Rolls Measure

Family: Microstructure

What it computes

Emits RollsMeasureTick ticks carrying auto_cov_dp, spread_pct, spread_dollars, price_anchor off trade tape.

Available on the live, historical, and replay drives.

Methodology

Roll (1984) implicit spread s = 2·sqrt(−cov(Δp_t, Δp_{t-1})).

See the methodology overview for the citation index.

Inputs

Trade tape.

Key outputs

Auto_cov_dp, spread_pct, spread_dollars, price_anchor. The full field set is in the tick table below.

Output schema (RollsMeasureTick)

The field / type / description table below is regenerated from the RollsMeasureTick 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.
auto_cov_dp	f64	Lag-1 sample autocovariance of trade-price changes over the rolling window: cov(Δp_t, Δp_{t-1}). NaN with fewer than three admitted prints (kernel undefined).
spread_pct	f64	Implied effective spread as a fraction of the rolling-window mean trade price: s / p_bar. NaN under the documented degenerate-window guards (auto_cov_dp ≥ 0 or fewer than three prints).
spread_dollars	f64	Implied effective spread in dollars per share: s = 2 · sqrt(−auto_cov_dp). NaN under the documented degenerate-window guards. The desk reads this as the dollar-per-share implied effective round-trip cost.
price_anchor	f64	Rolling-window mean trade price — the price anchor used to convert spread_dollars to spread_pct. Always finite past the first admitted print.
n_prints	i32	Count of admitted trade prints currently inside the rolling window — Roll's N parameter. Values below 3 flag the cold-start regime where the spread estimate stays NaN.

Configuration (RollsMeasureParams)

Regenerated from the RollsMeasureParams 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.
window_prints	i32	Rolling-window length in admitted trade prints. Defaults to [DEFAULT_WINDOW_PRINTS] (100).
min_emit_interval_ms	i32	Minimum interval between consecutive emissions per symbol, in milliseconds. Defaults to [DEFAULT_MIN_EMIT_INTERVAL_MS] (1_000).

Example

Python

import kairos_thetadata as kt

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

def on_event(row):
    print(row)

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

Rust

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

use kairos::{Client, RollsMeasureRow};

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

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