Message

MultiLegSpreadLeg

One leg of a spread.

fields12 used byMultiLegSpread

▶Proto definition.proto

message MultiLegSpreadLeg {
  int32 option_symbol_id = 1;
  string option_symbol = 2;
  OptionTradeSide side = 3;
  int32 size = 4;
  string price = 5;
  string delta = 6;
  string theta = 7;
  string ewma_nbbo_bid = 8;
  string ewma_nbbo_ask = 9;
  string premium = 10;
  int64 volume = 11;
  int32 open_interest = 12;
}

Fields

option_symbol_id int32 1

The option chain's id.

option_symbol string 2

The option symbol the leg trades.

side OptionTradeSide 3

Whether the leg was bought (ask) or sold (bid).

size int32 4

Total contracts traded on this leg.

price string 5

Average fill price for the leg.

delta string 6

The leg's delta.

theta string 7

The leg's theta.

ewma_nbbo_bid string 8

The leg's NBBO bid.

ewma_nbbo_ask string 9

The leg's NBBO ask.

premium string 10

Total premium for the leg.

volume int64 11

The chain's volume.

open_interest int32 12

The chain's open interest.