Circuit Breaker Proximity

Family: Risk

What it computes

Emits CircuitBreakerProximityTick ticks carrying pct_to_L1 / L2 / L3, breach_level off daily-close cache.

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

NYSE Rule 7.12 / Cboe Rule 6.32 thresholds (-7% / -13% / -20%).

See the methodology overview for the citation index.

Inputs

Daily-close cache.

Key outputs

Pct_to_L1 / L2 / L3, breach_level. The full field set is in the tick table below.

Output schema (CircuitBreakerProximityTick)

The field / type / description table below is regenerated from the CircuitBreakerProximityTick 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
index_symbol	Arc<str>	Index symbol the thresholds reference (interned).
date	i32	Trading session date (YYYYMMDD).
ms_of_day	i32	Milliseconds since midnight at emission time.
last_price	f64	Last admitted index print.
reference_price	f64	Reference price — the prior-session close locked in at session open per NYSE Rule 7.12.
drawdown_pct	f64	Cumulative session drawdown vs. reference_price, in percent. Negative once the index trades below the prior close.
level_1_threshold	f64	Level 1 threshold in price units (reference × (1 + L1_DRAWDOWN)).
level_2_threshold	f64	Level 2 threshold in price units.
level_3_threshold	f64	Level 3 threshold in price units.
pct_to_l1	f64	Signed percent distance to Level 1 (relative to last_price).
pct_to_l2	f64	Signed percent distance to Level 2.
pct_to_l3	f64	Signed percent distance to Level 3.
next_threshold	&'static str	"L1" / "L2" / "L3" / "None" — which level the tape would breach next on continued drawdown. "None" once every MWCB threshold has been breached.
breach_level	i32	Deepest level currently breached. 0 when no breach; 1/2/3 for active breaches.

Configuration (CircuitBreakerProximityParams)

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

Field	Type	Description
contracts	SecurityFilter	Contracts the subscription tracks. Must select the configured index_symbol (default "SPX"); other symbols are silently ignored.
conditions	ConditionPolicy	Trade-condition admission policy.
venues	ExchangeFilter	Exchange / venue admission policy.
daily_close	Arc<DailyCloseCache>	Boot-time hydrated history. Sealed for the lifetime of the subscription. The previous-session close for index_symbol must be present.
index_symbol	Arc<str>	Symbol of the index the MWCB thresholds reference. Defaults to "SPX" per NYSE Rule 7.12. Operators can override to a proxy ("^GSPC", "SPY") when the canonical cash-index print is unavailable, with the caveat that the published thresholds remain SPX-anchored — a proxy reading is an estimator, not the regulatory truth.
emit_interval_ms	i32	Minimum interval between emissions, in milliseconds. Defaults to 1_000 (one snapshot per second).

Example

Python

import kairos_thetadata as kt

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

def on_event(row):
    print(row)

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

Rust

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

use kairos::{Client, CircuitBreakerProximityRow};

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

let sub = client
    .live()
    .circuit_breaker_proximity(["QQQ"])
    .on_event(|row: &CircuitBreakerProximityRow| {
        println!("drawdown_pct={} last_price={}", row.drawdown_pct, row.last_price)
    })?;
// ... later ...
sub.unsubscribe();
# Ok(())
# }