Fields
The number on the right of each row is the protobuf field number.idstring1
Unique id of the spread.
ticker_idint322
The underlying ticker’s id.
tickerstring3
The underlying ticker symbol.
codestring4
The trade code shared by the legs.
The classified strategy.
Whether the position is long or short.
Whether the spread was a net debit (ask) or a net credit (bid).
executed_atint648
When the spread executed.
sizeint329
The size of the spread.
leg_countint3210
How many legs the spread has.
txnsint3211
How many separately executed transactions make up this spread.
net_pricestring12
Net price paid (positive) or received (negative) for the spread.
net_deltastring13
The spread’s net delta exposure.
net_thetastring14
The spread’s net theta exposure.
total_premiumstring15
Total premium across all legs.
underlying_pricestring16
The underlying price when the spread executed.
min_dteint3217
Shortest days to expiration among the legs.
max_dteint3218
Longest days to expiration among the legs.
min_strikestring19
The lowest leg strike.
max_strikestring20
The highest leg strike.
all_otmbool21
Whether every leg is out of the money.
diff_strikesbool22
Whether the legs use different strikes.
diff_expirationsbool23
Whether the legs use different expirations.
diff_typesbool24
Whether the legs mix calls and puts.
option_chain_idsint32repeated25
The option chain ids of the legs.
trade_idsstringrepeated26
The individual trades that make up the spread.
The legs of the spread.
all_opening_legsbool28
Whether every leg opened new positions.
bid_ask_spreadstring29
The net quoted bid ask width of the spread, empty when a leg has no quote.
uniq_exchangesstringrepeated30
The distinct exchanges the legs traded on.
strikesstringrepeated31
The distinct leg strikes.
max_profitstring32
Max profit at expiration; empty when unbounded or multi expiration.
max_lossstring33
Max loss at expiration; empty when unbounded or multi expiration.
breakevensstringrepeated34
Underlying prices where the expiry payoff crosses zero. Ascending empty when multi expiration.
avg_ivstring35
Size weighted average implied volatility across the fills.
ivsstringrepeated36
Size weighted implied volatility per distinct strike, arranged like strikes; empty entry when unknown.
net_premiumstring37
Net premium paid (positive) or received (negative) across all legs. Empty when direction is unknown.
net_bidstring38
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_askstring39
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.
ratiosint3240
Reduced leg-size ratio with one digit per distinct strike in ascending strike order. For example, 10:20:10 is encoded as 121. Zero when a reduced component exceeds one digit.
net_vegastring41
Signed position vega in dollars (sum of ±leg vega × contracts × 100). Empty when a leg’s side is unknown.
net_gammastring42
Signed position gamma in dollars (sum of ±leg gamma × contracts × 100). Empty when a leg’s side is unknown.
gross_vegastring43
Sum of |leg vega| × contracts × 100 across every leg, whichever way the legs are signed.
gross_gammastring44
Sum of |leg gamma| × contracts × 100 across every leg, whichever way the legs are signed.