Fields
The number on the right of each row is the protobuf field number.Whether this interval counts all trades or OTM trades only.
start_timeint642
Start of the 5 minute interval in milliseconds since 1970 (unix).
tape_timeint643
Execution time of the latest trade in the interval in milliseconds since 1970 (unix).
call_volint324
Call contracts traded in the interval.
put_volint325
Put contracts traded in the interval.
transactionsint326
Number of trades in the interval.
call_vol_ask_sideint327
Call contracts that transacted on the ask side.
call_vol_bid_sideint328
Call contracts that transacted on the bid side.
call_vol_neutral_sideint329
Call contracts that transacted at the mid or without a side.
put_vol_ask_sideint3210
Put contracts that transacted on the ask side.
put_vol_bid_sideint3211
Put contracts that transacted on the bid side.
put_vol_neutral_sideint3212
Put contracts that transacted at the mid or without a side.
call_sweep_volint3213
Call contracts that were part of sweep transactions.
put_sweep_volint3214
Put contracts that were part of sweep transactions.
call_floor_volint3215
Call contracts that came from the floor.
put_floor_volint3216
Put contracts that came from the floor.
call_cross_volint3217
Call contracts that were part of cross transactions.
put_cross_volint3218
Put contracts that were part of cross transactions.
call_multi_volint3219
Call contracts that were part of multi leg or stock multi leg trades.
put_multi_volint3220
Put contracts that were part of multi leg or stock multi leg trades.
cum_net_call_deltaint6430
Net directional call delta: ask side delta flow minus bid side delta flow. Cumulative for the interval not the day.
cum_net_put_deltaint6431
Net directional put delta: ask side delta flow minus bid side delta flow. Cumulative for the interval not the day.
avg_dtestring32
Size weighted average days to expiry. Decimal string.
avg_otmstring33
Average percent OTM as a fraction. Decimal string.
avg_sizestring34
Average trade size in contracts. Decimal string.
avg_premstring35
Average trade premium in dollars. Decimal string.
net_call_premint3236
Net call premium in whole dollars: ask side positive, bid side negative. Each trade is capped at +-2,000,000.
net_put_premint3237
Net put premium in whole dollars: ask side positive, bid side negative. Each trade is capped at +-2,000,000.
openstring40
The price of the underlying at the first trade of the interval. Decimal string.
closestring41
The price of the underlying at the last trade of the interval. Decimal string.
implied_move_perc_30d_openint3242
The 30 day interpolated implied move fraction at the interval open, scaled by 1000.
implied_move_perc_30d_closeint3243
The 30 day interpolated implied move fraction at the interval close, scaled by 1000.
volatility_30d_openint3244
The 30 day interpolated implied volatility at the interval open, scaled by 1000.
volatility_30d_closeint3245
The 30 day interpolated implied volatility at the interval close, scaled by 1000.
delta_flowint6446
Unsigned delta flow of the interval: delta * contracts * 100.
gamma_flowint6447
Unsigned gamma flow of the interval: gamma * contracts * 100.
vega_flowint6448
Unsigned vega flow of the interval: vega * contracts * 100.
dir_delta_flowint6449
Delta flow signed by trade side: ask positive, bid negative.
dir_gamma_flowint6450
Gamma flow signed by trade side: ask positive, bid negative.
dir_vega_flowint6451
Vega flow signed by trade side: ask positive, bid negative.
