PerContractMoneynessSlice

Preview on the public Rust client. The analytic ships in the engine and is reachable today through the Python wheel and the TypeScript / Node addon; a per-analytic builder on the public Rust thin client (kairos::Client) is tracked on the roadmap. The output tick schema below is stable.

What it computes

Bins every admitted print on the subscribed contract into one of six stratum cells (ATM / OTM / ITM) × (Put / Call). Each cell carries:

• Buy / sell / mid volume.
• Buy / sell / mid premium.
• Delta-weighted buy / sell loads.
• A vega total.

Bucket cadence mirrors OptionFlow. Each emission carries one contract's slice of the moneyness grid; downstream code aggregates per-symbol by summing slices over contracts mapping to the same underlying.

Methodology

ATM band: $|\mathit{\text{strike}}/\mathit{\text{spot}}-1|\le 1\mathrm{\%}$ (default; configurable via atm_band_pct). Outside the band, the contract is classified ITM / OTM by (right, strike, spot).

Tick-rule classification uses literal price-equality against the previous print. OPRA wire prices are penny-quantised; tolerance-based comparisons would break replay parity on round-tripped streams.

The side classifier follows Lee & Ready (1991) — see /methodology/lee-ready.

Inputs

• Option TradeTick.
• The same per-contract NBBO snapshot OptionFlow uses.
• The Greeks cache for delta-weighting (via GreekProvider).

Output schema (PerContractMoneynessSliceTick)

Per-emission shape — eight named stratum cells (six classified + two unclassified) plus the per-emission scalars. The field / type / description table below is regenerated from the PerContractMoneynessSliceTick 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 the stratification covers.
date	i32	Trading-session date in YYYYMMDD form.
timeframe	Timeframe	Bucket period this snapshot covers.
bucket_start_ms	i64	Inclusive start of the bucket in milliseconds since midnight.
bucket_end_ms	i64	Exclusive end of the bucket in milliseconds since midnight.
closed	bool	true if the bucket is closed.
spot	f64	Spot price used to classify every print in this bucket. NaN if the spot cache was empty.
atm_put	StratumCell	ATM puts.
atm_call	StratumCell	ATM calls.
otm_put	StratumCell	OTM puts.
otm_call	StratumCell	OTM calls.
itm_put	StratumCell	ITM puts.
itm_call	StratumCell	ITM calls.
unclassified_put	StratumCell	Puts whose moneyness was undetermined at admission time (spot non-finite or unavailable). Surfaces the cold-start / missing-spot data-quality issue as its own bucket rather than silently corrupting [Self::atm_put].
unclassified_call	StratumCell	Calls whose moneyness was undetermined at admission time (spot non-finite or unavailable). Surfaces the cold-start / missing-spot data-quality issue as its own bucket rather than silently corrupting [Self::atm_call].

Each StratumCell is Copy + Default with these fields:

Field	Type	Description
buy_volume / sell_volume / mid_volume	u64	Contracts.
buy_premium / sell_premium / mid_premium	f64	USD (price × size × multiplier).
delta_buy / delta_sell	f64	size × delta × multiplier per side.
vega	f64	Σ size × vega × multiplier regardless of side.

StratumCell::total_volume() returns the per-cell sum buy_volume + sell_volume + mid_volume; the tick's total_volume() sums across every cell.

Configuration (PerContractMoneynessSliceRequest)

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

Field	Type	Description
contracts	SecurityFilter	Contracts the subscription tracks. Typically a [SecurityFilter::Symbols] entry — the engine expands into the per-contract option universe.
timeframe	Timeframe	Bucket period. Defaults to [Timeframe::M1].
emit	EmitPolicy	Emit policy.
conditions	ConditionPolicy	Trade-condition admission policy.
venues	ExchangeFilter	Exchange / venue admission policy.
classification	SideClassification	Side-classification policy.
reference_quote_label	QuoteLabel	Reference cycle position cached as the Lee-Ready pre-trade NBBO.
spot_cache	SpotPriceCache	Shared spot cache. Drives the moneyness classification at emission time.
greeks	Arc<dyn GreekProvider>	Per-contract Greek snapshot source for the delta / vega aggregates.
atm_band_pct	f64	ATM band as a fraction of spot. Default 0.01 (±1 %).

Operational characteristics

• Per-tick latency. O(1) — one cell update, Neumaier-summed running totals.
• Allocation discipline. Per-cell StratumAcc is laid out contiguously on the analytic instance; no hot-path allocations.
• Replay parity. Deterministic given identical input tick order and identical Greek-provider contents.

Example

Preview. This analytic ships in the engine and is reachable today through the Python wheel and the TypeScript / Node addon. A per-analytic builder on the public Rust thin client (kairos::Client) is tracked on the roadmap — bare-string symbol filters passed to the analytic accessor will match the other analytics already exposed there. The output tick rows are stable and documented above.