Position-Implied Velocity (PIV)

Name: SimpleFunctions
Author: SimpleFunctions

Position-Implied Velocity is the rate at which positions are being added or removed on a prediction-market contract, derived from the count of 1¢ price-delta events recorded in the market_indicator_history table over a 7-day rolling window. PIV is the substrate metric that separates a contract that is being actively traded from one whose price moves come from a single posted quote and stale fills.

CLI:sf scan --by-iy desc --min-piv 10

The Reason Raw Price Velocity Is Not Enough

A contract that moves from 32¢ to 35¢ once and sits there for a week looks the same on a daily candle as a contract that bounces between 32¢ and 35¢ a hundred times in the same period. The first one is a single posted quote that nobody contested. The second one is a market actively repricing on every print. PIV is the metric that separates them.

The substrate is the market_indicator_history table: every time the mid-price crosses a 1¢ threshold (32 → 33, 33 → 32, 33 → 34, etc.), the cron job logs a row with the timestamp. Computing PIV is then just counting rows in a rolling window:

PIV_7d = count(market_indicator_history rows where market_id = X and t > now − 7d)

The window choice (7 days) is deliberate. One day is too short — most non-event markets will look dead even when they are normal. Thirty days is too long — by the time PIV catches up, the live activity is already old news. Seven days catches most of what a daily scan needs and is the default in sf scan --by-piv.

Why 1¢ Is the Threshold

There is nothing magic about 1¢ as a threshold. It is the rounding unit Kalshi uses to display prices, so any price move smaller than that is invisible at the API level anyway. Going to 0.5¢ would force us to track sub-cent fills (which Kalshi does support, but the noise overwhelms the signal). Going to 2¢ would deflate the count enough that small markets always look dead.

The 1¢ delta is a "minimum interesting move" filter. A market that crosses 1¢ thresholds twenty times in seven days is interesting. A market that crosses zero thresholds is either truly stable or completely empty. PIV tells you which.

How to Read It

PIV is most useful as a gate combined with another indicator. A high IY with low PIV usually means stale data — nobody is trading the contract at the displayed price, so the IY is theoretical. A high IY with high PIV means a real, active dislocation that the market is currently chewing on. The combination is what makes PIV worth computing.

The other interesting read is changes in PIV over time. A market that was posting PIV = 3 for weeks and suddenly jumps to PIV = 25 in a day is reacting to something. Often that something arrives in the news flow about an hour later. PIV is one of the few metrics in the stack that occasionally leads, rather than lags, the headline.

Example

Two Polymarket contracts on the same morning, both showing nearly identical IY:

| Contract | YES Price | τ remaining | IY | PIV (7d) |
|---|:---:|:---:|:---:|:---:|
| Election-Wisconsin-Senate | 0.34 | 88 days | 615% | 47 |
| Niche-Reg-Approval | 0.34 | 91 days | 605% | 2 |

The IY column says these are essentially the same trade. The PIV column says they are not. The first contract has 47 1¢-delta events in the last week — somebody is actively repricing it, every couple of hours, as polls and news arrive. The second contract has had 2 events in seven days, meaning the price moved twice and sat there. The 605% IY on contract two is theoretical because nobody is currently transacting at it.

If you put a 100-share order in on contract two, you are quite likely to be the only filled trade of the week, and your fill price could be very different from the displayed mid (because the resting orders may have been there since the price last moved). Contract one is where the IY is *executable*. Contract two is where the IY is *displayed*.

The composite read: trade contract one with normal sizing, and either quote contract two as a maker or skip it. The sf CLI surfaces this distinction with `sf scan --by-iy desc --min-piv 10`, which filters out the stale-IY contracts before they reach the human reviewer.

Related Terms

Trading Volume

Trading volume is the total number of contracts traded in a given time period. High volume indicates active interest and typically correlates with tighter spreads and better liquidity.

Orderbook

An orderbook is a real-time list of all outstanding buy and sell orders for a prediction market contract, organized by price level. It shows the supply and demand at every price point.

Signal

A signal is any piece of new information that could affect a thesis — a news article, a price movement, a data release, a user note, or an external webhook event. The agent evaluates signals against the causal tree.

Edge Detection

Edge detection is the systematic process of scanning prediction markets to find contracts where the market price diverges from your thesis-implied fair value by more than the cost of execution.

Implied Yield (IY)

Implied yield is the annualized return a binary prediction-market contract pays if held to expiry, computed as IY = (1/p)^(365/τ) − 1, where p is the YES price (0–1) and τ is days to resolution. It converts a binary mid-price into the same units fixed-income traders use for treasuries.

Cliff Risk Index (CRI)

The cliff risk index measures how fast a binary prediction-market contract is approaching resolution, defined as the absolute price velocity multiplied by the days remaining: CRI = |Δp/Δt| × τ. High CRI flags markets that are actively deciding; low CRI flags markets that are stuck.

Liquidity Availability Score (LAS)

Liquidity Availability Score is a per-market scalar that captures whether a prediction-market orderbook is thick enough to actually trade against, computed as the sum of bid depth and ask depth scaled by the bid-ask spread. LAS is null on roughly 99% of markets, because the warm-regime cron only computes it for the top 500 by 24-hour volume — and that null is itself the most useful signal LAS produces.

Null as Signal

Null as Signal is the framework reframe that treats a missing indicator value not as a data defect but as a positive entry condition for a specific strategy. When LAS is null, when EE is null, when PIV is near zero, when CVR is null — each null state corresponds to a maker or first-mover strategy that other traders have not noticed because they are filtering the nulls out. The four named null patterns are the entry conditions for the four maker strategies in the SimpleFunctions playbook.

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