Microprice

Family: Microstructure

What it computes

Emits MicropriceTick ticks carrying microprice, mid, tilt, bid_size, ask_size off stock NBBO quote tape.

Available on the live, historical, and replay drives.

Methodology

Gatheral-Oomen (2010) depth-weighted mid microprice = (bid · ask_size + ask · bid_size) / (bid_size + ask_size) — short-horizon fair-value proxy under the standing NBBO; the Stoikov (2018) state-conditional micro-price is the designated upgrade.

See the methodology overview for the citation index.

Inputs

Stock NBBO quote tape.

Key outputs

Microprice, mid, tilt, bid_size, ask_size. The full field set is in the tick table below.

Output schema (MicropriceTick)

The field / type / description table below is regenerated from the MicropriceTick 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 emission time.
microprice	f64	Depth-weighted mid (Gatheral-Oomen 2010): (bid · ask_size + ask · bid_size) / (bid_size + ask_size). The size-weighted fair value between the NBBO legs.
mid	f64	Arithmetic mid-price: (bid + ask) / 2.
tilt	f64	microprice − mid. Positive tilt = micro-price above mid (heavier bid-side depth → fair value pulled toward ask); negative tilt = micro-price below mid (heavier ask-side depth → fair value pulled toward bid).
bid_size	i32	Bid size at emission time (resting shares on the best bid).
ask_size	i32	Ask size at emission time (resting shares on the best ask).

Configuration (MicropriceParams)

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

Field	Type	Description
contracts	SecurityFilter	Contracts the subscription tracks. Stock-only NBBO stream — the filter must resolve to stock contracts.
conditions	ConditionPolicy	Trade-condition admission policy applied to the NBBO bid-side condition byte; the same policy gates trade prints on related analytics so the filtered universe is consistent.
venues	ExchangeFilter	Exchange / venue admission policy.
min_emit_interval_ms	i32	Minimum interval between consecutive emissions per symbol, in milliseconds. Defaults to [DEFAULT_MIN_EMIT_INTERVAL_MS] (0 ms — every admission emits).

Example

Python

import kairos_thetadata as kt

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

def on_event(row):
    print(row)

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

Rust

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

use kairos::{Client, MicropriceRow};

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

let sub = client
    .live()
    .microprice(["QQQ"])
    .on_event(|row: &MicropriceRow| println!("microprice={} mid={}", row.microprice, row.mid))?;

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