Amihud Illiquidity

Family: Microstructure

What it computes

Emits AmihudIlliquidityTick ticks carrying / dollar_volume_tover the trailinglookback_sessions` daily-close history — Acharya / Pedersen (2005) §IV cross-sectional liquidity-cost regressor off r_t.

Drive availability: daily-close cache.

Methodology

Amihud (2002) illiquidity ratio `ILLIQ = (1/T) · Σ.

See the methodology overview for the citation index.

Inputs

R_t.

Key outputs

/ dollar_volume_tover the trailinglookback_sessions` daily-close history — Acharya / Pedersen (2005) §IV cross-sectional liquidity-cost regressor. The full field set is in the tick table below.

Output schema (AmihudIlliquidityTick)

The field / type / description table below is regenerated from the AmihudIlliquidityTick 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) at emission time. For watermark-driven snapshots this is the watermark date; for the first intraday snapshot it is the trade date.
illiq_ratio	f64	Amihud (2002) illiquidity ratio: `(1/T) · Σ
illiq_x_1e6	f64	illiq_ratio · 1e6 — the conventional decimal-range Amihud- replication research papers print. NaN mirrors illiq_ratio.
sessions_used	i32	Count of sessions whose `
lookback_available	i32	Total log-return sessions available in the cache for this symbol — max(0, history.len() - 1). Surfaces the upper bound against which sessions_used reports.

Configuration (AmihudIlliquidityParams)

Regenerated from the AmihudIlliquidityParams 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 the live trade-tape trigger that drives intraday session-rollover emissions; the same policy gates trade prints on related analytics so the filtered universe is consistent.
venues	ExchangeFilter	Exchange / venue admission policy.
daily_close	Arc<DailyCloseCache>	Boot-time hydrated daily-close history. Sealed for the lifetime of the subscription. Holds the per-session (close, volume) pair the Amihud kernel consumes.
lookback_sessions	i32	Rolling-window length in trading sessions. Defaults to [DEFAULT_LOOKBACK_SESSIONS] (21 sessions / one month).
min_sessions	i32	Minimum admitted sessions for the rolling window to emit a real-valued ratio. Defaults to [DEFAULT_MIN_SESSIONS] (5).

Example

Python

import kairos_thetadata as kt

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

def on_event(row):
    print(row)

sub = client.live().amihud_illiquidity(["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()
  .amihudIlliquidity(["QQQ"])
  .onEvent((tick) => {
    console.log(tick);
  });

Rust

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

use kairos::{Client, AmihudIlliquidityRow};

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

let sub = client
    .live()
    .amihud_illiquidity(["QQQ"])
    .on_event(|row: &AmihudIlliquidityRow| {
        println!("illiq_ratio={} sessions_used={}", row.illiq_ratio, row.sessions_used)
    })?;
// ... later ...
sub.unsubscribe();
# Ok(())
# }