KairosReal-time options analytics layer

Greeks, implied volatility, flow, gamma exposure, and order-flow toxicity — delivered as deterministic ticks across live, historical, and replay modes. Vendor-agnostic, lock-free, replay-equivalent.

Quickstart

Analytics catalogue

View on GitHub

Institutional-grade modelling

Black–Scholes Greeks with an IV-cache fast path. Generalised-variance and CBOE VIX-method volatility surfaces. Lee–Ready aggressor classification. Easley / López de Prado order-flow toxicity. SqueezeMetrics gamma exposure. Every formula traces to a primary academic or industry source.

Methodology references

Real-time processing

Lock-free dispatch path, atomic per-symbol state, deterministic ordering. The same fourteen analytics emit identical ticks across live, historical, and replay modes — the replay-equivalence contract is enforced by a property test on every commit.

Concepts

Vendor-agnostic integration

Kairos plugs into an options-market data feed via a single typed tick contract. Wire the upstream feed once; subscribe to any of fourteen typed output streams or query the same surface against a recorded dataset on disk.

Integration guide

What Kairos is

Kairos is a library that consumes an options-market data feed and emits the analytics an institutional trading or risk system needs. It runs in your process, owns no persistence, and exposes a single fluent client.

The shipped surface covers fourteen analytics — options Greeks, CBOE-method volatility surfaces, OHLCVC bars, Lee–Ready aggressor-classified trades, options-flow stratification, stock-flow alerts, order-flow toxicity (VPIN), gamma exposure (GEX), 52-week price bands, unusual-volume detection, implied-volatility change alerts, historical realised volatility, block-trade detection, and a per-contract moneyness slice.

Every analytic obeys three contracts:

Replay parity — the output stream produced by replaying a recorded tick capture equals — frame for frame, field for field, watermark for watermark — the stream the same analytic would have emitted live.
Lock-free dispatch — a single OS thread drains the ingest path; per-symbol state cells are owned by that thread; the dispatch path takes no locks in steady state.
Trust-boundary validation — every wire decoder, every prewarm decoder, and the quote-grid admission path fails closed on NaN, ±Inf, negative size, or out-of-range date.

How Kairos is delivered

Three execution modes, one client, one output type per analytic:

Live — subscribe to typed output streams driven by the upstream websocket session. See Live streaming.
Historical — query a date range across a contract universe. Each (contract, date) unit emits exactly one terminal watermark and a per-unit verdict. See Historical query.
Replay — drive any analytic from a recorded TickDataset (Vec, iterator, or the tick parquet schema). See Dataset replay.

Status

The current release is v3.0.0. See the changelog for the release history and the v2 → v3 migration guide for the breaking changes.