Message

GreekFlow

Aggregated delta and vega flow of option trades for a ticker, bucketed to the minute. Each message is a partial sum flushed roughly once per second. Consumers need to add messages with the same timestamp together to get the full minute bucket. Values are not running daily totals. total_* fields carry the greek's own sign (calls positive delta, puts negative), so they represent net greek exposure regardless of who was the aggressor. dir_* fields instead sign the magnitude by trade sentiment: bullish trades (bought calls, sold puts) positive, bearish trades negative, mid/no-side trades excluded.

fields12 topicgreek-flow

▶Proto definition.proto

message GreekFlow {
  string ticker = 1;
  int64 timestamp = 2;
  string total_delta_flow = 3;
  string dir_delta_flow = 4;
  string otm_total_delta_flow = 5;
  string otm_dir_delta_flow = 6;
  string total_vega_flow = 7;
  string dir_vega_flow = 8;
  string otm_total_vega_flow = 9;
  string otm_dir_vega_flow = 10;
  int32 transactions = 11;
  int32 volume = 12;
}

Fields

ticker string 1

Root underlying symbol. Index chains are normalized to their root (SPXW becomes SPX, NDXP becomes NDX).

timestamp int64 2

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

total_delta_flow string 3

Sum of signed delta exposure: delta * contracts * 100. Decimal string.

dir_delta_flow string 4

Directional delta flow: |delta * contracts * 100| signed positive for bullish trades (buy call / sell put), negative for bearish. Decimal string.

otm_total_delta_flow string 5

Same as total_delta_flow but only counting OTM trades.

otm_dir_delta_flow string 6

Same as dir_delta_flow but only counting OTM trades.

total_vega_flow string 7

Sum of vega exposure: vega * contracts * 100. Decimal string.

dir_vega_flow string 8

Directional vega flow: |vega * contracts * 100| signed positive for buys (ask side), negative for sells (bid side). Decimal string.

otm_total_vega_flow string 9

Same as total_vega_flow but only counting OTM trades.

otm_dir_vega_flow string 10

Same as dir_vega_flow but only counting OTM trades.

transactions int32 11

Number of option trades aggregated into this message.

volume int32 12

Total contracts traded across the aggregated trades.