Fair value, and the arithmetic that got there.
Every price starts at what the venue is quoting, because the market is the best single estimate available. Six signals move it from there. None of them is allowed to move it far.
Nothing priced right now.
No market in the last 24 hours of tape carries enough flow to price against. The engine gives itself the same answer.
The six signals
Flow imbalance
What share of the money over the window bought this side.
Centered on the price itself, not on half. A side quoted at 80 percent should already attract most of the flow, so only the excess carries information.
Smart money
The same flow, weighted by each buyer's track record.
Only meaningful where fills are attributable. Kalshi's tape is anonymous, so this signal is skipped there rather than reported as a real zero.
Trader accuracy
How the accounts on this side have done on markets that settled.
Shrunk toward a coin flip with six pseudo-observations, so a 2-for-2 record cannot outrank 40-for-50.
Price trend
Where the side has traded in the last four hours against the full window.
Drift, not level. A side that has been steady all day contributes nothing here, which is why you will often see this one at zero.
Cross venue
The other venue's price on the same question.
The only signal that does not depend on our own trader modelling. Two venues disagreeing is the cleanest evidence available.
Liquidity
Depth resting on the book.
Recorded but never directional. It caps how large a position can be without moving the price, and it always contributes exactly zero.
Why everything is clamped
No single signal may move fair value more than eight points, and all of them together may not move it more than fifteen. Without those bounds one unusual hour of flow can produce a confident-looking price that nothing else supports, and the resulting order is large precisely when the estimate is worst.
Why sample size is stored
A signal standing on three fills and one standing on three hundred can produce the same number, and they are not the same claim. Recording n next to every contribution is what lets you tell them apart later, and it is what confidence is actually computed from.
What happens to a price once it exists
A model reviews it, your limits size it, and the risk checks decide whether it leaves the process.