Parkinson Explicit

Family: Volatility

What it computes

Emits ParkinsonExplicitTick ticks carrying realized_vol, bar_variance, n_intraday_bars off stock trade tape (5m bars).

Available on the live, historical, and replay drives.

Methodology

Parkinson (1980) high-low realized volatility σ²_P = ln(H/L)² / (4 · ln 2) aggregated over a rolling per-bar (H, L) window.

See the methodology overview for the citation index.

Inputs

Stock trade tape (5m bars).

Key outputs

Realized_vol, bar_variance, n_intraday_bars. The full field set is in the tick table below.

Output schema (ParkinsonExplicitTick)

The field / type / description table below is regenerated from the ParkinsonExplicitTick 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.
realized_vol	f64	Parkinson (1980) annualised realized volatility over the rolling-window per-bar (H, L) ladder. NaN with an empty FIFO.
bar_variance	f64	Parkinson (1980) per-bar variance averaged across the window (per-bar units, pre-annualisation). NaN with an empty FIFO.
n_intraday_bars	i32	Count of sealed per-bar (H, L) pairs currently inside the rolling window.

Configuration (ParkinsonExplicitParams)

Regenerated from the ParkinsonExplicitParams 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.
bar_interval_ms	i32	Per-bar cadence in milliseconds. Defaults to [DEFAULT_BAR_INTERVAL_MS] (300_000 ms / 5 min).
window_bars	i32	Rolling-window length in bars. Defaults to [DEFAULT_WINDOW_BARS] (78 — one US-equity session at the default 5-minute cadence).
min_emit_interval_ms	i32	Minimum interval between consecutive emissions per symbol, in milliseconds. Defaults to [DEFAULT_MIN_EMIT_INTERVAL_MS] (60_000 ms). Set to 0 to publish on every sealed bar.

Example

Python

import kairos_thetadata as kt

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

def on_event(row):
    print(row)

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

Rust

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

use kairos::{Client, ParkinsonExplicitRow};

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

let sub = client
    .live()
    .parkinson_explicit(["QQQ"])
    .on_event(|row: &ParkinsonExplicitRow| println!("realized_vol={} bars={}", row.realized_vol, row.n_intraday_bars))?;

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