Box Spread Arb Residual

Family: Stat-arb

What it computes

Emits BoxSpreadArbResidualTick ticks carrying tenor_years, pairs_used, max_abs_residual, per_pair (strike_low, strike_high, box_cost, discounted_payoff, residual_value) off chain snapshot.

Available on the live and replay drives. The historical drive fails closed with KAIROS_ERR_HISTORICAL_UNWIRED until the relevant cache is hydrated externally.

Methodology

Stoll (1969) / Hull (2018) four-leg European box-spread residual (C(K1) − P(K1)) − (C(K2) − P(K2)) − (K2 − K1) · e^{-rT} at every adjacent shared call+put strike pair — companion to box_spread (which solves implied funding).

See the methodology overview for the citation index.

Inputs

Chain snapshot.

Key outputs

Tenor_years, pairs_used, max_abs_residual, per_pair (strike_low, strike_high, box_cost, discounted_payoff, residual_value). The full field set is in the tick table below.

Output schema (BoxSpreadArbResidualTick)

The field / type / description table below is regenerated from the BoxSpreadArbResidualTick 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 at emission time.
expiration	i32	Expiration YYYYMMDD anchoring the box residuals.
tenor_years	f64	Tenor in calendar years used in the discounting factor.
pairs_used	i32	Count of adjacent box-spread pairs the residual sweep admitted.
max_abs_residual	f64	Maximum absolute residual across the admitted pairs — the chain's worst-case box-spread mispricing magnitude.
per_pair	Vec<BoxResidualPoint>	Per-pair residual points.

Configuration (BoxSpreadArbResidualParams)

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

Field	Type	Description
contracts	SecurityFilter	Underlying symbols the subscription tracks.
conditions	ConditionPolicy	Trade-condition admission policy.
venues	ExchangeFilter	Exchange / venue admission policy.
daily_close	Arc<DailyCloseCache>	Boot-time hydrated daily-close history. Placeholder slot.
min_strikes	i32	Minimum number of shared call+put strikes for the box residual sweep. Defaults to [DEFAULT_MIN_STRIKES] (2).
target_expiration	i32	Target expiration YYYYMMDD. 0 selects the front expiration.
risk_free_rate	f64	Annualised continuously-compounded risk-free rate.

Example

Python

import kairos_thetadata as kt

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

def on_event(row):
    print(row)

sub = client.live().box_spread_arb_residual(["SPX"]).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()
  .boxSpreadArbResidual(["SPX"])
  .onEvent((tick) => {
    console.log(tick);
  });

Rust

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

use kairos::{Client, BoxSpreadArbResidualRow};

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

let sub = client
    .live()
    .box_spread_arb_residual(["SPX"])
    .on_event(|row: &BoxSpreadArbResidualRow| {
        println!("max_abs_residual={} pairs_used={}", row.max_abs_residual, row.pairs_used)
    })?;
// ... later ...
sub.unsubscribe();
# Ok(())
# }