Price Dispersion

Family: Microstructure

What it computes

Emits PriceDispersionTick ticks carrying dispersion, mean_price, std_dev, n_observations off trade tape.

Available on the live, historical, and replay drives.

Methodology

Within-window dimensionless std(prices) / mean(prices) liquidity-stratification proxy.

See the methodology overview for the citation index.

Inputs

Trade tape.

Key outputs

Dispersion, mean_price, std_dev, n_observations. The full field set is in the tick table below.

Output schema (PriceDispersionTick)

The field / type / description table below is regenerated from the PriceDispersionTick 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.
dispersion	f64	Within-window dimensionless dispersion ratio std / mean — the liquidity-stratification proxy. NaN when N < 2 or mean ≤ 0.
mean_price	f64	Rolling-window mean trade price. NaN when N == 0.
std_dev	f64	Rolling-window sample standard deviation of the trade prices. NaN when N < 2.
n_observations	i32	Number of admitted prints in the rolling window.

Configuration (PriceDispersionParams)

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

Field	Type	Description
contracts	SecurityFilter	Contracts the subscription tracks. Stock-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_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).

Example

Python

import kairos_thetadata as kt

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

def on_event(row):
    print(row)

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

Rust

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

use kairos::{Client, PriceDispersionRow};

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

let sub = client
    .live()
    .price_dispersion(["QQQ"])
    .on_event(|row: &PriceDispersionRow| println!("dispersion={} mean_price={}", row.dispersion, row.mean_price))?;
// ... later ...
sub.unsubscribe();
# Ok(())
# }