Sweep Clustering

Family: Flow surveillance

What it computes

Emits SweepClusteringTick ticks carrying buy_clusters, sell_clusters, total_clusters, buy_cluster_volume, sell_cluster_volume off stock trade tape.

Available on the live, historical, and replay drives.

Methodology

Rolling-window aggregator over Lee-Ready (1991) same-side print-burst clusters; companion to sweep_detector.

See the methodology overview for the citation index.

Inputs

Stock trade tape.

Key outputs

Buy_clusters, sell_clusters, total_clusters, buy_cluster_volume, sell_cluster_volume. The full field set is in the tick table below.

Output schema (SweepClusteringTick)

The field / type / description table below is regenerated from the SweepClusteringTick 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.
buy_clusters	i32	Rolling count of buyer-side clusters inside the aggregate window.
sell_clusters	i32	Rolling count of seller-side clusters inside the aggregate window.
total_clusters	i32	Total clusters inside the aggregate window.
buy_cluster_volume	i64	Total contracts in buyer-side clusters inside the window.
sell_cluster_volume	i64	Total contracts in seller-side clusters inside the window.

Configuration (SweepClusteringParams)

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

Field	Type	Description
contracts	SecurityFilter	Contracts the subscription tracks. Stock-only.
conditions	ConditionPolicy	Trade-condition admission policy.
venues	ExchangeFilter	Exchange / venue admission policy.
cluster_window_ms	i32	Cluster-window length in ms. Defaults to [DEFAULT_CLUSTER_WINDOW_MS] (200 ms).
min_cluster_prints	i32	Minimum consecutive same-side prints to count a cluster. Defaults to [DEFAULT_MIN_CLUSTER_PRINTS] (3).
aggregate_window_ms	i32	Aggregate-window length in ms. Defaults to [DEFAULT_AGGREGATE_WINDOW_MS] (60_000 ms — one minute).
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().sweep_clustering(["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()
  .sweepClustering(["QQQ"])
  .onEvent((tick) => {
    console.log(tick);
  });

Rust

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

use kairos::{Client, SweepClusteringRow};

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

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