Message

GexStrike

Greek exposures for a single strike, aggregated across all expiries.

fields32 topiclive-gex

▶Proto definition.proto

message GexStrike {
  string ticker = 1;
  int64 timestamp = 2;
  double call_delta_oi = 3;
  double put_delta_oi = 4;
  double call_gamma_oi = 5;
  double put_gamma_oi = 6;
  double call_charm_oi = 7;
  double put_charm_oi = 8;
  double call_vanna_oi = 9;
  double put_vanna_oi = 10;
  double call_delta_vol = 11;
  double put_delta_vol = 12;
  double call_gamma_vol = 13;
  double put_gamma_vol = 14;
  double call_charm_vol = 15;
  double put_charm_vol = 16;
  double call_vanna_vol = 17;
  double put_vanna_vol = 18;
  string strike = 19;
  string price = 20;
  double call_gamma_ask_vol = 21;
  double call_gamma_bid_vol = 22;
  double put_gamma_ask_vol = 23;
  double put_gamma_bid_vol = 24;
  double call_charm_ask_vol = 25;
  double call_charm_bid_vol = 26;
  double put_charm_ask_vol = 27;
  double put_charm_bid_vol = 28;
  double call_vanna_ask_vol = 29;
  double call_vanna_bid_vol = 30;
  double put_vanna_ask_vol = 31;
  double put_vanna_bid_vol = 32;
}

Fields

ticker string 1

The underlying ticker.

timestamp int64 2

Unix timestamp of the latest update of day.

call_delta_oi double 3

The sum of the (open interest * delta * contract multiplier) of every call contract.

put_delta_oi double 4

The sum of the (open interest * delta * contract multiplier) of every put contract.

call_gamma_oi double 5

The sum of the (open interest * gamma * contract multiplier) of every call contract.

put_gamma_oi double 6

The sum of the (open interest * gamma * contract multiplier) of every put contract.

call_charm_oi double 7

The sum of the (open interest * charm * contract multiplier) of every call contract.

put_charm_oi double 8

The sum of the (open interest * charm * contract multiplier) of every put contract.

call_vanna_oi double 9

The sum of the (open interest * vanna * contract multiplier) of every call contract.

put_vanna_oi double 10

The sum of the (open interest * vanna * contract multiplier) of every put contract.

call_delta_vol double 11

The sum of the (volume * delta * contract multiplier) of every call contract.

put_delta_vol double 12

The sum of the (volume * delta * contract multiplier) of every put contract.

call_gamma_vol double 13

The sum of the (volume * gamma * contract multiplier) of every call contract.

put_gamma_vol double 14

The sum of the (volume * gamma * contract multiplier) of every put contract.

call_charm_vol double 15

The sum of the (volume * charm * contract multiplier) of every call contract.

put_charm_vol double 16

The sum of the (volume * charm * contract multiplier) of every put contract.

call_vanna_vol double 17

The sum of the (volume * vanna * contract multiplier) of every call contract.

put_vanna_vol double 18

The sum of the (volume * vanna * contract multiplier) of every put contract.

strike string 19

The strike price.

price string 20

The price of the underlying.

call_gamma_ask_vol double 21

The sum of the (volume * gamma * contract multiplier) of every call contract traded closer to ask than bid.

call_gamma_bid_vol double 22

The sum of the (volume * gamma * contract multiplier) of every call contract traded closer to bid than ask.

put_gamma_ask_vol double 23

The sum of the (volume * gamma * contract multiplier) of every put contract traded closer to ask than bid.

put_gamma_bid_vol double 24

The sum of the (volume * gamma * contract multiplier) of every put contract traded closer to bid than ask.

call_charm_ask_vol double 25

The sum of the (volume * charm * contract multiplier) of every call contract traded closer to ask than bid.

call_charm_bid_vol double 26

The sum of the (volume * charm * contract multiplier) of every call contract traded closer to bid than ask.

put_charm_ask_vol double 27

The sum of the (volume * charm * contract multiplier) of every put contract traded closer to ask than bid.

put_charm_bid_vol double 28

The sum of the (volume * charm * contract multiplier) of every put contract traded closer to bid than ask.

call_vanna_ask_vol double 29

The sum of the (volume * vanna * contract multiplier) of every call contract traded closer to ask than bid.

call_vanna_bid_vol double 30

The sum of the (volume * vanna * contract multiplier) of every call contract traded closer to bid than ask.

put_vanna_ask_vol double 31

The sum of the (volume * vanna * contract multiplier) of every put contract traded closer to ask than bid.

put_vanna_bid_vol double 32

The sum of the (volume * vanna * contract multiplier) of every put contract traded closer to bid than ask.