Realized Semi Variance

Family: Volatility

What it computes

Emits RealizedSemiVarianceTick ticks carrying rv_total, rv_plus, rv_minus, signed_asymmetry, downside_fraction off intraday tape (5m bars).

Available on the live, historical, and replay drives.

Methodology

Barndorff-Nielsen / Kinnebrock / Shephard (2010) RV⁺ / RV⁻ decomposition, Patton-Sheppard (2015) signed asymmetry.

See the methodology overview for the citation index.

Inputs

Intraday tape (5m bars).

Key outputs

Rv_total, rv_plus, rv_minus, signed_asymmetry, downside_fraction. The full field set is in the tick table below.

Output schema (RealizedSemiVarianceTick)

The field / type / description table below is regenerated from the RealizedSemiVarianceTick 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.
rv_total	f64	Total realized variance RV = Σ rᵢ² over the rolling-window bars. Always finite past the first sealed bar.
rv_plus	f64	Upside realized semivariance RV⁺ = Σ (max(rᵢ, 0))² — the textbook BNKS "good volatility" component. NaN with an empty FIFO.
rv_minus	f64	Downside realized semivariance RV⁻ = Σ (min(rᵢ, 0))² — the textbook BNKS "bad volatility" component. NaN with an empty FIFO.
signed_asymmetry	f64	Signed-jump-style asymmetry component RV⁺ − RV⁻ per Patton-Sheppard (2015). Positive values flag upside-asymmetric flow; negative values flag downside- asymmetric flow. NaN with an empty FIFO.
downside_fraction	f64	Downside fraction RV⁻ / RV — the institutional gauge of crash-side variance contribution, in [0, 1] past the constant-price guard. NaN on a constant-price window where RV = 0.
n_intraday_bars	i32	Count of intraday bars currently inside the rolling window — the BNKS N parameter. Values of 0 flag the cold-start regime where every variance column stays NaN.

Configuration (RealizedSemiVarianceParams)

Regenerated from the RealizedSemiVarianceParams 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().realized_semi_variance(["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()
  .realizedSemiVariance(["QQQ"])
  .onEvent((tick) => {
    console.log(tick);
  });

Rust

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

use kairos::{Client, RealizedSemiVarianceRow};

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

let sub = client
    .live()
    .realized_semi_variance(["QQQ"])
    .on_event(|row: &RealizedSemiVarianceRow| println!("rv_plus={} rv_minus={}", row.rv_plus, row.rv_minus))?;
// ... later ...
sub.unsubscribe();
# Ok(())
# }