Top Book Persistence

Family: Microstructure

What it computes

Emits TopBookPersistenceTick ticks carrying mean_lifetime_ms, last_lifetime_ms, change_count off stock NBBO quote tape.

Available on the live, historical, and replay drives.

Methodology

Hasbrouck-Saar (2013) running mean lifetime of the NBBO inside between consecutive L1 changes via Welford (1962) running-mean recursion — the canonical HFT market-quality gauge.

See the methodology overview for the citation index.

Inputs

Stock NBBO quote tape.

Key outputs

Mean_lifetime_ms, last_lifetime_ms, change_count. The full field set is in the tick table below.

Output schema (TopBookPersistenceTick)

The field / type / description table below is regenerated from the TopBookPersistenceTick 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). Stock-only analytic.
date	i32	Trading-session date (YYYYMMDD).
ms_of_day	i32	Milliseconds since midnight at emission time.
mean_lifetime_ms	f64	Running per-session mean L1-quote lifetime in milliseconds. NaN until the first L1 change seals (a single snapshot has no lifetime by construction).
last_lifetime_ms	i32	Lifetime of the just-sealed L1 quote in milliseconds — the per-event reading every lifetime histogram consumes; pairs with mean_lifetime_ms so consumers can split the per-event reading from the cumulative mean.
change_count	i32	Number of sealed L1 changes inside the active session — the per-session change-count odometer.

Configuration (TopBookPersistenceParams)

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

Field	Type	Description
contracts	SecurityFilter	Contracts the subscription tracks. Stock-only NBBO stream — the filter must resolve to stock contracts.
conditions	ConditionPolicy	Trade-condition admission policy applied to the NBBO bid-side condition byte.
venues	ExchangeFilter	Exchange / venue admission policy.
min_emit_interval_ms	i32	Minimum interval between consecutive emissions per symbol, in milliseconds. Defaults to [DEFAULT_MIN_EMIT_INTERVAL_MS] (0 ms — every sealed change emits).

Example

Python

import kairos_thetadata as kt

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

def on_event(row):
    print(row)

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

Rust

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

use kairos::{Client, TopBookPersistenceRow};

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

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