Ulcer Index

Family: Risk

What it computes

Emits UlcerIndexTick ticks carrying ulcer_index, peak_price, trough_price, current_drawdown_pct, n_intraday_bars off stock trade tape (5m bars).

Available on the live, historical, and replay drives.

Methodology

Martin (1989) drawdown-depth-and-duration penalty UI = sqrt(mean(DD_i²)) over rolling window per-bar close FIFO.

See the methodology overview for the citation index.

Inputs

Stock trade tape (5m bars).

Key outputs

Ulcer_index, peak_price, trough_price, current_drawdown_pct, n_intraday_bars. The full field set is in the tick table below.

Output schema (UlcerIndexTick)

The field / type / description table below is regenerated from the UlcerIndexTick 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) at emission time.
ms_of_day	i32	Milliseconds since midnight ET at emission time.
ulcer_index	f64	Martin (1989) Ulcer Index UI = sqrt(mean(DD_i²)) in percentage points. NaN with an empty FIFO.
peak_price	f64	Rolling-window peak price — the running maximum across the in-window per-bar closes. NaN with an empty FIFO.
trough_price	f64	Rolling-window trough price — the in-window minimum. NaN with an empty FIFO.
current_drawdown_pct	f64	Standing per-bar drawdown at the most-recent close — 100 · (P_last − peak_last) / peak_last. Always ≤ 0; ships as 0 with a single-bar FIFO. NaN with an empty FIFO.
n_intraday_bars	i32	Count of intraday bars currently inside the rolling window.

Configuration (UlcerIndexParams)

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

Field	Type	Description
contracts	SecurityFilter	Contracts the subscription tracks. Stocks 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.
bar_interval_ms	i32	Per-bar cadence in milliseconds. Defaults to [DEFAULT_BAR_INTERVAL_MS] (300_000 ms / 5 min).
window_bars	i32	Rolling-window length in bars. Defaults to [DEFAULT_WINDOW_BARS] (78 — one US-equity session at the default 5-minute cadence).
min_emit_interval_ms	i32	Minimum interval between consecutive emissions per symbol, in milliseconds. Defaults to [DEFAULT_MIN_EMIT_INTERVAL_MS] (60_000 ms). Set to 0 to publish on every sealed bar.

Example

Python

import kairos_thetadata as kt

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

def on_event(row):
    print(row)

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

Rust

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

use kairos::{Client, UlcerIndexRow};

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

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