Sector Rotation Strength

Family: Flow surveillance

What it computes

Emits SectorRotationStrengthTick ticks carrying n_universe_symbols, rotation_spread, legs[(rank, sector, mean_return, n_symbols)] off subscribed-universe stock trades + user sector mapping.

Available on the live, historical, and replay drives.

Methodology

Per-cadence per-sector mean-return ladder under the desk-supplied symbol → sector taxonomy mapping (Bloomberg MOST RV / Refinitiv Eikon sector heat map).

See the methodology overview for the citation index.

Inputs

Subscribed-universe stock trades + user sector mapping.

Key outputs

N_universe_symbols, rotation_spread, legs[(rank, sector, mean_return, n_symbols)]. The full field set is in the tick table below.

Output schema (SectorRotationStrengthTick)

The field / type / description table below is regenerated from the SectorRotationStrengthTick 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
date	i32	Trading-session date (YYYYMMDD).
ts_ms	i32	Milliseconds since midnight at emission time.
n_universe_symbols	u32	Total number of classified symbols contributing across all sectors.
rotation_spread	f64	Cross-sector mean-return spread: legs[0].mean_return − legs[last].mean_return. NAN when fewer than two sectors have contributing symbols.
legs	Vec<SectorRotationLeg>	Per-sector ladder, ranked by descending mean return.

Configuration (SectorRotationStrengthParams)

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

Field	Type	Description
contracts	SecurityFilter	Contracts the subscription tracks. The institutional idiom is to subscribe by underlying symbol — the engine fans out across the stock tape and the rotation strength aggregates per sector.
conditions	ConditionPolicy	Trade-condition admission policy.
venues	ExchangeFilter	Exchange / venue admission policy.
min_emit_interval_ms	i32	Minimum interval between universe emissions (milliseconds).

Example

Python

import kairos_thetadata as kt

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

def on_emission(tick):
    print(tick)

sub = client.live().sector_rotation_strength([]).for_index("SPX").on_event(on_emission)
sub.wait(timeout_seconds=60.0)

TypeScript

import { Client, Credentials } from "kairos-thetadata";

const client = await Client.connect(Credentials.fromEnv());
await client
  .live()
  .sectorRotationStrength([])
  .forIndex("SPX")
  .onEvent((tick) => {
    console.log(tick);
  });

Rust

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

use kairos::{Client, SectorRotationStrengthRow};

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

let sub = client
    .live()
    .sector_rotation_strength(["SPX"])
    .on_event(|row: &SectorRotationStrengthRow| println!("rotation_spread={} n_universe_symbols={}", row.rotation_spread, row.n_universe_symbols))?;
// ... later ...
sub.unsubscribe();
# Ok(())
# }

for_index / for_sector are Python / TypeScript SDK conveniences. On the Rust thin client, pass the constituent universe to the analytic accessor (client.live().<analytic>([...])) — the engine drives the same per-symbol fan-out.