greek-flow

Topicmessages2routingmessage keyencodingprotobuf

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greek-flowGreekFlowAggregated delta and vega flow of option trades for a ticker, bucketed to the minute. Each message is a partial sum flushed roughly once per second. Consumers need to add messages with the same timestamp together to get the full minute bucket. Values are not running daily totals. total_* fields carry the greek’s own sign (calls positive delta, puts negative), so they represent net greek exposure regardless of who was the aggressor. dir_* fields instead sign the magnitude by trade sentiment: bullish trades (bought calls, sold puts) positive, bearish trades negative, mid/no-side trades excluded.12 fields→greek-flow-expiryGreekFlowExpiryGreekFlow additionally broken out by option expiration date. See GreekFlow for the field semantics and aggregation behaviour.13 fields→

The message type is determined by the Kafka message key.

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Python

from confluent_kafka import Consumer
from unusualwhales.schema_pb2 import GreekFlow, GreekFlowExpiry

# The record key selects the message type.
BY_KEY = {
    b"greek-flow": GreekFlow,
    b"greek-flow-expiry": GreekFlowExpiry,
}

# CONFIG comes from the Connecting section of the Kafka overview.
consumer = Consumer(CONFIG | {"group.id": "my-greek-flow-consumer"})
consumer.subscribe(["greek-flow"])

while True:
    msg = consumer.poll(1.0)
    if msg is None or msg.error():
        continue

    message_type = BY_KEY.get(msg.key())
    if message_type is None:
        continue

    event = message_type()
    event.ParseFromString(msg.value())
    print(event)

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