Fields | Type | Description |
---|---|---|

date | yyyy-mm-dd | Trading date |

usymbol | string | Underlying symbol |

amex | int | Number of contracts traded on AMEX |

arca | int | Number of contracts traded on ARCA |

bzx | int | Number of contracts traded on BZX |

box | int | Number of contracts traded on BOX |

bxo | int | Number of contracts traded on BXO |

c2 | int | Number of contracts traded on C2 |

cboe | int | Number of contracts traded on CBOE |

ise | int | Number of contracts traded on ISE |

nom | int | Number of contracts traded on NOM |

miax | int | Number of contracts traded on MIAX |

pearl | int | Number of contracts traded on PEARL |

phlx | int | Number of contracts traded on PHLX |

gem | int | Number of contracts traded on GEM |

edgx | int | Number of contracts traded on EDGX |

merc | int | Number of contracts traded on MERC |

emld | int | Number of contracts traded on EMLD |

memx | int | Number of contracts traded on MEMX |

sphr | int | Number of contracts traded on SPHR |

amex_puts | int | Number of put contracts traded on AMEX |

arca_puts | int | Number of put contracts traded on ARCA |

bzx_puts | int | Number of put contracts traded on BZX |

box_puts | int | Number of put contracts traded on BOX |

bxo_puts | int | Number of put contracts traded on BXO |

c2_puts | int | Number of put contracts traded on C2 |

cboe_puts | int | Number of put contracts traded on CBOE |

ise_puts | int | Number of put contracts traded on ISE |

miax_puts | int | Number of put contracts traded on MIAX |

pearl_puts | int | Number of put contracts traded on PEARL |

nom_puts | int | Number of put contracts traded on NOM |

phlx_puts | int | Number of put contracts traded on PHLX |

gem_puts | int | Number of put contracts traded on GEM |

edgx_puts | int | Number of put contracts traded on EDGX |

merc_puts | int | Number of put contracts traded on MERC |

emld_puts | int | Number of put contracts traded on EMLD |

memx_puts | int | Number of put contracts traded on MEMX |

sphr_puts | int | Number of put contracts traded on SPHR |

amex_calls | int | Number of call contracts traded on AMEX |

arca_calls | int | Number of call contracts traded on ARCA |

bzx_calls | int | Number of call contracts traded on BZX |

box_calls | int | Number of call contracts traded on BOX |

bxo_calls | int | Number of call contracts traded on BXO |

c2_calls | int | Number of call contracts traded on C2 |

cboe_calls | int | Number of call contracts traded on CBOE |

ise_calls | int | Number of call contracts traded on ISE |

miax_calls | int | Number of call contracts traded on MIAX |

pearl_calls | int | Number of call contracts traded on PEARL |

nom_calls | int | Number of call contracts traded on NOM |

phlx_calls | int | Number of call contracts traded on PHLX |

gem_calls | int | Number of call contracts traded on GEM |

edgx_calls | int | Number of call contracts traded on EDGX |

merc_calls | int | Number of call contracts traded on MERC |

emld_calls | int | Number of call contracts traded on EMLD |

memx_calls | int | Number of call contracts traded on MEMX |

sphr_calls | int | Number of call contracts traded on SPHR |

option_volume | int | Total number of contracts |

put_volume | int | Total number of put contracts |

call_volume | int | Total number of call contracts |

put_pct | % | Total traded put contracts as percentage |

call_pct | % | Total traded call contracts as percentage |

directional_pct | real | Percentage of directional volume (no spreads, late, etc) |

put_trades | int | Total number of put trades |

call_trades | int | Total number of call trades |

trades | int | Total number of trades |

adv | int | Average daily contract volume |

avg_total_puts | int | Average number of put contracts over last 22 trading days |

avg_total_calls | int | Average number of call contracts over last 22 trading days |

equity_volume | real | Total equity share volume |

avg_volume | real | Average daily share volume over last 22 trading days |

option_open_int | int | Total open interest |

option_oi_chg | int | Change in total open interest since previous day |

put_open_int | int | Total open put interest |

call_open_int | int | Total open call interest |

oi_puts_chg | int | Change in open put interest since previous day |

oi_calls_chg | int | Change in call open interest since previous day |

volume_oi_pct | real | Total traded contracts as percentage of open interest |

put_prem | real | Sum of trade size times price for all puts |

call_prem | real | Sum of trade size times price for all calls |

bullish_c_prem | real | Sum of call premium where trade on ask side |

bearish_c_prem | real | Sum of call premium where trade on bid side |

bearish_p_prem | real | Sum of put premium where trade on ask side |

bullish_p_prem | real | Sum of put premium where trade on bid side |

bullish_on_ask | real | Bullish contracts trading on ask |

bearish_on_ask | real | Bearish contracts trading on ask |

net_delta | real | Total net delta$ on day |

net_vega | real | Total net vega$ on day |

rolling_net_delta | real | Net delta$ traded in last 10 minutes |

rolling_puts | int | Put contracts traded in last 10 minutes |

rolling_calls | int | Call contracts traded in last 10 minutes |

rolling_buys | int | Buy side contracts traded in last 10 minutes |

rolling_sells | int | Sell side contracts traded in last 10 minutes |

rolling_bullish | int | Bullish contracts traded in last 10 minutes |

rolling_bearish | int | Bearish contracts traded in last 10 minutes |

atm_p_buy | int | At-the-money puts on the buy side |

atm_p_sell | int | At-the-money puts on the sell side |

atm_p_vol | int | At-the-money puts total volume |

atm_p_oi | int | At-the-money put open interest |

atm_p_vega | real | At-the-money put net dollar vega |

atm_p_delta_buy | real | At-the-money put net dollar delta on the buy side |

atm_p_delta_sell | real | At-the-money put net dollar delta on the sell side |

atm_c_buy | int | At-the-money calls on the buy side |

atm_c_sell | int | At-the-money calls on the sell side |

atm_c_vol | int | At-the-money calls total volume |

atm_c_oi | int | At-the-money call open interest |

atm_c_vega | real | At-the-money call net dollar vega |

atm_c_delta_buy | real | At-the-money call net dollar delta on the buy side |

atm_c_delta_sell | real | At-the-money call net dollar delta on the sell side |

otm_p_buy | int | Out-of-the-money puts on the buy side |

otm_p_sell | int | Out-of-the-money puts on the sell side |

otm_p_vol | int | Out-of-the-money puts total volume |

otm_p_oi | int | Out-of-the-money put open interest |

otm_p_vega | real | Out-of-the-money put net dollar vega |

otm_p_delta_buy | real | Out-of-the-money put net dollar delta on the buy side |

otm_p_delta_sell | real | Out-of-the-money put net dollar delta on the sell side |

otm_c_buy | int | Out-of-the-money calls on the buy side |

otm_c_sell | int | Out-of-the-money calls on the sell side |

otm_c_vol | int | Out-of-the-money calls total volume |

otm_c_oi | int | Out-of-the-money call open interest |

otm_c_vega | real | Out-of-the-money call net dollar vega |

otm_c_delta_buy | real | Out-of-the-money call net dollar delta on the buy side |

otm_c_delta_sell | real | Out-of-the-money call net dollar delta on the sell side |

itm_p_buy | int | In-the-money puts on the buy side |

itm_p_sell | int | In-the-money puts on the sell side |

itm_p_vol | int | In-the-money puts total volume |

itm_p_oi | int | In-the-money put open interest |

itm_p_vega | real | In-the-money put net dollar vega |

itm_p_delta_buy | real | In-the-money put net dollar delta on the buy side |

itm_p_delta_sell | real | In-the-money put net dollar delta on the sell side |

itm_c_buy | int | In-the-money calls on the buy side |

itm_c_sell | int | In-the-money calls on the sell side |

itm_c_vol | int | In-the-money calls total volume |

itm_c_oi | int | In-the-money call open interest |

itm_c_vega | real | In-the-money call net dollar vega |

itm_c_delta_buy | real | In-the-money call net dollar delta on the buy side |

itm_c_delta_sell | real | In-the-money call net dollar delta on the sell side |

put_ask_pct | % | Percentage of put contracts traded on ask side |

put_bid_pct | % | Percentage of put contracts traded on bid side |

put_mid_pct | % | Percentage of put contracts traded mid |

call_ask_pct | % | Percentage of call contracts traded on ask side |

call_bid_pct | % | Percentage of call contracts traded on bid side |

call_mid_pct | % | Percentage of call contracts traded mid |

bearish_pct | % | Percentage of bearish contracts |

bullish_pct | % | Percentage of bullish contracts |

neutral_pct | % | Percentage of neutral contracts |

total_edge | real | Total edge for normal trades |

spread_edge | real | Total edge for spread trades |

size_edge | int | Total size for normal trades |

option_mult | int | Option volume multiple compared with ADV |

option_tw_mult | int | Option volume multiple compared with time weighted ADV |

option_mw_mult | int | Option volume multiple compared with time & market weighted ADV |

equity_mult | int | Equity volume multiple compared with avg_volume |

pct_adv | real | Option volume percentage compared with ADV |

tw_pct_adv | real | Option volume percentage compared with time weighted ADV |

atm | real | At-the-money strike (can be mid-point of two strikes if spot not near single strike) |

atm1 | real | Lower at-the-money strike |

atm2 | real | Upper at-the-money strike |

spot | real | Current spot reference price |

spot_chg | real | Current spot price change on day |

atm_ivol | real | ATM 30day implied volatility |

atm_ivol_chg | real | ATM 30day implied volatility change-on-day |

atm_ivol_chg_pct | real | ATM 30day implied volatility change-on-day percentage |

close | real | Closing stock price (historical only) |

chg | real | Stock price change-on-day (historical only) |

split_adj_close | real | Split adjusted closing stock price (historical only) |

split_adj_mult | real | Multiplier to calculate split adjusted prices (historical only) |

volatility20day | real | Historical 20 day volatility |

sectype | I=Index, E=ETF, S=Stock, C=Crypto | Underlying security type |

cap | S=Small, M=Mid, L=Large | Capitalization category |

sector | string | Industry sector |

subsector | string | Industry sub-sector |

ssr | bool | Has short-sale restriction |

ivhigh | bool | ATM IV has touched a new 52 week high |

ivlow | bool | ATM IV has touched a new 52 week low |

newhigh | bool | Spot price has touched a new 52 week high |

newlow | bool | Spot price has touched a new 52 week low |

earnings | bool | Stock has pending earnings announcement |

post_earnings | bool | Stock is post earnings announcement |

exdiv | bool | Underlying is going ex-dividend tomorrow |

nondiv | bool | Underlying is not going ex-dividend tomorrow |

largecap | bool | Company is largecap |

midcap | bool | Company is midcap |

smallcap | bool | Company is smallcap |

etf | bool | Underlying is an ETF |

stock | bool | Underlying is a stock |

index | bool | Underlying is an index |

crypto | bool | Underlying is a crypto-currency |

spot_chg_pct | real | Current spot price % change on day |

comments | string | List of underlying events (Pre-Earnings, ExDiv, 52WeekHigh, etc) |

stddevs | real | Stddevs of historical 20 day volatility |

htb | bool | Hard-to-borrow flag |

borrow_rate | real | Implied borrow rate |

imp_total_rate | real | All in Implied borrow rate |

indicative_borrow | real | Indicative broker borrow rate |

primary_exch | string | Primary exchange for underlying |

next_earnings | datetime | Date of next earnings announcement |

days_to_earnings | int | Number of business days to next earnings announcement |

hv_30day | real | 30 day historical volatility |

hv_60day | real | 60 day historical volatility |

hv_120day | real | 120 day historical volatility |

shares_outstanding | real | Shares outstanding |

on_bid_hist_puts | int | Life-to-date put volume trading on bid side |

on_bid_hist_calls | int | Life-to-date call volume trading on bid side |

on_mid_hist_puts | int | Life-to-date put volume trading on mid |

on_mid_hist_calls | int | Life-to-date call volume trading on mid |

on_ask_hist_puts | int | Life-to-date put volume trading on ask side |

on_ask_hist_calls | int | Life-to-date call volume trading on ask side |

next_day_oi_puts | int | Put open interest on next day |

next_day_oi_calls | int | Call open interest on next day |

flex_oi_puts | int | Flex put open interest |

flex_oi_calls | int | Flex call open interest |

flex_oi_puts_chg | int | Change in flex put open interest from previous day |

flex_oi_calls_chg | int | Change in flex call open interest from previous day |

flex_oi_puts_new | int | New flex puts |

flex_oi_calls_new | int | New flex calls |

avg_put_prem | $ | 22 day average put premium |

avg_call_prem | $ | 22 day average call premium |

avg_oi_puts | int | 22 day average put open interest |

avg_oi_calls | int | 22 day average call open interest |

avg_pc_ratio | real | 22 day average put/call ratio |

avg_prem_ratio | real | 22 day average put/call premium ratio |

avg_oi_ratio | real | 22 day average put/call open_interest ratio |

avg_isee_ratio | real | 22 day average put/call ISEE ratio |

avg_egap | real | 22 day average earnings gap |

avg_edge | real | 22 day average edge |

avg_oi_puts_52w | int | 52 week average put open interest |

avg_oi_calls_52w | int | 52 week average call open interest |

w52_iv_low | % | 52 week ATM implied volatility low |

w52_iv_low_date | yyyy-mm-dd | Date 52 week ATM implied volatility low was reached |

w52_iv_high | % | 52 week ATM implied volatility high |

w52_iv_high_date | yyyy-mm-dd | Date 52 week ATM implied volatility high was reached |

w52_close_low | $ | 52 week closing spot low |

w52_close_low_date | yyyy-mm-dd | Date 52 week closing spot low was reached |

w52_close_high | $ | 52 week closing spot high |

w52_close_high_date | yyyy-mm-dd | Date 52 week closing spot high was reached |

d25_30p_vol | % | 30 day 25 delta put volatility |

d25_30c_vol | % | 30 day 25 delta call volatility |

skew_adj_vol | % | Skew adjusted volatility |

skew_adj_chg | real | Change in skew adjusted volatility from prior date |

ivol60 | % | 60 day ATM implied volatility |

ivol60_chg | real | Change in 60 day ATM implied volatility |

ivol90 | % | 90 day ATM implied volatility |

ivol90_chg | real | Change in 90 day ATM implied volatility |

ivol120 | % | 120 day ATM implied volatility |

ivol120_chg | real | Change in 120 day ATM implied volatility |

ivol180 | % | 180 day ATM implied volatility |

ivol180_chg | real | Change in 180 day ATM implied volatility |

ivol360 | % | 360 day ATM implied volatility |

ivol360_chg | real | Change in 360 day ATM implied volatility |

ivol720 | % | 720 day ATM implied volatility |

ivol720_chg | real | Change in 720 day ATM implied volatility |

d25_30_skew | real | 30 day 25 delta put call skew |

d25_30_skew_prev | real | 30 day 25 delta for previous day |

d25_30_skew_chg | real | Change in 30 day 25 delta from previous day |

norm_d25_30_skew | real | Normalized 30 day 25 delta put call skew |

norm_d25_30_skew_prev | real | Normalized 30 day 25 delta put call skew from previous day |

norm_d25_30_skew_chg | real | Change in normalized 30 day 25 delta put call skew from previous day |

norm_d25_60_skew | real | Normalized 60 day 25 delta put call skew |

norm_d25_90_skew | real | Normalized 90 day 25 delta put call skew |

norm_d25_120_skew | real | Normalized 120 day 25 delta put call skew |

norm_d25_180_skew | real | Normalized 180 day 25 delta put call skew |

norm_d25_360_skew | real | Normalized 360 day 25 delta put call skew |

norm_d25_720_skew | real | Normalized 720 day 25 delta put call skew |

put_vol_pctl | int | 52 week percentile - put volume |

call_vol_pctl | int | 52 week percentile - call volume |

opt_vol_pctl | int | 52 week percentile - option volume |

stock_vol_pctl | int | 52 week percentile - equity volume |

close_pctl | int | 52 week percentile - closing spot |

oi_puts_pctl | int | 52 week percentile - put open interest |

oi_calls_pctl | int | 52 week percentile - call open interest |

total_oi_pctl | int | 52 week percentile - total open interest |

atm_ivol_pctl | int | 52 week percentile - ATM implied volatility |

pc_ratio_pctl | int | 52 week percentile - put/call ratio |

opt_stock_pctl | int | 52 week percentile - option/stock ratio |

d25_30_skew_pctl | int | 52 week percentile - 30 day 25 delta put call skew |

norm_d25_60_skew_pctl | int | 52 week percentile - normalized 60 day 25 delta put call skew |

norm_d25_120_skew_pctl | int | 52 week percentile - normalized 120 day 25 delta put call skew |

norm_d25_720_skew_pctl | int | 52 week percentile - normalized 720 day 25 delta put call skew |

volatility30day_pctl | int | 52 week percentile - 30 day historical volatility |

volatility60day_pctl | int | 52 week percentile - 60 day historical volatility |

volatility120day_pctl | int | 52 week percentile - 120 day historical volatility |

indicative_borrow_prev | % | Indicative borrow on previous day |

borrow_rate_prev | % | Implied borrow on previous day |

imp_total_rate_prev | % | All in rate on previous day |

indicative_borrow_chg | real | Change in indicative borrow from previous day |

borrow_rate_chg | real | Change in implied borrow from previous day |

imp_total_rate_chg | real | Change in all in rate from previous day |

paired_oi | int | Paired OI |

ema10 | real | Ten day exponential moving average |

ema20 | real | Twenty day exponential moving average |

ema50 | real | Fifty day exponential moving average |

ema100 | real | 100 day exponential moving average |

ema200 | real | 200 day exponential moving average |

sma10 | real | Ten day simple moving average |

sma20 | real | Twenty day exponential moving average |

sma50 | real | Fifty day exponential moving average |

sma100 | real | 100 day exponential moving average |

sma200 | real | 200 day exponential moving average |

macd | real | Moving average convergence divergence |

macd_signal | real | Moving average convergence divergence indicator |

mfi | real | Money flow index |

rsi | real | Relative strength index |

aroon_up | real | Aroon up |

aroon_down | real | Aroon down |

vtb_mm_volume | int | volume attibuted to market makers |

vtb_firm_volume | int | volume attibuted to firms |

vtb_cust_volume | int | volume attibuted to customers |