net-flow

Topicmessages3routingmessage keyencodingprotobuf

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dte-tideDteTideNet options flow of near dated contracts, bucketed to the minute and broken out by underlying type, moneyness and time to expiry. Every trade counts into four buckets: its own moneyness and ALL_MONEYNESS, crossed with its own underlying type and ALL_TYPES, so the ALL buckets are pre-aggregated roll ups. Each message is a per window partial sum; consumers add messages with the same bucket together. net means ask side minus bid side.11 fields→market-copeNetFlowMarket wide options net flow (“market tide”): the ask side vs bid side volume and premium of all option trades, aggregated across the whole market. Published under two message keys with the same payload: key market-cope carries one minute buckets and key second-market-cope carries one second buckets. Each message is a per interval delta. Consumers NEED TO sum the deltas to build cumulative series.27 fields→sec-indstSecIndstOptions net flow aggregated per sector. Same field semantics as NetFlow: net means ask side minus bid side, otm fields count OTM contracts only, and each message is a per interval delta.27 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 DteTide, NetFlow, SecIndst

# The record key selects the message type.
BY_KEY = {
    b"dte-tide": DteTide,
    b"market-cope": NetFlow,
    b"sec-indst": SecIndst,
}

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