OFI

Family: Microstructure

What it computes

Emits OfiTick ticks carrying ofi_window, ofi_session, bid / ask pressure off quote tape.

Available on the live, historical, and replay drives.

Methodology

Cont-Kukanov-Stoikov (2014) NBBO-event imbalance.

See the methodology overview for the citation index.

Inputs

Quote tape.

Key outputs

Ofi_window, ofi_session, bid / ask pressure. The full field set is in the tick table below.

Output schema (OfiTick)

The field / type / description table below is regenerated from the OfiTick 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.
ofi_window	f64	Cont-Stoikov OFI summed across every admitted NBBO update inside the trailing window_ms horizon. Positive = net buying pressure; negative = net selling pressure.
ofi_session_cumulative	f64	Session-cumulative OFI since the first admitted NBBO update of the active trading session. Resets on date rollover.
bid_pressure	f64	Bid-side contribution summed across the rolling window — the positive Cont-Stoikov leg before the mirror subtraction.
ask_pressure	f64	Ask-side contribution summed across the rolling window under the mirrored sign convention (positive = sellers pulled).
n_events_in_window	i32	Number of admitted NBBO events currently inside the window.

Configuration (OfiParams)

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

Field	Type	Description
contracts	SecurityFilter	Contracts the subscription tracks. OFI runs off the stock 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.
window_ms	i32	Rolling-window length in milliseconds. Defaults to [DEFAULT_WINDOW_MS] (60_000 ms).
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 NBBO 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().ofi(["SPX"]).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()
  .ofi(["SPX"])
  .onEvent((tick) => {
    console.log(tick);
  });

Rust

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

use kairos::{Client, OfiRow};

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

let sub = client
    .live()
    .ofi(["SPX"])
    .on_event(|row: &OfiRow| println!("ofi_window={} session={}", row.ofi_window, row.ofi_session_cumulative))?;

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