Fields
The number on the right of each row is the protobuf field number.tickerstring1
Root underlying symbol. Index chains are normalized to their root (SPXW becomes SPX, NDXP becomes NDX).
timestampint642
The minute bucket the trades fall into, in milliseconds since 1970 (unix).
total_delta_flowstring3
Sum of signed delta exposure: delta * contracts * 100. Decimal string.
dir_delta_flowstring4
Directional delta flow: |delta * contracts * 100| signed positive for bullish trades (buy call / sell put), negative for bearish. Decimal string.
otm_total_delta_flowstring5
Same as total_delta_flow but only counting OTM trades.
otm_dir_delta_flowstring6
Same as dir_delta_flow but only counting OTM trades.
total_vega_flowstring7
Sum of vega exposure: vega * contracts * 100. Decimal string.
dir_vega_flowstring8
Directional vega flow: |vega * contracts * 100| signed positive for buys (ask side), negative for sells (bid side). Decimal string.
otm_total_vega_flowstring9
Same as total_vega_flow but only counting OTM trades.
otm_dir_vega_flowstring10
Same as dir_vega_flow but only counting OTM trades.
expirystring11
The expiration date this bucket is broken out by, in YYYY-MM-DD.
transactionsint3212
Number of option trades aggregated into this message.
volumeint3213
Total contracts traded across the aggregated trades.
