Streaming reference

Kafka Streaming

Real time market data delivered over Kafka topics encoded as protobuf. Every topic retains 72 hours of messages.

retention72h encodingprotobuf topics36 messages76

Kafka or websocket

Both websocket and Kafka delivery are available. The websocket feed is the simpler integration connect and receive JSON and suits dashboards notifications and prototypes.

The Kafka feed is designed for production consumers. Offsets are tracked per consumer, so a disconnect or restart resumes exactly where it left off. A new consumer can seek back up to 72 hours to backfill state. Consumer groups distribute partitions across processes for horizontal scaling and every message is typed protobuf compact on the wire with backwards compatible schema evolution.

Email [email protected] if you would like more information. For custom enterprise pricing, redistribution licenses, or bespoke solutions, email [email protected]

Topics

all-option-trades Every option trade 1 msg · single type→ all-trade-report Every stock trade 1 msg · single type→ chain-frag Aggregated activity of single option contracts over 5 minute intervals 1 msg · single type→ dividends Latest announced dividend and trailing twelve month dividend snapshots by ticker 1 msg · keyed by message key→ earnings Upcoming earnings details and split-adjusted historical EPS growth by ticker 1 msg · keyed by message key→ etf-info Complete stock holding and daily share flow snapshots for ETFs 1 msg · keyed by message key→ flex-options All data related to FLEX options. Includes open interest, closing mark and FLEX option consolidations 2 msg · keyed by message key→ flow-alerts Options flow alerts: aggregates of option transactions that tripped a rule. See https://unusualwhales.com/option-flow-alerts/rules for rule definitions 1 msg · single type→ flow-expiry Option flow stats grouped by ticker and expiry. Updates are published as INCREMENTAL updates for the time window they computed. If you store the data in a database you should be adding the values to the existing values in the database. 1 msg · single type→ flow-strike Option flow stats grouped by ticker and strike. Updates are published as INCREMENTAL updates for the time window they computed. If you store the data in a database you should be adding the values to the existing values in the database. 1 msg · single type→ flow-strike-intraday Intraday 1minute flow stats grouped by ticker and strike. Updates are published as INCREMENTAL updates for the time window they computed. If you store the data in a database you should be adding the values to the existing values in the database. 1 msg · single type→ greek-flow Aggregated delta and vega flow of option trades per ticker and per expiry 2 msg · keyed by message key→ insider-volumes Rolling discretionary insider purchase and sale share volume snapshots by ticker 1 msg · keyed by message key→ interpolated-iv Implied volatility and expected move interpolated onto fixed day horizons 1 msg · single type→ interval-flow Aggregated options activity of tickers over 5 minute intervals 1 msg · single type→ iv-term-structure ATM implied volatility and expected move per real option expiry 1 msg · single type→ live-gex Live gamma exposure keyed by different aggregation levels: ticker, strike, strike+expiry 3 msg · keyed by message key→ multi-leg-spreads Detected multi leg option spreads with their classified strategy 1 msg · single type→ net-flow Options net flow: market wide tide, per sector flow and near dated expiry tide 3 msg · keyed by message key→ option-states The live state of option chains. Contains open interest updates as well as volumes 1 msg · single type→ predictions-insiders Prediction market insider signals based on signal such as new account withs low activity, taking unusually large positions and more. 1 msg · single type→ predictions-positions Full states of prediction market outcome token positions for a given wallet/user whenever they change on chain 1 msg · single type→ predictions-trades Individual prediction market fills ingested from the Polymarket CTF exchange 1 msg · single type→ risk-reversal-skew Put vs call implied volatility skew at fixed deltas per expiry 1 msg · single type→ sec-filings SEC EDGAR filings: every filing as a general message plus enriched insider trade and 13F messages 8 msg · keyed by message key→ shares Current shares outstanding and historical quarterly growth snapshots by ticker 1 msg · keyed by message key→ stock-price-level-volume Stock volume and trade counts grouped by ticker and price level, split between lit and off lit activity. Updates are published as INCREMENTAL updates for the time window they computed. If you store the data in a database you should be adding the values to the existing values in the database. 1 msg · single type→ stock-screener Complete screener state for a ticker 1 msg · single type→ ticker-levels Option volume and trade counts grouped by underlying ticker and stock price level. Updates are published as INCREMENTAL updates for the time window they computed. If you store the data in a database you should be adding the values to the existing values in the database. 1 msg · single type→ ticker-oi-stats Compacted current and previous daily open interest and historical option activity statistics per ticker 1 msg · keyed by message key→ ticker-performance Reference prices for calculating ticker returns over calendar periods and market sessions 1 msg · keyed by message key→ ticker-quotes Live best bid and ask quotes for stocks 1 msg · single type→ ticker-stock-states Per session OHLCV state of stocks 1 msg · single type→ ticker-volatility Realized volatility and variance risk premium snapshots per ticker and trading date 1 msg · single type→ trade-cancels Cancellations of previously reported stock and option trades 2 msg · keyed by message key→ trading-halts Trading halts, pauses and resumptions for stocks 1 msg · single type→