TechnicalIndicators

Preview on the public Rust client. The analytic ships in the engine and is reachable today through the Python wheel and the TypeScript / Node addon; a per-analytic builder on the public Rust thin client (kairos::Client) is tracked on the roadmap. The output tick schema below is stable.

What it computes

The six classic technical indicators per symbol, emitted on a bar cadence. Technical indicators run on bars (OHLCV), not raw ticks, so the analytic builds its own bars internally from the admitted stock-trade stream and feeds each closed bar's (high, low, close, volume) to six stateful indicators:

• ema — exponential moving average of the bar close.
• sma — simple moving average of the bar close.
• rsi — Wilder's Relative Strength Index of the bar close.
• macd / macd_signal / macd_histogram — moving-average convergence / divergence of the bar close (standard 12 / 26 / 9).
• mfi — Money Flow Index over (high, low, close, volume).
• aroon_up / aroon_down — Aroon Up / Aroon Down over (high, low).

One tick is emitted per closed bar. Each indicator returns a non-finite value during its warm-up window; the tick carries a warming flag that is true while ANY of the six outputs is still non-finite. Consumers gate on warming rather than NaN-probing every field.

Methodology

Standard, textbook indicator definitions:

• EMA — EMA_t = close_t × k + EMA_{t-1} × (1 − k), k = 2 / (period + 1), seeded from the first SMA window.
• SMA — arithmetic mean of the last period bar closes.
• RSI — Wilder's smoothing: RSI = 100 − 100 / (1 + RS) where RS = avg_gain / avg_loss over period price deltas.
• MACD — macd = EMA(close, 12) − EMA(close, 26), signal = EMA(macd, 9), histogram = macd − signal.
• MFI — MFI = 100 − 100 / (1 + positive_flow / negative_flow) where flows are typical-price × volume bucketed by directional move over period bars.
• Aroon — aroon_up = 100 × (period − bars_since_high) / period, aroon_down = 100 × (period − bars_since_low) / period.

Bar construction follows the same SIP consolidated-tape rules the OHLCVC analytic uses: open / close anchoring, per-field high / low / volume eligibility, out-of-sequence HLC skip, and a session-rollover flush. A bar that takes only a volume-only print (non-finite close) is skipped rather than fed to the indicators, so an opening cross never poisons an indicator's seeding window.

Inputs

• The admitted stock-trade stream sourced from live feed. Bars are aggregated internally on the configured timeframe, so no separate bar subscription is required.

Technical indicators are conventionally computed on stocks / ETFs, so option / index / rate trades are silently ignored.

Output schema (TechnicalIndicatorsTick)

The field / type / description table below is regenerated from the TechnicalIndicatorsTick 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	Session date of the bar that just closed (YYYYMMDD).
ms_of_day	i64	Bar-close time, in milliseconds since midnight ET (the closed bucket's exclusive upper edge).
ema	f64	Exponential moving average of the bar close. NaN until the EMA's seeding window has filled.
sma	f64	Simple moving average of the bar close. NaN until the SMA window has filled.
rsi	f64	Wilder's RSI of the bar close, in [0, 100]. NaN until the RSI has seen rsi_period price deltas.
macd	f64	MACD line — EMA(close, 12) − EMA(close, 26). NaN until both EMAs have seeded.
macd_signal	f64	MACD signal line — EMA(macd, 9). NaN until the signal EMA has seeded.
macd_histogram	f64	MACD histogram — macd − macd_signal. NaN until both the MACD and signal lines are finite.
mfi	f64	Money Flow Index over (high, low, close, volume), in [0, 100]. NaN until mfi_period + 1 bars have closed.
aroon_up	f64	Aroon Up, in [0, 100]. NaN until aroon_period + 1 bars have closed.
aroon_down	f64	Aroon Down, in [0, 100]. NaN until aroon_period + 1 bars have closed.
warming	bool	true while ANY of the six indicators is still in its warm-up window (i.e. any of the outputs above is non-finite). Consumers gate on this flag instead of NaN-probing every field. Mirrors the warming convention the volume-anomaly / open-interest analytics use for their first emissions.

Configuration (TechnicalIndicatorsRequest)

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

Field	Type	Description
contracts	SecurityFilter	Contracts the subscription tracks. Stocks only.
timeframe	Timeframe	Bar period the indicators run on. Default [Timeframe::M1] — the SIP / ThetaData hosted 1-minute bar grid most consumers reconcile against. Reuses the same [Timeframe] type the OHLCVC analytic uses, so the bar boundaries align across both.
conditions	ConditionPolicy	Trade-condition admission policy. Default [ConditionPolicy::OpraRegular].
venues	ExchangeFilter	Exchange / venue admission policy. Default [ExchangeFilter::Any].
ema_period	usize	EMA period. Default [DEFAULT_EMA_PERIOD] (12).
sma_period	usize	SMA period. Default [DEFAULT_SMA_PERIOD] (20).
rsi_period	usize	RSI period. Default [DEFAULT_RSI_PERIOD] (14).
mfi_period	usize	MFI period. Default [DEFAULT_MFI_PERIOD] (14).
aroon_period	usize	Aroon period. Default [DEFAULT_AROON_PERIOD] (25).

Operational characteristics

• Per-tick latency. O(1) amortised — one bar-fold per trade, plus six single-pass indicator admissions on bar close.
• Allocation discipline. The per-symbol analytic instance holds the in-progress bar accumulator and the six indicator windows; no hot-path allocations in steady state.
• Emission cadence. One emission per closed bar per symbol on the configured timeframe (default 1 minute).
• Replay parity. Deterministic given identical input tick order.

Example

Preview. This analytic ships in the engine and is reachable today through the Python wheel and the TypeScript / Node addon. A per-analytic builder on the public Rust thin client (kairos::Client) is tracked on the roadmap — bare-string symbol filters passed to the analytic accessor will match the other analytics already exposed there. The output tick rows are stable and documented above.