Rogers Satchell Vol

Family: Volatility

What it computes

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

Available on the live, historical, and replay drives.

Methodology

Rogers / Satchell (1991) drift-independent OHLC variance kernel σ²_RS = ln(H/C) · ln(H/O) + ln(L/C) · ln(L/O) aggregated over a rolling per-bar (O, H, L, C) 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 (RogersSatchellVolTick)

The field / type / description table below is regenerated from the RogersSatchellVolTick 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	Rogers / Satchell (1991) annualised realized volatility. NaN with an empty FIFO.
bar_variance	f64	Rogers / Satchell (1991) per-bar variance averaged across the window. Non-negative by construction. NaN on empty FIFO.
n_intraday_bars	i32	Count of sealed per-bar OHLC quadruples currently inside the rolling window.

Configuration (RogersSatchellVolParams)

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

Field	Type	Description
contracts	SecurityFilter	Contracts the subscription tracks. Stocks only.
conditions	ConditionPolicy	Trade-condition admission policy.
venues	ExchangeFilter	Exchange / venue admission policy.
bar_interval_ms	i32	Per-bar cadence in milliseconds.
window_bars	i32	Rolling-window length in bars.
min_emit_interval_ms	i32	Minimum interval between consecutive emissions per symbol, in milliseconds. 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().rogers_satchell_vol(["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()
  .rogersSatchellVol(["QQQ"])
  .onEvent((tick) => {
    console.log(tick);
  });

Rust

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

use kairos::{Client, RogersSatchellVolRow};

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

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