Message

FlowStrikeIntraday

An option activity update grouped by underlying 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.

fields24 topicflow-striketopicflow-strike-intraday

▶Proto definition.proto

message FlowStrikeIntraday {
  string ticker = 1;
  string date = 2;
  string strike = 3;
  double call_premium = 4;
  double call_premium_ask_side = 5;
  double call_premium_bid_side = 6;
  int64 call_volume = 7;
  int64 call_volume_ask_side = 8;
  int64 call_volume_bid_side = 9;
  int64 call_otm_volume = 10;
  double call_otm_premium = 11;
  double put_premium = 12;
  double put_premium_ask_side = 13;
  double put_premium_bid_side = 14;
  int64 put_volume = 15;
  int64 put_volume_ask_side = 16;
  int64 put_volume_bid_side = 17;
  int64 put_otm_volume = 18;
  double put_otm_premium = 19;
  int64 call_trades = 20;
  int64 put_trades = 21;
  int64 call_otm_trades = 22;
  int64 put_otm_trades = 23;
  int64 timestamp = 24;
}

Fields

ticker string 1

The underlying ticker. Also the Kafka message key.

date string 2

The trading date in YYYY-MM-DD format.

strike string 3

The option strike as a decimal string.

call_premium double 4

Call premium in dollars in the incremental update.

call_premium_ask_side double 5

Ask-side call premium in dollars in the incremental update.

call_premium_bid_side double 6

Bid-side call premium in dollars in the incremental update.

call_volume int64 7

Call contracts traded in the incremental update.

call_volume_ask_side int64 8

Call contracts executed on the ask side in the incremental update.

call_volume_bid_side int64 9

Call contracts executed on the bid side in the incremental update.

call_otm_volume int64 10

Out of the money call contracts traded in the incremental update.

call_otm_premium double 11

Out of the money call premium in dollars in the incremental update.

put_premium double 12

Put premium in dollars in the incremental update.

put_premium_ask_side double 13

Ask-side put premium in dollars in the incremental update.

put_premium_bid_side double 14

Bid-side put premium in dollars in the incremental update.

put_volume int64 15

Put contracts traded in the incremental update.

put_volume_ask_side int64 16

Put contracts executed on the ask side in the incremental update.

put_volume_bid_side int64 17

Put contracts executed on the bid side in the incremental update.

put_otm_volume int64 18

Out of the money put contracts traded in the incremental update.

put_otm_premium double 19

Out of the money put premium in dollars in the incremental update.

call_trades int64 20

Number of call trades in the incremental update.

put_trades int64 21

Number of put trades in the incremental update.

call_otm_trades int64 22

Number of out of the money call trades in the incremental update.

put_otm_trades int64 23

Number of out of the money put trades in the incremental update.

timestamp int64 24

Execution time of the latest trade in the update in Unix epoch milliseconds.