Flow Summary

Family: Flow surveillance

What it computes

Emits FlowSummaryTick ticks carrying call_prem, put_prem, net_prem, call/put_vol, sweep_ct, block_ct off option trade tape.

Available on the live, historical, and replay drives.

Methodology

Bloomberg OMON per-root rollup; sweep (multi-venue cluster) + block (size) classification.

See the methodology overview for the citation index.

Inputs

Option trade tape.

Key outputs

Call_prem, put_prem, net_prem, call/put_vol, sweep_ct, block_ct. The full field set is in the tick table below.

Output schema (FlowSummaryTick)

The field / type / description table below is regenerated from the FlowSummaryTick 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.
date	i32	Trading-session date in YYYYMMDD form.
ts_ms	i32	Milliseconds since midnight at emission time.
call_prem	f64	Cumulative session call-side premium (USD).
put_prem	f64	Cumulative session put-side premium (USD).
net_prem	f64	call_prem − put_prem — the directional bias readout.
call_vol	u64	Cumulative session call-side volume (contracts).
put_vol	u64	Cumulative session put-side volume (contracts).
sweep_ct	u32	Cumulative session sweep count.
block_ct	u32	Cumulative session block count.

Configuration (FlowSummaryParams)

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

Field	Type	Description
contracts	SecurityFilter	Contracts the subscription tracks. Subscribe by underlying symbol — the engine expands across the chain and the summary aggregates by symbol.
conditions	ConditionPolicy	Trade-condition admission policy. Default [ConditionPolicy::OpraRegular].
venues	ExchangeFilter	Exchange / venue admission policy. Default [ExchangeFilter::Any].
min_emit_interval_ms	i32	Minimum interval between per-symbol emissions (milliseconds). Default [DEFAULT_MIN_EMIT_INTERVAL_MS].
block_min_size	i32	Size threshold (contracts) above which a single print counts as one block. Default [DEFAULT_BLOCK_MIN_SIZE].
sweep_window_ms	i32	Window inside which multi-venue prints on the same cell cluster as one sweep (milliseconds). Default [DEFAULT_SWEEP_WINDOW_MS].
sweep_min_venues	u32	Minimum distinct venues required to fire one sweep. Default [DEFAULT_SWEEP_MIN_VENUES].

Example

Python

import kairos_thetadata as kt

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

def on_event(row):
    print(row)

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

Rust

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

use kairos::{Client, FlowSummaryRow};

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

let sub = client
    .live()
    .flow_summary(["SPX"])
    .on_event(|row: &FlowSummaryRow| println!("net_prem={} call_vol={}", row.net_prem, row.call_vol))?;
// ... later ...
sub.unsubscribe();
# Ok(())
# }