Message

OptionStockPriceLevel

An option activity update grouped by underlying ticker and stock price level. Updates are published as INCREMENTAL updates for the time window they computed. If you store the data in a database you should be adding the values to the existing values in the database.

fields11 topicticker-levels

▶Proto definition.proto

message OptionStockPriceLevel {
  string ticker = 1;
  int32 call_volume = 2;
  int32 put_volume = 3;
  int32 call_bid_side_volume = 4;
  int32 call_ask_side_volume = 5;
  int32 put_bid_side_volume = 6;
  int32 put_ask_side_volume = 7;
  int32 call_trades = 8;
  int32 put_trades = 9;
  string date = 10;
  double price = 11;
}

Fields

ticker string 1

The underlying ticker.

call_volume int32 2

Call contracts traded in the incremental update.

put_volume int32 3

Put contracts traded in the incremental update.

call_bid_side_volume int32 4

Call contracts executed on the bid side in the incremental update.

call_ask_side_volume int32 5

Call contracts executed on the ask side in the incremental update.

put_bid_side_volume int32 6

Put contracts executed on the bid side in the incremental update.

put_ask_side_volume int32 7

Put contracts executed on the ask side in the incremental update.

call_trades int32 8

Number of call trades in the incremental update.

put_trades int32 9

Number of put trades in the incremental update.

date string 10

The trading date in YYYY-MM-DD format.

price double 11

The underlying stock price level represented by this incremental update.