Spread Efficiency

Family: Microstructure

What it computes

Emits SpreadEfficiencyTick ticks carrying efficiency, mean_squared_price_change, mean_squared_spread, n_observations off trade + quote tape.

Available on the live, historical, and replay drives.

Methodology

Roll (1984) inspired E[(Δp)²] / E[spread²] tradability proxy over a rolling window.

See the methodology overview for the citation index.

Inputs

Trade + quote tape.

Key outputs

Efficiency, mean_squared_price_change, mean_squared_spread, n_observations. The full field set is in the tick table below.

Output schema (SpreadEfficiencyTick)

The field / type / description table below is regenerated from the SpreadEfficiencyTick 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.
efficiency	f64	Roll (1984) inspired dimensionless tradability proxy — E[(Δp)²] / E[spread²]. NaN when E[spread²] ≤ 0 or N == 0.
mean_squared_price_change	f64	Rolling-window mean squared price change E[(Δp)²]. NaN when N == 0.
mean_squared_spread	f64	Rolling-window mean squared spread E[(ask − bid)²]. NaN when N == 0.
n_observations	i32	Number of admitted prints contributing to the rolling estimate.

Configuration (SpreadEfficiencyParams)

Regenerated from the SpreadEfficiencyParams 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. Defaults to [DEFAULT_WINDOW_MS] (60_000 ms).
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().spread_efficiency(["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()
  .spreadEfficiency(["QQQ"])
  .onEvent((tick) => {
    console.log(tick);
  });

Rust

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

use kairos::{Client, SpreadEfficiencyRow};

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

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