Lee Mykland Jumps

Family: Volatility

What it computes

Emits LeeMyklandJumpsTick ticks carrying · off r_j.

Drive availability: r_{j-1}.

Methodology

Lee / Mykland (2008) high-frequency per-bar jump detector — standardizes each sealed return against the bipower-derived local volatility `sigma_hat_i² = (1 / (K − 2)) · Σ.

See the methodology overview for the citation index.

Inputs

R_j.

Key outputs

·. The full field set is in the tick table below.

Output schema (LeeMyklandJumpsTick)

The field / type / description table below is regenerated from the LeeMyklandJumpsTick 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.
last_return	f64	Most recently sealed per-bar log return r_i.
sigma_hat	f64	Lee / Mykland (2008) local bipower-derived volatility sigma_hat_i. Strictly positive on every emitted row — rows publish only once the K + 1-bar local window is filled and non-degenerate.
standardized_return	f64	Standardized return L_i = r_i / sigma_hat.
jump_threshold	f64	Gumbel-tail critical threshold at the configured confidence level. Always finite: the normalizers require n ≥ 2, and rows publish only when the threshold is defined.
jump_detected	bool	True when `
jump_count	i32	Running per-session count of detected jump bars.
n_intraday_bars	i32	Count of intraday bars currently inside the rolling FIFO.

Configuration (LeeMyklandJumpsParams)

Regenerated from the LeeMyklandJumpsParams 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] (60_000 ms / 1 min).
local_window_bars	i32	Local-volatility lookback window K (in bars). Defaults to [DEFAULT_LOCAL_WINDOW_BARS] (16).
fifo_bars	i32	Rolling FIFO horizon (in bars). Defaults to [DEFAULT_FIFO_BARS] (390).
confidence	f64	Confidence level for the Gumbel-tail jump threshold. Defaults to [DEFAULT_CONFIDENCE] (0.99).
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().lee_mykland_jumps(["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()
  .leeMyklandJumps(["QQQ"])
  .onEvent((tick) => {
    console.log(tick);
  });

Rust

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

use kairos::{Client, LeeMyklandJumpsRow};

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

let sub = client
    .live()
    .lee_mykland_jumps(["QQQ"])
    .on_event(|row: &LeeMyklandJumpsRow| println!("L={} sigma={}", row.standardized_return, row.sigma_hat))?;

// ... later, to stop delivery ...
sub.unsubscribe();
# Ok(())
# }