Hasbrouck Info Share

Family: Microstructure

What it computes

Emits HasbrouckInfoShareTick ticks carrying variance_share_pct per venue off multi-venue tape.

Available on the live, historical, and replay drives.

Methodology

Per-venue return-variance share (Hasbrouck 1995 price-discovery tradition; loading-aware information share is the designated upgrade).

See the methodology overview for the citation index.

Inputs

Multi-venue tape.

Key outputs

Variance_share_pct per venue. The full field set is in the tick table below.

Output schema (HasbrouckInfoShareTick)

The field / type / description table below is regenerated from the HasbrouckInfoShareTick 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). Stock-only analytic — the symbol is the full user-facing identity.
date	i32	Trading-session date (YYYYMMDD).
ms_of_day	i32	Milliseconds since midnight at the emission cadence.
venue	&'static str	Venue display label — the human-readable exchange name from the canonical wire enumeration (e.g. "NewYorkStockExchange", "NasdaqExchange"). Stable across the SDK lifetime.
variance_share_pct	f64	Venue's share of the summed per-venue return variance over the window, expressed as a percent in [0, 100] — a price-discovery activity share, not the loading-aware Hasbrouck information share. The values across every emitted venue tick at the same (symbol, ms_of_day) sum to 100.0 (modulo IEEE-754 round-off at the last bit).
n_observations	i32	Sample count the venue contributed to the per-window permanent-variance recovery. Always ≥ 2 for a venue that makes it past the per-venue degeneracy gate.
n_venues_observed	i32	Total active-venue count the per-symbol window contains at the emission cadence. Equal to the number of ticks emitted in the slice — surfaced on every tick so consumers reading a single row can audit the multi-venue cardinality without re-grouping the batch.

Configuration (HasbrouckInfoShareParams)

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

Field	Type	Description
contracts	SecurityFilter	Contracts the subscription tracks. The Hasbrouck estimator runs off the stock trade tape — the filter must resolve to stock contracts.
conditions	ConditionPolicy	Trade-condition admission policy applied to every print.
venues	ExchangeFilter	Exchange / venue admission policy. Defaults to [ExchangeFilter::Any] so the per-venue auto-discovery sees every print on the tape; subscribers wishing to constrain the universe to a specific Reg-NMS subset can override here.
window_ms	i32	Rolling-window length in milliseconds. Defaults to [DEFAULT_WINDOW_MS] (60_000 ms).
max_venues	usize	Cap on the per-emit venue count. Defaults to [DEFAULT_MAX_VENUES] (8). When the window holds more active venues than the cap, the analytic ranks by permanent-component variance and emits the top-max_venues rows (the residual share is documented as "Other" on the n_venues_observed audit count).
min_emit_interval_ms	i32	Minimum interval between consecutive per-symbol emission cadences, in milliseconds. Defaults to [DEFAULT_MIN_EMIT_INTERVAL_MS] (1_000 ms). Every active venue emits one tick per cadence; the gate fires per symbol.

Example

Python

import kairos_thetadata as kt

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

def on_event(row):
    print(row)

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

Rust

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

use kairos::{Client, HasbrouckInfoShareRow};

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

let sub = client
    .live()
    .hasbrouck_info_share(["QQQ"])
    .on_event(|row: &HasbrouckInfoShareRow| println!("venue={} variance_share_pct={}", row.venue, row.variance_share_pct))?;
// ... later ...
sub.unsubscribe();
# Ok(())
# }