Market Breadth

Family: Flow surveillance

What it computes

Emits MarketBreadthTick ticks carrying pc_ratio, net_delta, advancing, declining off subscribed-universe option trades.

Available on the live, historical, and replay drives.

Methodology

Universe-wide premium-weighted P/C ratio + net-delta proxy + advancing / declining (OMON Composite).

See the methodology overview for the citation index.

Inputs

Subscribed-universe option trades.

Key outputs

Pc_ratio, net_delta, advancing, declining. The full field set is in the tick table below.

Output schema (MarketBreadthTick)

The field / type / description table below is regenerated from the MarketBreadthTick 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
date	i32	Trading-session date (YYYYMMDD).
ts_ms	i32	Milliseconds since midnight at emission time.
pc_ratio	f64	Premium-weighted put/call ratio: Σ(put_prem) / Σ(call_prem). NAN when no call premium; INFINITY when call premium is zero and put premium is positive.
net_delta	f64	Net signed-premium balance proxy: Σ(net_call − net_put) over the universe with per-symbol bias +1 / −1 according to which side of the per-symbol differential the symbol sits on. Carries the same magnitude shape the SpotGamma / FlowAlgo net_delta field surfaces.
advancing	u32	Symbols whose per-symbol balance is currently > 0.
declining	u32	Symbols whose per-symbol balance is currently < 0.

Configuration (MarketBreadthParams)

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

Field	Type	Description
contracts	SecurityFilter	Contracts the subscription tracks. Subscribe by underlying symbol; the engine fans out across the chain and the breadth aggregates per symbol.
conditions	ConditionPolicy	Trade-condition admission policy.
venues	ExchangeFilter	Exchange / venue admission policy.
min_emit_interval_ms	i32	Minimum interval between universe emissions (milliseconds). 1_000 ms = 1Hz by default.

Example

Python

import kairos_thetadata as kt

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

def on_emission(tick):
    print(tick)

sub = client.live().market_breadth([]).for_index("SPX").on_event(on_emission)
sub.wait(timeout_seconds=60.0)

TypeScript

import { Client, Credentials } from "kairos-thetadata";

const client = await Client.connect(Credentials.fromEnv());
await client
  .live()
  .marketBreadth([])
  .forIndex("SPX")
  .onEvent((tick) => {
    console.log(tick);
  });

Rust

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

use kairos::{Client, MarketBreadthRow};

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

let sub = client
    .live()
    .market_breadth(["SPX"])
    .on_event(|row: &MarketBreadthRow| println!("pc_ratio={} net_delta={}", row.pc_ratio, row.net_delta))?;

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

for_index / for_sector are Python / TypeScript SDK conveniences. On the Rust thin client, pass the constituent universe to the analytic accessor (client.live().<analytic>([...])) — the engine drives the same per-symbol fan-out.