Message

DteTide

Net 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.

fields11 topicnet-flow

▶Proto definition.proto

message DteTide {
  TideType tideType = 1;
  TideMoneyness moneyness = 2;
  TideExpiration expiration = 3;
  int64 netCallVolume = 4;
  string netCallPremium = 5;
  int64 netPutVolume = 6;
  string netPutPremium = 7;
  int32 transactions = 8;
  int64 startTime = 9;
  int64 timestamp = 10;
  string ticker = 11;
}

Fields

tideType TideType 1

Which underlying types this bucket counts.

moneyness TideMoneyness 2

Which moneyness this bucket counts.

expiration TideExpiration 3

Whether this bucket counts same day or same week expirations.

netCallVolume int64 4

Net (ask side minus bid side) call contracts.

netCallPremium string 5

Net (ask side minus bid side) call premium. Decimal string.

netPutVolume int64 6

Net (ask side minus bid side) put contracts.

netPutPremium string 7

Net (ask side minus bid side) put premium. Decimal string.

transactions int32 8

Number of trades aggregated into this message.

startTime int64 9

The minute bucket the trades fall into, in milliseconds since 1970 (unix).

timestamp int64 10

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

ticker string 11

Not populated.