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Message

NetFlow

Market wide options net flow ("market tide"): the ask side vs bid side volume and premium of all option trades, aggregated across the whole market. Published under two message keys with the same payload: key market-cope carries one minute buckets and key second-market-cope carries one second buckets. Each message is a per interval delta. Consumers NEED TO sum the deltas to build cumulative series.

fields27 topicnet-flow
▶Proto definition.proto 
message NetFlow {
  string date = 1;
  int64 timestamp = 2;
  int64 callAskVolume = 3;
  int64 callBidVolume = 4;
  string callAskPremium = 5;
  string callBidPremium = 6;
  int64 putAskVolume = 7;
  int64 putBidVolume = 8;
  string putAskPremium = 9;
  string putBidPremium = 10;
  int64 netCallVolume = 11;
  string netCallPremium = 12;
  int64 netPutVolume = 13;
  string netPutPremium = 14;
  int64 otmCallAskVolume = 15;
  int64 otmCallBidVolume = 16;
  string otmCallAskPremium = 17;
  string otmCallBidPremium = 18;
  int64 otmPutAskVolume = 19;
  int64 otmPutBidVolume = 20;
  string otmPutAskPremium = 21;
  string otmPutBidPremium = 22;
  int64 otmNetCallVolume = 23;
  string otmNetCallPremium = 24;
  int64 otmNetPutVolume = 25;
  string otmNetPutPremium = 26;
  string ticker = 27;
}
Fields
date string 1
The trading date in YYYY-MM-DD format.
timestamp int64 2
Start of the interval bucket in milliseconds since 1970 (unix).
callAskVolume int64 3
Call contracts that transacted on the ask side.
callBidVolume int64 4
Call contracts that transacted on the bid side.
callAskPremium string 5
Premium of the ask side call trades. Decimal string.
callBidPremium string 6
Premium of the bid side call trades. Decimal string.
putAskVolume int64 7
Put contracts that transacted on the ask side.
putBidVolume int64 8
Put contracts that transacted on the bid side.
putAskPremium string 9
Premium of the ask side put trades. Decimal string.
putBidPremium string 10
Premium of the bid side put trades. Decimal string.
netCallVolume int64 11
callAskVolume - callBidVolume.
netCallPremium string 12
callAskPremium - callBidPremium. Decimal string.
netPutVolume int64 13
putAskVolume - putBidVolume.
netPutPremium string 14
putAskPremium - putBidPremium. Decimal string.
otmCallAskVolume int64 15
Out of the money only variant of callAskVolume.
otmCallBidVolume int64 16
Out of the money only variant of callBidVolume.
otmCallAskPremium string 17
Out of the money only variant of callAskPremium. Decimal string.
otmCallBidPremium string 18
Out of the money only variant of callBidPremium. Decimal string.
otmPutAskVolume int64 19
Out of the money only variant of putAskVolume.
otmPutBidVolume int64 20
Out of the money only variant of putBidVolume.
otmPutAskPremium string 21
Out of the money only variant of putAskPremium. Decimal string.
otmPutBidPremium string 22
Out of the money only variant of putBidPremium. Decimal string.
otmNetCallVolume int64 23
Out of the money only variant of netCallVolume.
otmNetCallPremium string 24
Out of the money only variant of netCallPremium. Decimal string.
otmNetPutVolume int64 25
Out of the money only variant of netPutVolume.
otmNetPutPremium string 26
Out of the money only variant of netPutPremium. Decimal string.
ticker string 27
Not populated for the market wide tide keys.