Garch Proxy

Family: Volatility

What it computes

Emits GarchProxyTick ticks carrying conditional_variance, conditional_volatility, annualized_volatility, last_return, n_intraday_bars off stock trade tape (5m bars).

Available on the live, historical, and replay drives.

Methodology

Bollerslev (1986) intraday GARCH(1,1) streaming conditional-volatility recursion σ²_t = ω + α · r²_{t-1} + β · σ²_{t-1} off pretrained (α, β, ω) scalars; Hansen-Lunde (2005) §3 equity regime defaults (0.10, 0.85, 5e-7).

See the methodology overview for the citation index.

Inputs

Stock trade tape (5m bars).

Key outputs

Conditional_variance, conditional_volatility, annualized_volatility, last_return, n_intraday_bars. The full field set is in the tick table below.

Output schema (GarchProxyTick)

The field / type / description table below is regenerated from the GarchProxyTick 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.
conditional_variance	f64	Standing conditional variance σ²_t per the GARCH(1,1) recursion. Initialised at the long-run anchor ω / (1 − α − β) on the first emission.
conditional_volatility	f64	Standing per-bar conditional volatility σ_t = sqrt(σ²_t).
annualized_volatility	f64	Annualised conditional volatility under the canonical 252 sessions × bars_per_session institutional convention.
last_return	f64	Last sealed per-bar log return r_t the recursion advanced against — 0.0 before any bar has sealed.
n_intraday_bars	i32	Count of sealed bars the recursion has advanced against.

Configuration (GarchProxyParams)

Regenerated from the GarchProxyParams 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).
alpha	f64	GARCH(1,1) α loading on the lagged squared return. Defaults to [DEFAULT_ALPHA] (0.10).
beta	f64	GARCH(1,1) β loading on the lagged conditional variance. Defaults to [DEFAULT_BETA] (0.85).
omega	f64	GARCH(1,1) ω constant. Defaults to [DEFAULT_OMEGA] (5e-7).
bars_per_session	i32	Bars-per-session count used to convert the per-bar conditional variance to the annualised conditional volatility. Defaults to [DEFAULT_BARS_PER_SESSION] (78).
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().garch_proxy(["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()
  .garchProxy(["QQQ"])
  .onEvent((tick) => {
    console.log(tick);
  });

Rust

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

use kairos::{Client, GarchProxyRow};

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

let sub = client
    .live()
    .garch_proxy(["QQQ"])
    .on_event(|row: &GarchProxyRow| println!("conditional_volatility={} annualized_volatility={}", row.conditional_volatility, row.annualized_volatility))?;
// ... later ...
sub.unsubscribe();
# Ok(())
# }