Walk-the-Book Bet Sizing 2026 — Order Book Aware Kelly
🎰 CryptoBonusHub 𝕏 Follow @ProbBrain Photo via Picsum Open any Polymarket market and you'll see a single ask price: maybe 23 cents for YES. That's the headline number. It is also a lie about your real entry cost if you're staking more than the trivial top-of-book size. The deeper your stake, the more you walk into the order book and pay worse prices for each additional unit. Walk-the-book bet sizing is the math that makes Kelly honest under this constraint. Why the displayed ask isn't your real entry cost An order book is a stacked queue of sell orders at progressively worse (higher) prices. The first level — the "top of book" — has whatever liquidity sits there. Maybe $500. Behind that there's another $2,000 a cent higher, then $5,000 two cents higher, and so on. If you market-buy with a $300 stake, you fill entirely at the top — your effective price equals the screen ask. Easy. But if you market-buy wit...