Greek Flow

Family: Flow surveillance

What it computes

Emits GreekFlowTick ticks carrying delta_flow, gamma_flow, vega_flow, theta_flow, net_greek_flow, prints_in_window off option trade tape.

Available on the live, historical, and replay drives.

Methodology

Per-symbol multi-Greek trade-flow aggregator: Sum_trades (greek · signed_qty) across (delta, gamma, vega, theta) over rolling window.

See the methodology overview for the citation index.

Inputs

Option trade tape.

Key outputs

Delta_flow, gamma_flow, vega_flow, theta_flow, net_greek_flow, prints_in_window. The full field set is in the tick table below.

Output schema (GreekFlowTick)

The field / type / description table below is regenerated from the GreekFlowTick 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).
ms_of_day	i32	Milliseconds since midnight at emission time.
delta_flow	f64	Rolling-window sum of delta_proxy · signed_qty across admitted prints.
gamma_flow	f64	Rolling-window sum of gamma_proxy · signed_qty.
vega_flow	f64	Rolling-window sum of vega_proxy · signed_qty.
theta_flow	f64	Rolling-window sum of theta_proxy · signed_qty.
net_greek_flow	f64	Composite reading delta_flow + gamma_flow + vega_flow + theta_flow — the headline multi-Greek flow scalar.
prints_in_window	i32	Count of admitted prints contributing to the rolling window.

Configuration (GreekFlowParams)

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

Field	Type	Description
contracts	SecurityFilter	Contracts the subscription tracks. Option-only.
conditions	ConditionPolicy	Trade-condition admission policy.
venues	ExchangeFilter	Exchange / venue admission policy.
window_ms	i32	Rolling-window length in milliseconds — the trailing horizon the accumulator averages over. Defaults to [DEFAULT_WINDOW_MS] (60_000 ms).
min_emit_interval_ms	i32	Minimum interval between consecutive emissions per symbol, in milliseconds. Defaults to [DEFAULT_MIN_EMIT_INTERVAL_MS] (1_000 ms).

Example

Python

import kairos_thetadata as kt

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

def on_event(row):
    print(row)

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

Rust

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

use kairos::{Client, GreekFlowRow};

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

let sub = client
    .live()
    .greek_flow(["SPX"])
    .on_event(|row: &GreekFlowRow| println!("net_greek_flow={} delta_flow={}", row.net_greek_flow, row.delta_flow))?;
// ... later ...
sub.unsubscribe();
# Ok(())
# }