Message

OptionTrade

A single executed option trade with its NBBO, greeks, volume breakdown and underlying metadata at the time of the trade.

fields41 deprecated2 topicall-option-trades

▶Proto definition.proto

message OptionTrade {
  string id = 1;
  string underlying_symbol = 2;
  int64 executed_at = 3;
  string nbbo_bid = 4;
  string nbbo_ask = 5;
  int32 size = 6;
  string price = 7;
  string option_chain_id = 8;
  string alert_score = 9;
  int64 created_at = 10;
  repeated string report_flags = 11;
  repeated string tags = 12;
  string expiry = 13;
  string option_type = 14;
  int32 open_interest = 15;
  string strike = 16;
  string premium = 17;
  int64 volume = 19;
  string underlying_price = 20;
  string ewma_nbbo_ask = 21;
  string ewma_nbbo_bid = 22;
  string implied_volatility = 23;
  string delta = 24;
  string theta = 25;
  string gamma = 26;
  string vega = 27;
  string rho = 28;
  string theo = 29;
  string upstream_cond_details = 30;
  int32 market_center_locate = 31;
  string exchange = 32;
  int64 ask_vol = 33;
  int64 bid_vol = 34;
  int64 no_side_vol = 35;
  int64 mid_vol = 36;
  int64 multi_vol = 37;
  int64 stock_multi_vol = 38;
  int32 option_symbol_id = 39;
  int32 ticker_id = 40;
  int32 root_ticker_id = 41;
  optional TickerInfo ticker_info = 42;
}

Fields

id string 1

Unique UUID of the trade.

underlying_symbol string 2

The underlying ticker symbol.

executed_at int64 3

The time at which the trade executed in milliseconds since 1970 (unix)

nbbo_bid string 4

The NBBO bid at the time of the trade.

nbbo_ask string 5

The NBBO ask at the time of the trade.

size int32 6

The size of the trade in number of contracts.

price string 7

The price at which the trade executed.

option_chain_id string 8

OptionSymbol in the OSI format, SPY241227C00480000

alert_score string deprecated 9

Deprecated, don't use

created_at int64 10

The time the trade record was created in milliseconds since 1970 (unix)

report_flags string repeated 11

Trade report flags from the upstream feed.

tags string repeated 12

Classification tags assigned to the trade.

expiry string 13

The expiration date of the option contract.

option_type string 14

The option type, call or put.

open_interest int32 15

The OI of the chain

strike string 16

The strike price of the option contract.

premium string 17

The premium of the trade (size * price * contract multiplier).

volume int64 19

The total market volume of the option symbol at the time of the trade.

underlying_price string 20

The price of the underlying at the time of the trade.

ewma_nbbo_ask string 21

The EWMA smoothed NBBO ask.

ewma_nbbo_bid string 22

The EWMA smoothed NBBO bid.

implied_volatility string 23

The implied volatility of the option.

delta string 24

The delta of the option.

theta string 25

The theta of the option.

gamma string 26

The gamma of the option.

vega string 27

The vega of the option.

rho string 28

The rho of the option.

theo string 29

The theoretical price of the option.

upstream_cond_details string 30

The upstream trade code of the transaction.

market_center_locate int32 deprecated 31

Deprecated, dont use

exchange string 32

The exchange on which the trade executed.

ask_vol int64 33

The total ask side volume of the option symbol at the time of the trade.

bid_vol int64 34

The total bid side volume of the option symbol at the time of the trade.

no_side_vol int64 35

The total no side volume of the option symbol at the time of the trade.

mid_vol int64 36

The total mid volume of the option symbol at the time of the trade.

multi_vol int64 37

The total multi leg volume of the option symbol at the time of the trade.

stock_multi_vol int64 38

The total stock multi leg volume of the option symbol at the time of the trade.

option_symbol_id int32 39

Internal unique ID for the option contract.

ticker_id int32 40

Internal unique ID for the given ticker.

root_ticker_id int32 41

Internal unique ID for the root ticker (indices).

ticker_info TickerInfo optional 42

Information about the ticker such as sector, industry, next earnings date and more.