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Introduction

Overview

Quickstart

TypeScript / Node SDK

Changelog

Concepts

Tick events

Consuming events

The historical surface

The tick parquet schema

Analytics

Overview

Flow surveillance (43)

Aggressor Intensity

Aggressor Sign

Arms Index TRIN

Block Trade

CEX

Closing Auction Imbalance

DEX

Option Trades

Flow Recap

Flow Summary

Gamma Squeeze Risk

GEX

GEX Levels

Greek Flow

Halt Event

Large Print Percentile

Market Breadth

Market Thrust

Market Tide

Max Pain

Mcclellan Oscillator

Multi Leg Detector

Net Premium

OI Changes

OI Heatmap

Open Interest

Opening Auction Imbalance

Opex Pinning

Option Flow

P/C OI Ratio

P/C Volume Ratio

Put Call Ratio

Relative Volume

Sector Rotation Strength

Institutional Flow Score

Stock Flow

Sweep Clustering

Sweep Detector

Technical Indicators

Tick Index

Volume Anomaly

VEX

Volume Profile

Volatility (36)

Bipower Variation

Calendar Spread Edge

Expected Move

Forward Variance

Garch Forecast

Garch Proxy

Garman Klass Explicit

Greeks

HAR RV

Historical Vol

IV Band 52-week

IV Change

IV Cone

IV Rank

IV Skew

IV Summary

IV Term Structure

Jump Test

Lee Mykland Jumps

MedRV

Parkinson Explicit

Price Band 52-week

Realized Semi Variance

Realized Vol Cone

Risk Neutral Density

Risk Reversal Velocity

Rogers Satchell Vol

Smile Dynamics

Vanna Charm Flow

Variance Swap Quote

Vix Synthetic

Vol Moments

Vol Risk Premium

Vol Surface Factors

Volatility

Yang Zhang Vol

Microstructure (27)

Amihud Illiquidity

Bid Ask Persistence

Book Depth At Top

CVD

Depth Imbalance

Effective Spread

Hasbrouck Info Share

Hawkes Intensity

Huang Stoll Lambda

Kyles Lambda

Microprice

Mid Info Share

Odd Lot Ratio

OFI

PIN Classic

Price Dispersion

Queue Imbalance

Quote Intensity

Quote Lifetime

Realized Spread

Rolls Measure

Spread Efficiency

Tick Rule Imbalance

Top Book Persistence

Variance Ratio Test

VPIN

VWAP TWAP deviation

Risk (14)

Circuit Breaker Proximity

Conditional VaR

LULD Proximity

Max Drawdown Stream

Omega Ratio

Pain Index

Portfolio VaR

Return Kurtosis

Return Skewness

Sortino Ratio

SPAN Margin

Ulcer Index

VaR Historical

VaR Parametric

Stat-arb (16)

Beta To SPY

Box Spread

Box Spread Arb Residual

Butterfly Arb Residual

Calendar Arb Residual

Conversion Arb

Engle Granger Residual

Half Life OU

Hurst Exponent

Implied Dividend

Implied Spot

Pairs Cointegration

Put Call Parity Residual

Rolling Beta

Rolling Correlation

Vertical Arb Residual

Data primitives (3)

OHLCVC

Per Contract Moneyness Slice

Spread Detector

Methodology

Overview

CBOE

CBOE Volatility White Paper

Pricing — Black–Scholes / Hull

Black–Scholes

Microstructure — Lee–Ready / ELO

Lee–Ready 1991

Easley / López de Prado VPIN

Dealer positioning — SqueezeMetrics

SqueezeMetrics dealer positioning

Industry tape specifications

OPRA Pillar Output Spec

UTP sale conditions

SIP cross-tape

Integration

Overview

Universe selection

Live streaming

Historical query

Dataset replay

Tier quotas

Backpressure

Worked examples

API reference

Overview

Client

Subscription builder

Historical builder

Replay scope

Market data

Tick types

Errors

Reference data

Overview

Symbol classifier

Index constituents

Sector constituents

Primitives

Overview

Rolling window

Percentile

Baseline comparison

Alert predicate

Technical indicators

Migration

Comparable SDKs

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