Conditional VaR

Family: Risk

What it computes

Emits ConditionalVarTick ticks carrying var_95, var_99, cvar_95, cvar_99, n_intraday_bars off stock trade tape (5m bars).

Available on the live, historical, and replay drives.

Methodology

Rockafellar / Uryasev (2000) discrete Expected Shortfall CVaR = VaR + (1/(pN)) · Σ(Q_p − r)⁺ over the exact rolling-window Hyndman-Fan Type 7 quantile — Basel III FRTB tail-risk anchor.

See the methodology overview for the citation index.

Inputs

Stock trade tape (5m bars).

Key outputs

Var_95, var_99, cvar_95, cvar_99, n_intraday_bars. The full field set is in the tick table below.

Output schema (ConditionalVarTick)

The field / type / description table below is regenerated from the ConditionalVarTick 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.
var_95	f64	Lower-tail historical Value-at-Risk at the 95% confidence level. NaN before five bars have sealed.
var_99	f64	Lower-tail historical Value-at-Risk at the 99% confidence level. NaN before five bars have sealed.
cvar_95	f64	Conditional Value-at-Risk (Expected Shortfall) at the 95% confidence level — the Rockafellar-Uryasev discrete form VaR_95 + (1/(0.05·N)) · Σ (Q_{0.05} − r_i)⁺ over the rolling window. NaN before five bars have sealed.
cvar_99	f64	Conditional Value-at-Risk (Expected Shortfall) at the 99% confidence level — same Rockafellar-Uryasev form at the 1% tail. NaN before five bars have sealed.
n_intraday_bars	i32	Count of intraday bars currently inside the rolling window.

Configuration (ConditionalVarParams)

Regenerated from the ConditionalVarParams 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); values below 5 clamp to 5. Always bounded — the Rockafellar-Uryasev tail sum is O(window) per emission.
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().conditional_var(["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()
  .conditionalVar(["QQQ"])
  .onEvent((tick) => {
    console.log(tick);
  });

Rust

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

use kairos::{Client, ConditionalVarRow};

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

let sub = client
    .live()
    .conditional_var(["QQQ"])
    .on_event(|row: &ConditionalVarRow| {
        println!("var_95={} cvar_95={}", row.var_95, row.cvar_95)
    })?;
// ... later ...
sub.unsubscribe();
# Ok(())
# }