Aggressor Intensity

Family: Flow surveillance

What it computes

Emits AggressorIntensityTick ticks carrying buy_rate, sell_rate, aggressor_rate, buy_events_in_window, sell_events_in_window off stock trade tape.

Available on the live, historical, and replay drives.

Methodology

Lee-Ready (1991) aggressor-rate streaming aggregator; buyer / seller / total classified rate over a rolling time window.

See the methodology overview for the citation index.

Inputs

Stock trade tape.

Key outputs

Buy_rate, sell_rate, aggressor_rate, buy_events_in_window, sell_events_in_window. The full field set is in the tick table below.

Output schema (AggressorIntensityTick)

The field / type / description table below is regenerated from the AggressorIntensityTick Rust source by docs-site/scripts/inject-doc-tables.ts on every npm run docs:build. Do not hand-edit between the sentinels.

Field	Type	Description
symbol	Arc<str>	Underlying symbol (interned).
date	i32	Trading-session date (YYYYMMDD).
ms_of_day	i32	Milliseconds since midnight at emission time.
buy_rate	f64	Buyer-initiated prints per second over the rolling window.
sell_rate	f64	Seller-initiated prints per second over the rolling window.
aggressor_rate	f64	Total classified (non-zero-tick) prints per second — the buy_rate + sell_rate aggressor cadence.
buy_events_in_window	i32	Number of buyer-initiated prints currently inside the window.
sell_events_in_window	i32	Number of seller-initiated prints currently inside the window.

Configuration (AggressorIntensityParams)

Regenerated from the AggressorIntensityParams Rust source — see the note above.

Field	Type	Description
contracts	SecurityFilter	Contracts the subscription tracks. Stock-only — the analytic silently ignores option / index trades at the on_tick entry point.
conditions	ConditionPolicy	Trade-condition admission policy applied to every trade print.
venues	ExchangeFilter	Exchange / venue admission policy.
window_ms	i32	Rolling-window length in milliseconds. Defaults to [DEFAULT_WINDOW_MS] (1_000 ms).
min_emit_interval_ms	i32	Minimum interval between consecutive emissions per symbol, in milliseconds. Defaults to [DEFAULT_MIN_EMIT_INTERVAL_MS] (1_000 ms). Set to 0 to surface every admission.

Example

Python

import kairos_thetadata as kt

client = kt.Client.connect(kt.Credentials.from_env())

def on_event(row):
    print(row)

sub = client.live().aggressor_intensity(["QQQ"]).on_event(on_event)
sub.wait(timeout_seconds=60.0)

TypeScript

import { Client, Credentials } from "kairos-thetadata";

const client = await Client.connect(Credentials.fromEnv());

await client
  .live()
  .aggressorIntensity(["QQQ"])
  .onEvent((tick) => {
    console.log(tick);
  });

Rust

// Cargo.toml:
//   kairos = "0.1"

use kairos::{Client, AggressorIntensityRow};

# fn run() -> Result<(), Box<dyn std::error::Error>> {
let client = Client::connect(("me@example.com", "secret"))?;

let sub = client
    .live()
    .aggressor_intensity(["QQQ"])
    .on_event(|row: &AggressorIntensityRow| {
        println!("buy_rate={} sell_rate={}", row.buy_rate, row.sell_rate)
    })?;
// ... later ...
sub.unsubscribe();
# Ok(())
# }