Message

MultiLegSpread

A detected multi leg options spread and its classification.

fields39 topicmulti-leg-spreads

▶Proto definition.proto

message MultiLegSpread {
  string id = 1;
  int32 ticker_id = 2;
  string ticker = 3;
  string code = 4;
  Strategy strategy = 5;
  Direction direction = 6;
  OptionTradeSide net_side = 7;
  int64 executed_at = 8;
  int32 size = 9;
  int32 leg_count = 10;
  int32 txns = 11;
  string net_price = 12;
  string net_delta = 13;
  string net_theta = 14;
  string total_premium = 15;
  string underlying_price = 16;
  int32 min_dte = 17;
  int32 max_dte = 18;
  string min_strike = 19;
  string max_strike = 20;
  bool all_otm = 21;
  bool diff_strikes = 22;
  bool diff_expirations = 23;
  bool diff_types = 24;
  repeated int32 option_chain_ids = 25;
  repeated string trade_ids = 26;
  repeated MultiLegSpreadLeg legs = 27;
  bool all_opening_legs = 28;
  string bid_ask_spread = 29;
  repeated string uniq_exchanges = 30;
  repeated string strikes = 31;
  string max_profit = 32;
  string max_loss = 33;
  repeated string breakevens = 34;
  string avg_iv = 35;
  repeated string ivs = 36;
  string net_premium = 37;
  string net_bid = 38;
  string net_ask = 39;
}

Fields

id string 1

Unique id of the spread.

ticker_id int32 2

The underlying ticker's id.

ticker string 3

The underlying ticker symbol.

code string 4

The trade code shared by the legs.

strategy Strategy 5

The classified strategy.

direction Direction 6

Whether the position is long or short.

net_side OptionTradeSide 7

Whether the spread was a net debit (ask) or a net credit (bid).

executed_at int64 8

When the spread executed.

size int32 9

The size of the spread.

leg_count int32 10

How many legs the spread has.

txns int32 11

How many separately executed transactions make up this spread.

net_price string 12

Net price paid (positive) or received (negative) for the spread.

net_delta string 13

The spread's net delta exposure.

net_theta string 14

The spread's net theta exposure.

total_premium string 15

Total premium across all legs.

underlying_price string 16

The underlying price when the spread executed.

min_dte int32 17

Shortest days to expiration among the legs.

max_dte int32 18

Longest days to expiration among the legs.

min_strike string 19

The lowest leg strike.

max_strike string 20

The highest leg strike.

all_otm bool 21

Whether every leg is out of the money.

diff_strikes bool 22

Whether the legs use different strikes.

diff_expirations bool 23

Whether the legs use different expirations.

diff_types bool 24

Whether the legs mix calls and puts.

option_chain_ids int32 repeated 25

The option chain ids of the legs.

trade_ids string repeated 26

The individual trades that make up the spread.

legs MultiLegSpreadLeg repeated 27

The legs of the spread.

all_opening_legs bool 28

Whether every leg opened new positions.

bid_ask_spread string 29

The net quoted bid ask width of the spread, empty when a leg has no quote.

uniq_exchanges string repeated 30

The distinct exchanges the legs traded on.

strikes string repeated 31

The distinct leg strikes.

max_profit string 32

Max profit at expiration; empty when unbounded or multi expiration.

max_loss string 33

Max loss at expiration; empty when unbounded or multi expiration.

breakevens string repeated 34

Underlying prices where the expiry payoff crosses zero. Ascending empty when multi expiration.

avg_iv string 35

Size weighted average implied volatility across the fills.

ivs string repeated 36

Size weighted implied volatility per distinct strike, arranged like strikes; empty entry when unknown.

net_premium string 37

Net premium paid (positive) or received (negative) across all legs. Empty when direction is unknown.

net_bid string 38

Net NBBO bid of the classified spread (buy legs at bid, sell legs at ask). Empty when direction is unknown or a leg has no quote.

net_ask string 39

Net NBBO ask of the classified spread (buy legs at ask, sell legs at bid). Empty when direction is unknown or a leg has no quote.