Message

ChainFrag

Aggregated activity of a single option contract over a 5 minute interval: traded volume split by trade side and trade type, OHLC of the contract price, premium, greeks and IV. Fields without a total_ prefix are cumulative for the interval not the day. The total_ prefixed fields are the contract's cumulative values for the whole day so far. The Kafka message key is the ticker of the underlying; the contract is identified by option_symbol.

fields39 topicchain-frag

▶Proto definition.proto

message ChainFrag {
  string option_symbol = 1;
  int64 start_time = 2;
  int64 tape_time = 3;
  int64 volume = 4;
  int64 total_volume = 5;
  int32 open_interest = 6;
  string premium = 7;
  int32 ask_side_volume = 8;
  int32 bid_side_volume = 9;
  int32 floor_volume = 10;
  string high = 11;
  string low = 12;
  string open = 13;
  string close = 14;
  string iv = 15;
  int32 trades = 16;
  string avg_price = 17;
  int32 mid_volume = 18;
  int32 sweep_volume = 19;
  int32 cross_volume = 20;
  int32 stock_multi_leg_volume = 21;
  int32 no_side_vol = 22;
  int32 multileg_volume = 23;
  string underlying_price = 24;
  string total_premium = 25;
  int32 total_ask_side_volume = 26;
  int32 total_bid_side_volume = 27;
  int32 total_mid_volume = 28;
  int32 total_stock_multi_leg_volume = 29;
  int32 total_neutral_volume = 30;
  int32 total_multileg_volume = 31;
  string delta = 32;
  string gamma = 33;
  string theta = 34;
  string vega = 35;
  string iv_start = 36;
  string iv_end = 37;
  string bid = 38;
  string ask = 39;
}

Fields

option_symbol string 1

OptionSymbol in the OSI format, SPY241227C00480000

start_time int64 2

Start of the 5 minute interval in milliseconds since 1970 (unix).

tape_time int64 3

Execution time of the latest trade in the interval in milliseconds since 1970 (unix).

volume int64 4

Contracts traded in the interval.

total_volume int64 5

The contract's cumulative volume for the whole day so far.

open_interest int32 6

The OI of the chain.

premium string 7

Premium transacted in the interval in dollars. Decimal string.

ask_side_volume int32 8

Contracts that transacted on the ask side in the interval.

bid_side_volume int32 9

Contracts that transacted on the bid side in the interval.

floor_volume int32 10

Contracts that came from the floor in the interval.

high string 11

Highest trade price of the contract in the interval. Decimal string.

low string 12

Lowest trade price of the contract in the interval. Decimal string.

open string 13

First trade price of the contract in the interval. Decimal string.

close string 14

Last trade price of the contract in the interval. Decimal string.

iv string 15

The most recent implied volatility of the contract. Decimal string.

trades int32 16

Number of trades in the interval.

avg_price string 17

Volume weighted average trade price of the interval. Decimal string.

mid_volume int32 18

Contracts that transacted at the mid in the interval.

sweep_volume int32 19

Contracts that were part of sweep transactions in the interval.

cross_volume int32 20

Contracts that were part of cross transactions in the interval.

stock_multi_leg_volume int32 21

Contracts that were part of stock multi leg trades in the interval.

no_side_vol int32 22

Contracts without a classifiable side in the interval.

multileg_volume int32 23

Contracts that were part of multi leg trades in the interval.

underlying_price string 24

The price of the underlying at the latest trade. Decimal string.

total_premium string 25

The contract's cumulative premium for the whole day so far in dollars. Decimal string.

total_ask_side_volume int32 26

The contract's cumulative ask side volume for the whole day so far.

total_bid_side_volume int32 27

The contract's cumulative bid side volume for the whole day so far.

total_mid_volume int32 28

The contract's cumulative mid volume for the whole day so far.

total_stock_multi_leg_volume int32 29

The contract's cumulative stock multi leg volume for the whole day so far.

total_neutral_volume int32 30

The contract's cumulative neutral volume for the whole day so far.

total_multileg_volume int32 31

The contract's cumulative multi leg volume for the whole day so far.

delta string 32

The delta of the contract at the latest trade. Decimal string.

gamma string 33

The gamma of the contract at the latest trade. Decimal string.

theta string 34

The theta of the contract at the latest trade. Decimal string.

vega string 35

The vega of the contract at the latest trade. Decimal string.

iv_start string 36

The implied volatility at the first trade of the interval. Decimal string.

iv_end string 37

The implied volatility at the last trade of the interval. Decimal string.

bid string 38

The EWMA smoothed NBBO bid at the interval close. Decimal string.

ask string 39

The EWMA smoothed NBBO ask at the interval close. Decimal string.