BlockTrade

What it computes

Threshold-based block-trade emission. Fires one BlockTradeTick whenever an admitted option print exceeds the configured size or premium thresholds.

Methodology

Defaults follow the OPRA Pillar Options Trade Conditions block-eligibility convention (size ≥ 100 contracts OR premium ≥ $25,000). Both thresholds are configurable per subscription to match in-house desk conventions.

Inputs

• Option TradeTick.

Output schema (BlockTradeTick)

The field / type / description table below is regenerated from the BlockTradeTick 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
contract	Contract	Resolved contract metadata. Subscribers identify the security by (symbol, expiration, right, strike) on this field — the wire-level contract id is engine-internal and is not surfaced here.
date	i32	Trading-session date in YYYYMMDD form.
ms_of_day	i32	Milliseconds since midnight.
exchange	i32	Exchange code that printed the trade.
condition	i32	Primary OPRA trade-condition code.
price	f64	Trade price.
size	i32	Trade size (contracts).
premium	f64	Premium (price × size × 100).
size_block	bool	true iff size >= min_size.
premium_block	bool	true iff premium >= min_premium_usd.

A print emits if either the size or premium threshold is exceeded — the analytic fires on the OR of the two thresholds, not the AND.

Configuration (BlockTradeRequest)

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

Field	Type	Description
contracts	SecurityFilter	Contracts the subscription tracks.
min_size	i32	Minimum size in contracts to flag a print as a size-block. Default 100 per trade-alert.com convention.
min_premium_usd	f64	Minimum premium in USD to flag a print as a premium-block. Default $25,000.
conditions	ConditionPolicy	Trade-condition admission policy.
venues	ExchangeFilter	Exchange / venue admission policy.

Operational characteristics

• Per-tick latency. Constant-time threshold check.
• Allocation discipline. Tick struct fields are stack-allocated; the emission Arc is the only heap allocation per fire.
• Replay parity. Deterministic — the gate is a pure function of the print.

Example

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

use kairos::{Client, BlockTradeRow};

let client = Client::connect(("me@example.com", "secret"))?;

let sub = client
    .live()
    .block_trade(["QQQ"])
    .min_size(100)
    .min_premium_usd(100_000.0)
    .on_event(|row: &BlockTradeRow| {
        println!("price={} size={}", row.price, row.size)
    })?;
// ... later ...
sub.unsubscribe();