OptionPrintSetHist

Description

Option Print Set records contain every option print along with quote, surface, volatility, Greeks, and print type details at the time of the trade. These records also contain T+1M and T+10M trade delta neutral performance PnL details.

Schema Definition

Field Name	Data Type	Description
okey_at	string	Option underlying asset type
okey_ts	string	Option ticker source
okey_tk	string	Option underlying symbol
okey_dt	date	Option expiration date
okey_xx	double	Option strike
okey_cp	string	Option call/put indicator
timestamp	timestamp	Timestamp of last update to record - UTC
prtNumber	bigint	Unique print set identifier, will increment but not guaranteed to be sequential
tradingDate	date	Trading date
tradingSession	string	Trading session ('None','RegularMkt','PreMkt','PostMkt','PostMktETF','NextDay')
ticker_at	string	Underlying asset type
ticker_ts	string	Underlying ticker source
ticker_tk	string	Underlying ticker
securityID	bigint	SpiderRock security ID
undSecKey_at	string	Underlying asset type
undSecKey_ts	string	Underlying security trade source
undSecKey_tk	string	Underlying ticker
undSecKey_dt	date	Underlying expiration date
undSecType	string	Underlying security type
prtExch	string	Exchange where trade/print took place
prtSize	int	Number of contracts in the trade
prtPrice	float	Print price
prtType	string	OPRA-provided code to identify trade type (i.e., multi-leg, auction)
prtOrders	int	Number of participating orders
prtClusterNum	int	Incremental print cluster counter (one counter per okey; used to group prints into clusters)
prtClusterSize	int	Cumulative size of prints in this sequence (prints @ same or more aggressive price with less than 25 ms elapsing since first print; can span exchanges)
prtVolume	int	Total volume of contracts traded as of the print time
cxlVolume	int	Day print/cancel volume (num of contracts printed and then cancelled)
bidCount	int	Number of trades occurring at bid
askCount	int	Number of trades occurring at ask
bidVolume	int	Number of trades cumulatively occurring at bid
askVolume	int	Number of trades cumulatively occurring at ask
ebid	float	Bid at print time (prtExch)
eask	float	Ask at print time (prtExch)
ebsz	int	Bid size at print time (prtExch)
easz	int	Ask size at print time (prtExch)
eage	float	If the print crossed the bid, this is the age of the bid quote. If the print crossed the ask, it's the age of the ask quote.
prtSide	string	SR-inferred print side ('None','Mid','Bid','Ask')
prtTimestamp	bigint	Exchange high precision timestamp in Unix epoch (if available)
netTimestamp	bigint	SR Gateway timestamp in Unix epoch
oBid	float	Option NBBO bid at print time
oAsk	float	Option NBBO ask at print time
oBidSz	int	Option NBBO cumulative bid size at print time
oAskSz	int	Option NBBO cumulative ask size at print time
oBidEx	string	Exchange with the largest size on the NBBO
oAskEx	string	Exchange with the largest size on the NBBO
oBidExSz	int	Option size of oBidEx at print time
oAskExSz	int	Option size of oAskEx at print time
oBidCnt	int	Number of exchanges on the NBBO bid
oAskCnt	int	Number of exchanges on the NBBO ask
oBid2	float	Second level NBBO bid price
oAsk2	float	Second level NBBO ask price
oBidSz2	int	Cumulative size on the second level bid price
oAskSz2	int	Cumulative size on the second level ask price
uBid	double	Underlying bid at print time
uAsk	double	Underlying ask at print time
uPrc	double	Underlying price at print time
yrs	float	SpiderRock time to expiration in years
rate	float	SpiderRock calibrated risk free rate
sdiv	float	SpiderRock implied continuous dividend rate
ddiv	float	Sum of dividends paid to expiration
xDe	float	SR moneyness as a Delta offset
xAxis	float	SR surface moneyness
multihedge	string	Indication of type of non standard deliverable (None, Simple, Complex, Allcash, Binary)
prtIv	float	Implied vol of the prtPrice
prtDe	float	Delta of the prtPrice
prtGa	float	Gamma of the prtPrice
prtTh	float	Theta of the prtPrice
prtVe	float	Vega of the prtPrice
prtRo	float	Rho of the prtPrice
calcErr	string	Internal use (Pricing model error code)
surfVol	float	SR surface volatility at print time
surfOpx	float	SR surface price at print time
surfAtm	float	SR surface atmVol at print time
prtProbability	float	SR probability that buying prtSize shares @ prtPrice will have positive pnl (prtPriceM1 >= prtPrice) 1 minute after time of print
oBidM1	float	NBBO option bid 1 minute after print time
oAskM1	float	NBBO option ask 1 minute after print time
uBidM1	double	NBBO underlying bid 1 minute after print time
uAskM1	double	NBBO underlying ask 1 minute after print time
uPrcM1	double	Underlying price 1 minute after print time
sVolM1	float	Surface volatility 1 minute after print time
sOpxM1	float	Surface option price 1 minute after print time
sDivM1	float	sdiv 1 minute after print time
sErrM1	string	Internal use
pnlM1	float	Delta neutral pnl 1 minute after print time
pnlM1Err	string	Internal use
oBidM10	float	NBBO option bid 10 minutes after print time
oAskM10	float	NBBO option ask 10 minutes after print time
uBidM10	double	NBBO underlying bid 10 minutes after print time
uAskM10	double	NBBO underlying ask 10 minutes after print time
uPrcM10	double	Underlying price 10 minutes after print time
sVolM10	float	Surface volatility 10 minutes after print time
sOpxM10	float	Surface option price 10 minutes after print time
sDivM10	float	sdiv 10 minutes after print time
sErrM10	string	Internal use
pnlM10	float	Delta neutral pnl 10 minutes after print time
pnlM10Err	string	Internal use

Differences to V7

• okey_yr, okey_mn, okey_dy removed in favor of okey_dt
• undSecKey_yr, undSecKey_mn, undSecKey_dy removed in favor of undSecKey_dt
• prtType now contains the actual print type i.e. AUTO, SLAN, etc. instead of the numeric value of the ascii character for the print type