Bipower Variation

Family: Volatility

What it computes

Emits BipowerVariationTick ticks carrying · off r_i.

Drive availability: r_{i-1}.

Methodology

Barndorff-Nielsen / Shephard (2004) jump-robust bipower variation `BPV = (π / 2) · Σ.

See the methodology overview for the citation index.

Inputs

R_i.

Key outputs

·. The full field set is in the tick table below.

Output schema (BipowerVariationTick)

The field / type / description table below is regenerated from the BipowerVariationTick 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.
ms_of_day	i32	Milliseconds since midnight ET at emission time.
rv_total	f64	Textbook realized variance RV = Σ r_i² over the rolling- window bars. Always finite past the first sealed bar — the consumer reads bpv / rv_total as the canonical jump- presence ratio (values below 1 flag a jump-contaminated window).
bpv	f64	Barndorff-Nielsen / Shephard (2004) jump-robust bipower variation estimator. NaN with fewer than two bars (the product kernel is undefined).
jump_share	f64	Jump-presence ratio (rv_total − bpv) / rv_total clamped to [0, 1] — the institutional gauge of how much of the textbook realized variance the jump-robust estimator strips off. NaN with fewer than two bars or on a degenerate zero-variance window.
n_intraday_bars	i32	Count of intraday bars currently inside the rolling window — the BNS N parameter. Values below 2 flag the cold-start regime where bpv and jump_share stay NaN.

Configuration (BipowerVariationParams)

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

Field	Type	Description
contracts	SecurityFilter	Contracts the subscription tracks. Stocks only — the analytic silently ignores option / index trades at the on_tick entry point.
conditions	ConditionPolicy	Trade-condition admission policy applied to every print.
venues	ExchangeFilter	Exchange / venue admission policy.
bar_interval_ms	i32	Per-bar cadence in milliseconds. Defaults to [DEFAULT_BAR_INTERVAL_MS] (300_000 ms / 5 min).
window_bars	i32	Rolling-window length in bars. Defaults to [DEFAULT_WINDOW_BARS] (78 — one US-equity session at the default 5-minute cadence).
min_emit_interval_ms	i32	Minimum interval between consecutive emissions per symbol, in milliseconds. Defaults to [DEFAULT_MIN_EMIT_INTERVAL_MS] (60_000 ms). Set to 0 to publish on every sealed bar.

Example

Python

import kairos_thetadata as kt

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

def on_event(row):
    print(row)

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

Rust

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

use kairos::{Client, BipowerVariationRow};

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

let sub = client
    .live()
    .bipower_variation(["QQQ"])
    .on_event(|row: &BipowerVariationRow| {
        println!("bpv={} jump_share={}", row.bpv, row.jump_share)
    })?;
// ... later ...
sub.unsubscribe();
# Ok(())
# }