and an industry built on them. Event markets have almost nothing. The data is not secret. It just streams past while nobody catches it.
What is recorded
Stored exactly as it arrived, gaps included.
The archive only grows forward. A day that was not recorded cannot be bought later, at any price.
This is why it has to start now rather than when it is convenient. What we record is permanent. What we miss is gone.
Access
Tell me when the archive opens.
Coverage, schema, and access terms. One email when there is something real to look at, and nothing else.
Your address is used for that one email and nothing else. It is never sold or shared.