Calendar Arb Residual

Family: Stat-arb

What it computes

Emits CalendarArbResidualTick ticks carrying strikes_used, violations, min_residual, per_strike (strike, near_mid, far_mid, residual_value) off chain snapshot (multi-expiration).

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

Merton (1973) Theorem 5 calendar-spread time-monotonicity residual C(K, T_far) − C(K, T_near) at every shared strike across two listed expirations on a multi-expiration chain snapshot.

See the methodology overview for the citation index.

Inputs

Chain snapshot (multi-expiration).

Key outputs

Strikes_used, violations, min_residual, per_strike (strike, near_mid, far_mid, residual_value). The full field set is in the tick table below.

Output schema (CalendarArbResidualTick)

The field / type / description table below is regenerated from the CalendarArbResidualTick 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.
near_expiration	i32	Near expiration YYYYMMDD anchoring C(K, T_near).
far_expiration	i32	Far expiration YYYYMMDD anchoring C(K, T_far).
strikes_used	i32	Count of shared strikes the residual sweep admitted.
violations	i32	Count of admitted strikes whose residual is strictly negative — the chain's calendar-spread arbitrage violation count.
min_residual	f64	Minimum recovered residual across the admitted strikes; negative values flag a calendar violation.
per_strike	Vec<CalendarResidualPoint>	Per-strike residual points.

Configuration (CalendarArbResidualParams)

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

Field	Type	Description
contracts	SecurityFilter	Underlying symbols the subscription tracks.
conditions	ConditionPolicy	Trade-condition admission policy. Retained for surface consistency.
venues	ExchangeFilter	Exchange / venue admission policy. Retained for surface consistency.
daily_close	Arc<DailyCloseCache>	Boot-time hydrated daily-close history. The empty default is a placeholder — the kernel consumes a chain snapshot rather than the daily-close history, but the cache slot is retained so the DefaultSpec hook can fail closed with the same documented cache-dependency error.
min_shared_strikes	i32	Minimum number of strikes shared by both legs. Defaults to [DEFAULT_MIN_SHARED_STRIKES] (1).
near_expiration	i32	Near expiration target YYYYMMDD. 0 selects the front expiration on the supplied chain snapshot.
far_expiration	i32	Far expiration target YYYYMMDD. 0 selects the second-nearest expiration after near_expiration.

Example

Python

import kairos_thetadata as kt

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

def on_event(row):
    print(row)

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

Rust

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

use kairos::{Client, CalendarArbResidualRow};

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

let sub = client
    .live()
    .calendar_arb_residual(["SPX"])
    .on_event(|row: &CalendarArbResidualRow| {
        println!("min_residual={} violations={}", row.min_residual, row.violations)
    })?;
// ... later ...
sub.unsubscribe();
# Ok(())
# }