TickEvent model

TickEvent is the input alphabet of every Kairos analytic. The engine delivers TickEvent values to each subscription whose filter matches; the analytic evaluates each event and returns zero or one output frame.

Variants

Variant	Carries	Source
Quote(QuoteTick)	Top-of-book NBBO update.	live feed Quote channel, historical query backend historical fan-out, replay dataset.
Trade(TradeTick)	Trade print.	live feed Trade channel, historical query backend historical fan-out, replay dataset.
OpenInterest(OpenInterestTick)	Per-contract open-interest snapshot.	FlatFile hydrator at boot; Kairos-internal engine open-interest cache.
VendorOhlcvc(VendorOhlcvc)	Vendor-derived OHLCVC roll-up.	live feed derive_ohlcvc=true channel.
QuoteCorrection { … }	Cycle-label patch for a previously emitted Quote.	Kairos cycle tracker under CyclePolicy::ProvisionalCorrection.
Watermark { date, ms_of_day }	Kairos-internal watermark notification.	Live sweep interval; historical / replay synthetic publisher.

The enum is #[non_exhaustive]. Downstream consumers that match on it must include a wildcard arm.

Why a single discriminated union

A single discriminated union keeps delivery uniform: every event the analytic state machine observes — market-data ticks, watermarks, admin events — flows through the same path and is delivered to the analytic in one ordered sequence. Kairos never branches between "control" and "data" channels.

The analytic sees the same kind of input whether the source is the live feed session, an historical query backend historical fan-out, or a replay dataset.

Field shape (QuoteTick)

The wire-derived NBBO record carried by TickEvent::Quote:

Field	Type	Notes
contract_id	i32	live feed wire id; 0 on replay.
contract	Contract	Resolved symbol / sec-type / option spec.
date	i32	Trading-session date in YYYYMMDD.
ms_of_day	i32	Milliseconds since midnight ET.
bid, ask	f64	NBBO sides.
bid_size, ask_size	i32	Contract / share counts.
bid_exchange, ask_exchange	i32	OPRA exchange codes.
bid_condition, ask_condition	i32	OPRA condition codes.
received_at_ns	u64	Kairos ingest timestamp; 0 on replay.
cycle_label, cycle_provisional, cycle_emit_seq	cycle metadata	Populated by the live cycle tracker; reset on replay.

Field shape (TradeTick)

The wire-derived print record carried by TickEvent::Trade:

Field	Type	Notes
contract_id	i32	live feed wire id; 0 on replay.
contract	Contract	Resolved symbol / sec-type / option spec.
date	i32	Trading-session date in YYYYMMDD.
ms_of_day	i32	Milliseconds since midnight ET.
price	f64	Trade price.
size	i32	Trade size.
exchange	i32	OPRA / UTP / CTA exchange code.
condition	i32	Primary OPRA / UTP condition code.
ext_cond_1..4	i32	OPRA extended-condition slots.
sequence	i32	Per-exchange wire sequence.
volume_type	i32	live feed volume-type discriminator.
records_back	i32	Out-of-sequence correction depth.
price_flags, condition_flags	i32	Trade flags.

The exact column list is closed at the tick parquet schema; the in-memory layout mirrors that schema column-for-column.

Trust-boundary validation

Three boundaries validate TickEvent fields fail-closed:

• live feed decoder — every numeric field rejects NaN, ±Inf, negative size, or out-of-range date before the event enters the engine.
• Chain-snapshot prewarm decoder — full Gregorian civil-date validation through crate::analytics::common::calendar.
• Quote-grid admission path — NaN / ±Inf / negative quotes are rejected before they reach any variance walker.

A NaN at any boundary above poisons every downstream running total irrecoverably; Kairos fails closed by design.