Bid Ask Persistence

Family: Microstructure

What it computes

Emits BidAskPersistenceTick ticks carrying change_probability, persistence, posterior_variance, changes_in_window, quotes_in_window off stock NBBO quote tape.

Available on the live, historical, and replay drives.

Methodology

Bayer / Liesenfeld (2010) Bayesian Beta-Bernoulli posterior change-probability of the NBBO mid-quote over a rolling N-tick window under the Jeffreys (1946) Beta(0.5, 0.5) prior.

See the methodology overview for the citation index.

Inputs

Stock NBBO quote tape.

Key outputs

Change_probability, persistence, posterior_variance, changes_in_window, quotes_in_window. The full field set is in the tick table below.

Output schema (BidAskPersistenceTick)

The field / type / description table below is regenerated from the BidAskPersistenceTick 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.
change_probability	f64	Bayesian posterior change-probability of the NBBO mid-quote in the next admitted NBBO update given the trailing window flicker rate. Range [0, 1].
persistence	f64	Persistence rate — 1 − change_probability. The institutional liquidity-stability reading the analytic is named for. Range [0, 1].
posterior_variance	f64	Posterior variance — Var(p) = (α · β) / ((α + β)² · (α + β + 1)). Shrinks toward zero as the rolling window fills.
changes_in_window	i32	Count of mid-quote changes inside the rolling window.
quotes_in_window	i32	Count of admitted NBBO updates inside the rolling window.

Configuration (BidAskPersistenceParams)

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

Field	Type	Description
contracts	SecurityFilter	Contracts the subscription tracks. Stock-only NBBO stream.
conditions	ConditionPolicy	Trade-condition admission policy applied to the NBBO bid-side condition byte.
venues	ExchangeFilter	Exchange / venue admission policy.
window_quotes	u32	Rolling-window size in admitted NBBO updates. Defaults to [DEFAULT_WINDOW_QUOTES] (100 quotes).
min_emit_interval_ms	i32	Minimum interval between consecutive emissions per symbol, in milliseconds. Defaults to [DEFAULT_MIN_EMIT_INTERVAL_MS] (1_000 ms / 1 Hz).

Example

Python

import kairos_thetadata as kt

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

def on_event(row):
    print(row)

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

Rust

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

use kairos::{Client, BidAskPersistenceRow};

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

let sub = client
    .live()
    .bid_ask_persistence(["QQQ"])
    .on_event(|row: &BidAskPersistenceRow| {
        println!("persistence={} change_probability={}", row.persistence, row.change_probability)
    })?;
// ... later ...
sub.unsubscribe();
# Ok(())
# }