Realized Spread

Family: Microstructure

What it computes

Emits RealizedSpreadTick ticks carrying realized_half_spread, realized_half_spread_bps, n_observations, delay_ms off trade + quote tape.

Available on the live, historical, and replay drives.

Methodology

Huang / Stoll (1996) realized half-spread RS_t = 2·D_t·(P_t − M_{t+τ}) / M_t post-trade decay aggregated over a rolling window; pairs with effective_spread to decompose temporary vs permanent execution cost.

See the methodology overview for the citation index.

Inputs

Trade + quote tape.

Key outputs

Realized_half_spread, realized_half_spread_bps, n_observations, delay_ms. The full field set is in the tick table below.

Output schema (RealizedSpreadTick)

The field / type / description table below is regenerated from the RealizedSpreadTick 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.
realized_half_spread	f64	Huang / Stoll (1996) realized half-spread in dollars — (1 / N) · Σ D_i · (P_i − M_{i+τ}) over the rolling window. NaN when N == 0.
realized_half_spread_bps	f64	Huang / Stoll (1996) realized half-spread in basis points — 10_000 · (1 / N) · Σ D_i · (P_i − M_{i+τ}) / M_i over the rolling window. NaN when N == 0.
n_observations	i32	Number of sealed prints contributing to the rolling estimate.
delay_ms	i32	Post-trade settlement delay in milliseconds — τ in the Huang / Stoll (1996) identity. Surfaced on every tick so the downstream consumer reads the horizon directly.

Configuration (RealizedSpreadParams)

Regenerated from the RealizedSpreadParams 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 for the realized- spread aggregate. Defaults to [DEFAULT_WINDOW_MS] (60_000 ms).
delay_ms	i32	Post-trade settlement delay in milliseconds — τ in the Huang / Stoll (1996) identity. Defaults to [DEFAULT_DELAY_MS] (300_000 ms — five minutes).
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().realized_spread(["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()
  .realizedSpread(["QQQ"])
  .onEvent((tick) => {
    console.log(tick);
  });

Rust

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

use kairos::{Client, RealizedSpreadRow};

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

let sub = client
    .live()
    .realized_spread(["QQQ"])
    .on_event(|row: &RealizedSpreadRow| println!("half_spread={} half_spread_bps={}", row.realized_half_spread, row.realized_half_spread_bps))?;
// ... later ...
sub.unsubscribe();
# Ok(())
# }