Trade Fields

Fields	Type	Description
side	int	NBBO side of trade
size	int	Trade size
price	$	Trade price
exch	string	Trade exchange
time	hh:mm:ss.sss	Trade time
date	yyyy-mm-dd	Trade date
bexch	string	NBBO bid exchange at time of trade
aexch	string	NBBO ask exchange at time of trade
bid	$	NBBO bid at time of trade
ask	$	NBBO ask at time of trade
bsize	int	NBBO bid size at time of trade
asize	int	NBBO ask size at time of trade
spot	$	Spot price at trade time
spot_chg	+/-	Spot price change on day at trade time
volume	int	Option volume at trade time
open_int	int	Option open interest at trade date
delta	%	Delta at trade time
vega	real	Vega at trade time
theta	real	Theta at trade time
ivol	real	Implied volatility at trade time
ivol_chg	real	Implied volatility change on day at trade time
ivol_chg_pct	real	Implied volatility change in implied volatility % at trade time
usymbol	string	Underlying symbol
expiry	yyyy-mm-dd	Expiration date
strike	real	Strike price
put_call	P=Put, C=Call	Option type
shares	int	Shares per contract
cash	real	Cash per contract
nonstd	int	Non-standard contract number
flex	int	Flex Trade
root	string	Option root
ex_style	A=American, E=European, S=Asian, C=Cliquet	Option exercise style
am_pm	A=AM, P=PM	Settlement AM/PM
settle	C=Cash, P=Physical	Settlement Type
dtx	int	Number of days until expiration
dow	int	Trading day of the week (1-5)
leap	bool	Option is a LEAP
symbol	string	Security symbol
gth	bool	GTH trade;
osi_symbol	string	Security OSI symbol
amer	bool	American exercise style
euro	bool	European exercise style
asian	bool	Asian exercise style
cliquet	bool	Cliquet exercise style
am	bool	AM settlent
pm	bool	PM settlent
cash_settled	bool	Cash Settlement
physical	bool	Physical Settlement
normal	bool	Normal trade as indicated by OPRA cond code
spread	bool	Spread trade as indicated by OPRA cond code
tied	bool	Tied trade as indicated by exchange cond code
late	bool	Late trade as indicated by OPRA cond code
iso	bool	Intermarket sweep trade as indicated by OPRA cond code
auction	bool	Auction trade as indicated by OPRA cond code
cross	bool	Cross trade as indicated by OPRA cond code
floor	bool	Floor trade as indicated by OPRA cond code
cob	bool	COB trade as indicated by OPRA cond code
legged	bool	Legged trade as indicated by OPRA cond code
compress	bool	Compression trade as indicated by OPRA cond code
extend	bool	Extended trade as indicated by OPRA cond code
deriv_priced	bool	Derivatively priced trade as indicated by stock cond code
tied_to_options	bool	Contingent trade indicated by stock cond code
burst	bool	Intermarket sweep trade as indicated by stock cond code
qualified_contingent_trade	bool	Qualified Contingent trade as indicated by stock cond code
intermarket_sweep	bool	Intermarket Sweep Order as indicated by stock cond code
theo	real	Theoretical value at trade time
gamma	real	Gamma at trade time
net_delta	real	Net delta when side is known
net_vega	real	Net vega when side is known
notional	$	Notional value of trade (contracts * spot * shares per contract)
premium	$	Premium value of trade (contracts * price * shares per contract)
delta_impact	real	Delta impact of trade (contracts * delta * shares per contract)
vega_dollar	$	Vega dollar value of trade (contracts * vega * shares per contract)
dollar_impact	$	Dollar impact of trade (size * abs(delta) * spot price * shares per contract)
gamma_shares	real	Gamma shares of trade (contracts * gamma * shares per contract)
gamma_dollar	real	Gamma shares of trade (contracts * gamma * spot price * shares per contract)
theta_dollar	$	Theta dollar value of trade (contracts * theta * shares per contract)
itm	bool	Security was in-the-money at time of trade
otm	bool	Security was out-of-the-money at time of trade
atm	bool	Security was at-the-money at time of trade
sweep	bool	Multi-part trade - either a sweep or split ticket
split	bool	Multi-part trade - single exchange split ticket
cancel	bool	Trade cancel
part_of_sweep	bool	Part of a multi-part trade
part_of_spread	bool	Part of an identified complex trade
complex	bool	Complex trade (spread or tied or cob or legged or part_of_spread)
put	bool	Trade was a put
call	bool	Trade was a call
exchange	string	Trade exchange mnemonic ("CBOE","ISE","AMEX",etc)
option	string	Option type ("Put" or "Call")
mktside	string	Market NBBO side of trade ("AskSide", "BidSide", "MidMkt" )
timestamp	string	Timestamp as hh:mm:ss:sss
amex	bool	Traded on AMEX
arca	bool	Traded on ARCA
box	bool	Traded on BOX
bxo	bool	Traded on BXO
bzx	bool	Traded on BZX
c2	bool	Traded on C2
cboe	bool	Traded on CBOE
edgx	bool	Traded on EDGX
emld	bool	Traded on EMLD
gem	bool	Traded on GEM
ise	bool	Traded on ISE
nom	bool	Traded on NOM
merc	bool	Traded on MERC
miax	bool	Traded on MIAX
pearl	bool	Traded on PEARL
phlx	bool	Traded on PHLX
memx	bool	Traded on MEMX
sphr	bool	Traded on SPHR
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
bidside	bool	Trade was on the bid side
askside	bool	Trade was on the ask side
buyer	bool	Trade was an assumed buyer
seller	bool	Trade was an assumed seller
hedge_quantity	real	Trade hedge quantity (size*delta*shares)
edge	real	Absolute difference between price and theo
weekly	bool	Expiry is a weekly
quarterly	bool	Expiry is a quarterly
third_friday	bool	Expiry is a third Friday
jan	bool	Expiry is 3rd Friday in Jan
feb	bool	Expiry is 3rd Friday in Feb
mar	bool	Expiry is 3rd Friday in Mar
apr	bool	Expiry is 3rd Friday in Apr
may	bool	Expiry is 3rd Friday in May
jun	bool	Expiry is 3rd Friday in Jun
jul	bool	Expiry is 3rd Friday in Jul
aug	bool	Expiry is 3rd Friday in Aug
sep	bool	Expiry is 3rd Friday in Sep
oct	bool	Expiry is 3rd Friday in Oct
nov	bool	Expiry is 3rd Friday in Nov
dec	bool	Expiry is 3rd Friday in Dec
comments	string	Comments on trade context (Pre-Earnings, ExDiv, 52WeekHigh, etc)
condition	string	Trade condition mnemonic (LATE, SPD, TIED, etc)
divcapture	bool	Dividend capture trade (calls where strike
opt_close	$	Option closing price
next_day_oi	int	Option open interest on next day
next_day_oi_chg	int	Option open interest chg on next day
sector	string	Underlying sector
subsector	string	Underlying subsector