Data Parameter Reference
Options Parameters
These are parameters available on an option-contract level.
| opt_kind | Option kind - (Call or Put) |
| expiration | Expiration date in "day id" format (days since epoch) |
| multiplier | Option Contract multiplier |
| product | Futures grouping (for example - ES) |
| mmy | Expiration in string format |
| last_trade | Date of last trade |
| strike | Strike |
| g_time | Timestamp of last Greeks Update |
| theo | Theoretical Price |
| volatility | Volatility |
| delta | Delta |
| gamma | Gamma |
| theta | Theta |
| rho | Rho |
| vega | Vega |
| event_time | Timestamp of last Profile Update |
| day_id | Current "day id" |
| day_open_price | Day Open Price |
| day_high_price | Day High Price |
| day_low_price | Day Low Price |
| day_close_price | Day Close Price |
| day_close_price_type | Day Close Price Type |
| prev_day_id | Previous "day id" |
| prev_day_close_price | Previous Day Close Price |
| prev_day_close_price_type | Previous Day Close Price type |
| prev_day_volume | Previous Day Volume |
| oi | Open Interest |
| oi_ch | Open Interest Change |
| bid_time | Latest Bid Timestamp |
| bid_exchange_code | Latest Bid Exchange Code |
| bid_price | Latest Bid Price |
| bid_size | Latest Bid Size |
| ask_time | Latest Ask Timestamp |
| ask_exchange_code | Latest Ask Exchange Code |
| ask_price | Latest Ask Price |
| ask_size | Latest Ask Size |
| t_time | Latest Trade Timestamp |
| exchange_code | Latest Trade Exchange Code |
| price | Latest Trade Price |
| change | Change in Price since Open according to Latest Trade |
| size | Latest Trade Size |
| t_day_id | Trade "day id" |
| day_volume | Day Volume |
| day_turnover | Day Turnover |
| tick_direction | Latest Trade Tick Direction |
| spread | Latest Bid-Ask Spread |
| value | Day Sum of Value Traded (Premium) |
| volm | Day Sum of Volume Traded |
| deltas | Day Sum of Deltas Traded (captured at moment of trade) |
| gammas | Day Sum of Gammas Traded (captured at moment of trade) |
| vegas | Day Sum of Vegas Traded (captured at moment of trade) |
| thetas | Day Sum of Thetas Traded (captured at moment of trade) |
| rhos | Day Sum of Rhos Traded (captured at moment of trade) |
| value_buy | Day Sum of Buy Value Traded |
| volm_buy | Day Sum of Buy Volume Traded |
| deltas_buy | Day Sum of Buy Deltas Traded |
| gammas_buy | Day Sum of Buy Gammas Traded |
| vegas_buy | Day Sum of Buy Vegas Traded |
| thetas_buy | Day Sum of Buy Thetas Traded |
| rhos_buy | Day Sum of Buy Rhos Traded |
| value_sell | Day Sum of Sell Value Traded |
| volm_sell | Day Sum of Sell Volume Traded |
| deltas_sell | Day Sum of Sell Deltas Traded |
| gammas_sell | Day Sum of Sell Gammas Traded |
| vegas_sell | Day Sum of Sell Vegas Traded |
| thetas_sell | Day Sum of Sell Thetas Traded |
| rhos_sell | Day Sum of Sell Rhos Traded |
| value_und | Day Sum of Undefined Value Traded |
| volm_und | Day Sum of Undefined Volume Traded |
| deltas_und | Day Sum of Undefined Deltas Traded |
| gammas_und | Day Sum of Undefined Gammas Traded |
| vegas_und | Day Sum of Undefined Vegas Traded |
| thetas_und | Day Sum of Undefined Thetas Traded |
| rhos_und | Day Sum of Rhos Value Traded |
| value_bs | Day Sum of Buy Value minus Sell Value Traded |
| volm_bs | Day Sum of Buy Volume minus Sell Volume Traded |
| expiration_ts | Timestamp of Expiration Date |
| vanna | Vanna |
| vomma | Vomma |
| charm | Charm |
| dxoi | Delta multiplied by Open Interest |
| gxoi | Gamma multiplied by Open Interest |
| vxoi | Vega multiplied by Open Interest |
| txoi | Theta multiplied by Open Interest |
| vannaxoi | Vanna multiplied by Open Interest |
| vommaxoi | Vomma multiplied by Open Interest |
| charmxoi | Charm multiplied by Open Interest |
| gxvolm | Gamma multiplied by Volume |
| vxvolm | Vega multiplied by Volume |
| txvolm | Theta multiplied by Volume |
| vannaxvolm | Vanna multiplied by Volume |
| vommaxvolm | Vomma multiplied by Volume |
| charmxvolm | Charm multiplied by Volume |
| dxvolm | Delta multiplied by Volume |
| volm_5m | Volume Traded - last 5 minutes |
| value_5m | Value Traded - last 5 minutes |
| volmbs_5m | Volume of Buys minus Sells - last 5 minutes |
| valuebs_5m | Value of Buys minus Sells - last 5 minutes |
| volm_15m | Volume Traded - last 15 minutes |
| value_15m | Value Traded - last 15 minutes |
| volmbs_15m | Volume of Buys minus Sells - last 15 minutes |
| valuebs_15m | Value of Buys minus Sells - last 15 minutes |
| volm_30m | Volume Traded - last 30 minutes |
| value_30m | Value Traded - last 30 minutes |
| volmbs_30m | Volume of Buys minus Sells - last 30 minutes |
| valuebs_30m | Value of Buys minus Sells - last 30 minutes |
| volm_60m | Volume Traded - last 60 minutes |
| value_60m | Value Traded - last 60 minutes |
| volmbs_60m | Volume of Buys minus Sells - last 60 minutes |
| valuebs_60m | Value of Buys minus Sells - last 60 minutes |
Underlying Parameters
These are parameters available on an underlying level.
| event_time | Timestamp of last Profile Update |
| day_id | Current "day id" |
| day_open_price | Day Open Price |
| day_high_price | Day High Price |
| day_low_price | Day Low Price |
| day_close_price | Day Close Price |
| day_close_price_type | Day Close Price Type |
| prev_day_id | Previous "day id" |
| prev_day_close_price | Previous Day Close Price |
| prev_day_close_price_type | Previous Day Close Price type |
| prev_day_volume | Previous Day Volume |
| oi | Open Interest |
| t_time | Latest Trade Timestamp |
| exchange_code | Latest Trade Exchange Code |
| price | Latest Trade Price |
| change | Change in Price since Open according to Latest Trade |
| size | Latest Trade Size |
| t_day_id | Trade "day id" |
| day_volume | Day Volume |
| day_turnover | Day Turnover |
| tick_direction | Latest Trade Tick Direction |
| bid_time | Latest Bid Timestamp |
| bid_exchange_code | Latest Bid Exchange Code |
| bid_price | Latest Bid Price |
| bid_size | Latest Bid Size |
| ask_time | Latest Ask Timestamp |
| ask_exchange_code | Latest Ask Exchange Code |
| ask_price | Latest Ask Price |
| ask_size | Latest Ask Size |
| spread | Latest Bid-Ask Spread |
| u_time | Timestamp of last Underlying Volatility Update |
| volatility | Volatility |
| front_volatility | Front Volatility |
| back_volatility | Back Volatility |
| call_volume | Call Volume |
| put_volume | Put Volume |
| put_call_ratio | Put/Call Ratio |
| option_volume | Option Volume |
| high_52_week_price | High 52-Week Price |
| low_52_week_price | Low 52-Week Price |
| value | Day Sum of Value Traded (Premium) |
| volm | Day Sum of Volume Traded |
| deltas | Day Sum of Deltas Traded (captured at moment of trade) |
| gammas | Day Sum of Gammas Traded (captured at moment of trade) |
| vegas | Day Sum of Vegas Traded (captured at moment of trade) |
| thetas | Day Sum of Thetas Traded (captured at moment of trade) |
| rhos | Day Sum of Rhos Traded (captured at moment of trade) |
| value_buy | Day Sum of Buy Value Traded |
| volm_buy | Day Sum of Buy Volume Traded |
| deltas_buy | Day Sum of Buy Deltas Traded |
| gammas_buy | Day Sum of Buy Gammas Traded |
| vegas_buy | Day Sum of Buy Vegas Traded |
| thetas_buy | Day Sum of Buy Thetas Traded |
| rhos_buy | Day Sum of Buy Rhos Traded |
| value_call_buy | Day Sum of Call Buy Value Traded |
| volm_call_buy | Day Sum of Call Buy Volume Traded |
| deltas_call_buy | Day Sum of Call Buy Deltas Traded |
| gammas_call_buy | Day Sum of Call Buy Gammas Traded |
| vegas_call_buy | Day Sum of Call Buy Vegas Traded |
| thetas_call_buy | Day Sum of Call Buy Thetas Traded |
| rhos_call_buy | Day Sum of Call Buy Rhos Traded |
| value_put_buy | Day Sum of Put Buy Value Traded |
| volm_put_buy | Day Sum of Put Buy Volume Traded |
| deltas_put_buy | Day Sum of Put Buy Deltas Traded |
| gammas_put_buy | Day Sum of Put Buy Gammas Traded |
| vegas_put_buy | Day Sum of Put Buy Vegas Traded |
| thetas_put_buy | Day Sum of Put Buy Thetas Traded |
| rhos_put_buy | Day Sum of Put Buy Rhos Traded |
| value_sell | Day Sum of Sell Value Traded |
| volm_sell | Day Sum of Sell Volume Traded |
| deltas_sell | Day Sum of Sell Deltas Traded |
| gammas_sell | Day Sum of Sell Gammas Traded |
| vegas_sell | Day Sum of Sell Vegas Traded |
| thetas_sell | Day Sum of Sell Thetas Traded |
| rhos_sell | Day Sum of Sell Rhos Traded |
| value_call_sell | Day Sum of Call Sell Value Traded |
| volm_call_sell | Day Sum of Call Sell Volume Traded |
| deltas_call_sell | Day Sum of Call Sell Deltas Traded |
| gammas_call_sell | Day Sum of Call Sell Gammas Traded |
| vegas_call_sell | Day Sum of Call Sell Vegas Traded |
| thetas_call_sell | Day Sum of Call Sell Thetas Traded |
| rhos_call_sell | Day Sum of Call Sell Rhos Traded |
| value_put_sell | Day Sum of Put Sell Value Traded |
| volm_put_sell | Day Sum of Put Sell Volume Traded |
| deltas_put_sell | Day Sum of Put Sell Deltas Traded |
| gammas_put_sell | Day Sum of Put Sell Gammas Traded |
| vegas_put_sell | Day Sum of Put Sell Vegas Traded |
| thetas_put_sell | Day Sum of Put Sell Thetas Traded |
| rhos_put_sell | Day Sum of Put Sell Rhos Traded |
| value_und | Day Sum of Undefined Value Traded |
| volm_und | Day Sum of Undefined Volume Traded |
| deltas_und | Day Sum of Undefined Deltas Traded |
| gammas_und | Day Sum of Undefined Gammas Traded |
| vegas_und | Day Sum of Undefined Vegas Traded |
| thetas_und | Day Sum of Undefined Thetas Traded |
| rhos_und | Day Sum of Undefined Rhos Traded |
| value_call_und | Day Sum of Call Undefined Value Traded |
| volm_call_und | Day Sum of Call Undefined Volume Traded |
| deltas_call_und | Day Sum of Call Undefined Deltas Traded |
| gammas_call_und | Day Sum of Call Undefined Gammas Traded |
| vegas_call_und | Day Sum of Call Undefined Vegas Traded |
| thetas_call_und | Day Sum of Call Undefined Thetas Traded |
| rhos_call_und | Day Sum of Call Undefined Rhos Traded |
| value_put_und | Day Sum of Put Undefined Value Traded |
| volm_put_und | Day Sum of Put Undefined Volume Traded |
| deltas_put_und | Day Sum of Put Undefined Deltas Traded |
| gammas_put_und | Day Sum of Put Undefined Gammas Traded |
| vegas_put_und | Day Sum of Put Undefined Vegas Traded |
| thetas_put_und | Day Sum of Put Undefined Thetas Traded |
| rhos_put_und | Day Sum of Put Undefined Rhos Traded |
| value_bs | Value of all Buys minus Sells |
| volm_bs | Volume of all Buys minus Sells |
| flowratio | (Value of Call Buys + Value of Put Sells) / (Value of Put Buys + Value of Call Sells) |
| vflowratio | (Volume of Call Buys + Volume of Put Sells) / (Volume of Put Buys + Volume of Call Sells) |
| value_call_ratio | (Value of Call Buys)/(Value of Call Sells) |
| value_put_ratio | (Value of Put Buys)/(Value of Put Sells) |
| volm_call_ratio | (Volume of Call Buys)/(Volume of Call Sells) |
| volm_put_ratio | (Volume of Put Buys)/(Volume of Put Sells) |
| dxoi | Delta multiplied by Open Interest |
| gxoi | Gamma multiplied by Open Interest |
| vxoi | Vega multiplied by Open Interest |
| txoi | Theta multiplied by Open Interest |
| vannaxoi | Vanna multiplied by Open Interest |
| charmxoi | Charm multiplied by Open Interest |
| gxvolm | Gamma multiplied by Volume |
| vxvolm | Vega multiplied by Volume |
| txvolm | Theta multiplied by Volume |
| vannaxvolm | Vanna multiplied by Volume |
| charmxvolm | Charm multiplied by Volume |
| dxvolm | Delta multiplied by Volume |
Flowchart Parameters
The flowchart module has all 'Underlying Parameters' shown above, as well as the following:
| call_dxoi | Delta multiplied by Open Interest (Calls Only) |
| call_gxoi | Gamma multiplied by Open Interest (Calls Only) |
| call_vxoi | Vega multiplied by Open Interest (Calls Only) |
| call_txoi | Theta multiplied by Open Interest (Calls Only) |
| put_dxoi | Delta multiplied by Open Interest (Puts Only) |
| put_gxoi | Gamma multiplied by Open Interest (Puts Only) |
| put_vxoi | Vega multiplied by Open Interest (Puts Only) |
| put_txoi | Theta multiplied by Open Interest (Puts Only) |
| value_call_bs | Value of Buys minus Sells (Calls Only) |
| value_put_bs | Value of Buys minus Sells (Puts Only) |
| volm_call_bs | Volume of Buys minus Sells (Calls Only) |
| volm_put_bs | Volume of Buys minus Sells (Puts Only) |
| flownet | (Value of Call Buys + Value of Put Sells - Value of Call Sells - Value of Put Buys) |
| vflownet | (Volume of Call Buys + Volume of Put Sells - Volume of Call Sells - Volume of Put Buys) |
| prop1 | Proprietary |
| prop2 | Proprietary |
| prop3 | Proprietary |
| prop4 | Proprietary |
Time and Sale Parameters
These are parameters available on time and sales entry (tas module).
| symbol | Option Symbol |
| event_flags | transactional event flags |
| index | unique per-symbol index of this time and sale event |
| time | timestamp |
| sequence | sequence number of this event to distinguish events that have the same time |
| exchange_code | exchange code of this time and sale event |
| price | price of this time and sale event |
| size | size of this time and sale event |
| bid_price | the current bid price on the market when this time and sale event had occurred |
| ask_price | the current ask price on the market when this time and sale event had occurred |
| exchange_sale_conditions | sale conditions provided for this event by data feed |
| trade_through_exempt | |
| aggressor_side | aggressor side of this time and sale event |
| spread_leg | whether this event represents a spread leg |
| extended_trading_hours | whether this event represents an extended trading hours sale |
| valid_tick | whether this event represents a valid intraday tick |
| tas_type | type of this time and sale event |
| value | Price x size x multiplier |
| spot | Spot price of underlying at time of event |
| gamma | gamma |
| delta | delta |
| vega | vega |
| theta | theta |
| rho | rho |
| volatility | volatility |
| theo | Theoretical Price |