Message

TickerInterval

Aggregated options activity of a ticker over a 5 minute interval: call/put volumes split by trade side and trade type, net premium, greek flows and an IV snapshot at the interval open and close. All values are per interval, not running daily totals. This also applies to the cum_net_*_delta fields despite their name. The All and OtmOnly variants are published as separate messages. The message itself does not carry the ticker: the Kafka message key is the ticker of the underlying.

fields40 topicinterval-flow

▶Proto definition.proto

message TickerInterval {
  IntervalType interval_type = 1;
  int64 start_time = 2;
  int64 tape_time = 3;
  int32 call_vol = 4;
  int32 put_vol = 5;
  int32 transactions = 6;
  int32 call_vol_ask_side = 7;
  int32 call_vol_bid_side = 8;
  int32 call_vol_neutral_side = 9;
  int32 put_vol_ask_side = 10;
  int32 put_vol_bid_side = 11;
  int32 put_vol_neutral_side = 12;
  int32 call_sweep_vol = 13;
  int32 put_sweep_vol = 14;
  int32 call_floor_vol = 15;
  int32 put_floor_vol = 16;
  int32 call_cross_vol = 17;
  int32 put_cross_vol = 18;
  int32 call_multi_vol = 19;
  int32 put_multi_vol = 20;
  int64 cum_net_call_delta = 30;
  int64 cum_net_put_delta = 31;
  string avg_dte = 32;
  string avg_otm = 33;
  string avg_size = 34;
  string avg_prem = 35;
  int32 net_call_prem = 36;
  int32 net_put_prem = 37;
  string open = 40;
  string close = 41;
  int32 implied_move_perc_30d_open = 42;
  int32 implied_move_perc_30d_close = 43;
  int32 volatility_30d_open = 44;
  int32 volatility_30d_close = 45;
  int64 delta_flow = 46;
  int64 gamma_flow = 47;
  int64 vega_flow = 48;
  int64 dir_delta_flow = 49;
  int64 dir_gamma_flow = 50;
  int64 dir_vega_flow = 51;
}

Fields

interval_type IntervalType 1

Whether this interval counts all trades or OTM trades only.

start_time int64 2

Start of the 5 minute interval in milliseconds since 1970 (unix).

tape_time int64 3

Execution time of the latest trade in the interval in milliseconds since 1970 (unix).

call_vol int32 4

Call contracts traded in the interval.

put_vol int32 5

Put contracts traded in the interval.

transactions int32 6

Number of trades in the interval.

call_vol_ask_side int32 7

Call contracts that transacted on the ask side.

call_vol_bid_side int32 8

Call contracts that transacted on the bid side.

call_vol_neutral_side int32 9

Call contracts that transacted at the mid or without a side.

put_vol_ask_side int32 10

Put contracts that transacted on the ask side.

put_vol_bid_side int32 11

Put contracts that transacted on the bid side.

put_vol_neutral_side int32 12

Put contracts that transacted at the mid or without a side.

call_sweep_vol int32 13

Call contracts that were part of sweep transactions.

put_sweep_vol int32 14

Put contracts that were part of sweep transactions.

call_floor_vol int32 15

Call contracts that came from the floor.

put_floor_vol int32 16

Put contracts that came from the floor.

call_cross_vol int32 17

Call contracts that were part of cross transactions.

put_cross_vol int32 18

Put contracts that were part of cross transactions.

call_multi_vol int32 19

Call contracts that were part of multi leg or stock multi leg trades.

put_multi_vol int32 20

Put contracts that were part of multi leg or stock multi leg trades.

cum_net_call_delta int64 30

Net directional call delta: ask side delta flow minus bid side delta flow. Cumulative for the interval not the day.

cum_net_put_delta int64 31

Net directional put delta: ask side delta flow minus bid side delta flow. Cumulative for the interval not the day.

avg_dte string 32

Size weighted average days to expiry. Decimal string.

avg_otm string 33

Average percent OTM as a fraction. Decimal string.

avg_size string 34

Average trade size in contracts. Decimal string.

avg_prem string 35

Average trade premium in dollars. Decimal string.

net_call_prem int32 36

Net call premium in whole dollars: ask side positive, bid side negative. Each trade is capped at +-2,000,000.

net_put_prem int32 37

Net put premium in whole dollars: ask side positive, bid side negative. Each trade is capped at +-2,000,000.

open string 40

The price of the underlying at the first trade of the interval. Decimal string.

close string 41

The price of the underlying at the last trade of the interval. Decimal string.

implied_move_perc_30d_open int32 42

The 30 day interpolated implied move fraction at the interval open, scaled by 1000.

implied_move_perc_30d_close int32 43

The 30 day interpolated implied move fraction at the interval close, scaled by 1000.

volatility_30d_open int32 44

The 30 day interpolated implied volatility at the interval open, scaled by 1000.

volatility_30d_close int32 45

The 30 day interpolated implied volatility at the interval close, scaled by 1000.

delta_flow int64 46

Unsigned delta flow of the interval: delta * contracts * 100.

gamma_flow int64 47

Unsigned gamma flow of the interval: gamma * contracts * 100.

vega_flow int64 48

Unsigned vega flow of the interval: vega * contracts * 100.

dir_delta_flow int64 49

Delta flow signed by trade side: ask positive, bid negative.

dir_gamma_flow int64 50

Gamma flow signed by trade side: ask positive, bid negative.

dir_vega_flow int64 51

Vega flow signed by trade side: ask positive, bid negative.