> For the complete documentation index, see [llms.txt](https://statalpha.gitbook.io/statalpha-docs/llms.txt). Markdown versions of documentation pages are available by appending `.md` to page URLs; this page is available as [Markdown](https://statalpha.gitbook.io/statalpha-docs/stats/orb.md). # ORB The **Opening Range Breakout (ORB)** module identifies when price breaks above or below the initial range of the trading day.\ It is a key statistical component for analyzing market momentum, volatility, and directional bias. *** ## Concept * The **opening range** is defined by the high and low of the first *N* minutes after the market opens. * A **breakout** occurs when price moves above or below this range. * **Double breakouts** (both directions) are detected and tracked with sequence information (`up-down` or `down-up`). * The algorithm measures: * **Breakout size and percentage** * **Breakout timing** * **Direction frequency (up/down/double)** * **Weekday behavior patterns** *** ## Parameters | Parameter | Type | Description | | ------------------------- | ------ | --------------------------------------------------------------------------------- | | `symbol` | string | Asset symbol (e.g. `AAPL`, `BTCUSD`) | | `start_date` / `end_date` | string | For `/stats/orb`: must be the same day (`YYYY-MM-DD`) | | `time_window` | string | For `/stats/orb/summary`: predefined range (`1M`, `3M`, `6M`, `12M`, `24M`, `5Y`) | | `start_time` / `end_time` | string | UTC session range (default `13:30`–`20:00`) | | `orb_minutes` | int | Opening range duration (e.g. `1`, `2`, `5`, `15`) | | `include_extended_hours` | bool | Include pre-/post-market data | | `orb_reentry_candles` | int | Number of candles required to confirm reentry after breakout | | `top_n` | int | Limit for `/top` endpoint | | `min_breakout_size` | float | Threshold for `/top-picks` filtering (price units) | *** ## Endpoints | Endpoint | Description | | -------------------------- | ---------------------------------------------------- | | `GET /stats/orb` | Returns full ORB details for a single day and symbol | | `GET /stats/orb/summary` | Aggregated statistics over a selected range | | `GET /stats/orb/top` | Lists top N breakout symbols for a given day | | `GET /stats/orb/top-picks` | Returns all symbols with breakouts above threshold | | `GET /stats/orb/doc` | Returns documentation of all ORB fields | *** ## Example Requests ### 1. Get single-day ORB ```bash curl -s -H "Authorization: Bearer $ACCESS_TOKEN" \ "https://api.statalpha.market/stats/orb?symbol=AAPL&start_date=2025-09-12&orb_minutes=5" ``` ### 2. ORB summary over 12 months ```bash curl -s -H "Authorization: Bearer $ACCESS_TOKEN" \ "https://api.statalpha.market/stats/orb/summary?symbol=TSLA&time_window=12M&orb_minutes=5" ``` ### 3. Top 10 daily breakouts ```bash curl -s -H "Authorization: Bearer $ACCESS_TOKEN" \ "https://api.statalpha.market/stats/orb/top?start_date=2025-09-12&orb_minutes=5&top_n=10" ``` ### 4. Breakouts above a custom threshold ```bash curl -s -H "Authorization: Bearer $ACCESS_TOKEN" \ "https://api.statalpha.market/stats/orb/top-picks?date=2025-09-12&orb_minutes=5&min_breakout_size=0.5" ``` *** ## Example Response (summary excerpt) ```json { "symbol": "AAPL", "orb_minutes": 5, "total_days": 245, "any_breakout_up_rate": 58.7, "any_breakout_down_rate": 41.3, "exclusive_no_breakout_rate": 12.4, "avg_breakout_up_size": 0.83, "avg_breakout_down_size": 0.79, "avg_breakout_up_size_pct": 0.74, "avg_breakout_down_size_pct": 0.69, "avg_breakout_up_time": "14:22:00 UTC", "avg_breakout_down_time": "15:08:00 UTC", "breakout_summary": { "double_breakout_rate": 8.3, "only_up_rate": 52.7, "only_down_rate": 39.0, "no_breakout_rate": 12.4 }, "time_window": "12M" } ``` *** ## Interpretation | Metric | Meaning | | ---------------------------------------- | ---------------------------------------------------------------- | | **any\_breakout\_up\_rate / down\_rate** | % of sessions where breakout occurred in each direction | | **exclusive\_no\_breakout\_rate** | % of sessions with no breakout at all | | **avg\_breakout\_up/down\_size\_pct** | Average breakout size relative to opening range | | **avg\_breakout\_up/down\_time** | Average breakout time (UTC) | | **double\_breakout\_rate** | % of sessions with both up and down breakouts | | **weekday\_summary** | Shows breakout tendencies per weekday (only in summary endpoint) | *** ## Notes * ORB analysis helps identify **momentum continuation** and **volatility expansion** early in the session. * Double breakouts often indicate **indecision or high volatility days**. * Cached responses ensure stable performance and consistent statistics for repeated requests. --- # Agent Instructions This documentation is published with GitBook. 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