Odd Lot Ratio

Family: Microstructure

What it computes

Emits OddLotRatioTick ticks carrying oddlot_count, oddlot_volume, oddlot_ratio, total_count off stock trade tape.

Available on the live, historical, and replay drives.

Methodology

O'Hara / Yao / Ye (2014) §IV odd-lot fraction oddlot_count / total_count over a rolling window — informed-retail order-flow proxy under the NYSE Rule 55 / NASDAQ Rule 4756 100-share round-lot threshold.

See the methodology overview for the citation index.

Inputs

Stock trade tape.

Key outputs

Oddlot_count, oddlot_volume, oddlot_ratio, total_count. The full field set is in the tick table below.

Output schema (OddLotRatioTick)

The field / type / description table below is regenerated from the OddLotRatioTick 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.
oddlot_count	i32	Count of admitted prints whose size is strictly less than round_lot inside the rolling window.
oddlot_volume	i64	Σ size of those prints inside the rolling window — the odd-lot share volume.
oddlot_ratio	f64	Odd-lot fraction: oddlot_count / total_count. NaN when the window admits zero prints (cold-start data quality).
total_count	i32	Total admitted prints inside the rolling window — the denominator the ratio is computed against.

Configuration (OddLotRatioParams)

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

Field	Type	Description
contracts	SecurityFilter	Contracts the subscription tracks. Stock-only.
conditions	ConditionPolicy	Trade-condition admission policy applied to every print.
venues	ExchangeFilter	Exchange / venue admission policy.
round_lot	i32	Round-lot threshold in shares — prints whose size is strictly less than this value are counted as odd lots. Defaults to [DEFAULT_ROUND_LOT] (100 shares). Override only if the underlying market's round-lot convention differs (some Asian markets quote in 1_000-share board lots).
window_ms	i32	Rolling-window length in milliseconds. Defaults to [DEFAULT_WINDOW_MS] (60_000 ms / one minute).
min_emit_interval_ms	i32	Minimum interval between consecutive emissions per symbol, in milliseconds. Defaults to [DEFAULT_MIN_EMIT_INTERVAL_MS] (1_000 ms). Set to 0 to surface every admission.

Example

Python

import kairos_thetadata as kt

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

def on_event(row):
    print(row)

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

Rust

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

use kairos::{Client, OddLotRatioRow};

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

let sub = client
    .live()
    .odd_lot_ratio(["QQQ"])
    .on_event(|row: &OddLotRatioRow| println!("oddlot_ratio={} oddlot_volume={}", row.oddlot_ratio, row.oddlot_volume))?;

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