Mid Info Share

Family: Microstructure

What it computes

Emits MidInfoShareTick ticks carrying rho_sign, theta_info, phi_liq, info_share_pct off trade tape.

Available on the live, historical, and replay drives.

Methodology

Madhavan-Richardson-Roomans (1997) two-coefficient OLS on tick-rule sign, info_share = 100·θ²/(θ²+φ²).

See the methodology overview for the citation index.

Inputs

Trade tape.

Key outputs

Rho_sign, theta_info, phi_liq, info_share_pct. The full field set is in the tick table below.

Output schema (MidInfoShareTick)

The field / type / description table below is regenerated from the MidInfoShareTick 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) at emission time.
ms_of_day	i32	Milliseconds since midnight ET at emission time.
rho_sign	f64	Sample lag-1 autocorrelation of the Lee-Ready tick-rule trade-direction series over the rolling window — the MRR ρ parameter, in [−1, 1] past the cold-start guard.
theta_info	f64	Permanent-component (information-revealing) price-impact coefficient θ recovered from the MRR decomposition. NaN under the documented degenerate-denominator / cold-start guards.
phi_liq	f64	Transitory-component (liquidity-bouncing) price-impact coefficient φ recovered from the MRR decomposition. NaN under the documented degenerate-denominator / cold-start guards.
info_share_pct	f64	Information-share percentage 100 · θ² / (θ² + φ²) — the institutional decomposition flagging whether intraday price changes are permanent (information-driven) or transitory (liquidity-driven). NaN under the documented degenerate-denominator / cold-start guards.
n_prints	i32	Count of admitted trade prints currently inside the rolling window — the MRR N parameter. Values below 4 flag the cold-start regime where every decomposition column stays NaN.

Configuration (MidInfoShareParams)

Regenerated from the MidInfoShareParams 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.
window_prints	i32	Rolling-window length in admitted trade prints. Defaults to [DEFAULT_WINDOW_PRINTS] (200).
min_emit_interval_ms	i32	Minimum interval between consecutive emissions per symbol, in milliseconds. Defaults to [DEFAULT_MIN_EMIT_INTERVAL_MS] (1_000).

Example

Python

import kairos_thetadata as kt

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

def on_event(row):
    print(row)

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

Rust

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

use kairos::{Client, MidInfoShareRow};

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

let sub = client
    .live()
    .mid_info_share(["QQQ"])
    .on_event(|row: &MidInfoShareRow| println!("theta={} phi={}", row.theta_info, row.phi_liq))?;

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