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spiderrock_printsets_ticker by SpiderRock

Dataset Name: spiderrock_printsets_ticker

Group: options
Vendor: SpiderRock
Data Starts at: 2015-01-02 00:00:00
Symbol Set: US Options
Asset Class: Options
Data Update Time(s): 3:00 AM EST
Data Update Frequency: intraday

Put and Call information - Option Print Set records contain every option print along with quote, surface, and SR probability details at print time.

These records also contain 1 Minute and 10 Minute forward mark details. These records are created for every print at the time of print and updated at 1 Minute and 10 Minutes forward to include trade performance.

SpiderRock Alpha probabilities for each print are archived with the print.

This is a large dataset. Slow Speed (CSV, Key = ticker_tk)

Data Contained in this Dataset

Column Type Description
_seq uint Internal sequence number used to keep data rows in order
timestamp string Timestamp of the Data - America/New York Time.
muts uint64 Microseconds Unix Timestamp. An integer representation of a timestamp with microsecond precision that can be compared directly to other timestamps.
symbol string Trading Symbol or Ticker
okey_at string Option underlying asset type
okey_ts string Option ticker source
ticker_tk string Symbol
okey_yr uint Option expiration year
okey_mn uint Option expiration month
okey_dy uint Option expiration day
okey_xx double Option strike
okey_cp string Option call/put indicator
prtNumber double Unique print set identifier, will increment but not guaranteed to be sequential
tradingDate string Trading Date in UTC
tradingSession string Trading session ('None','RegularMkt','PreMkt','PostMkt','PostMktETF','NextDay')
ticker_at string Underlying asset type
ticker_ts string Underlying ticker source
undSecKey_at string Underlying ticker
undSecKey_ts string Underlying asset type
undSecKey_tk string Underlying ticker
undSecKey_yr int64 Underlying ticker
undSecKey_mn int64 Underlying asset expiration year - futures only
undSecKey_dy int64 Underlying asset expiration month - futures only
undSecType string Underlying asset expiration day - futures only
prtExch string Exchange where trade/print took place
prtSize double Number of contracts in the trade
prtPrice double Print price
prtType double OPRA-provided code to identify trade type (i.e., multi-leg, auction) OPRA Binary Data Recipient specification on
prtOrders double Number of participating orders
prtClusterNum double Incremental print cluster counter (one counter per okey; used to group prints into clusters)
prtClusterSize double 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 double Total volume of contracts traded as of the print time
cxlVolume double Day print/cancel volume (num of contracts printed and then cancelled)
bidCount double Number of trades occurring at bid
askCount double Number of trades occurring at ask
bidVolume double Number of trades cumulatively occurring at bid
askVolume double Number of trades cumulatively occurring at ask
ebid double Bid at print time on the given Exchange (prtExch)
eask double Ask at print time (prtExch)
ebsz double Bid size at print time (prtExch)
easz double Ask size at print time (prtExch)
eage double 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 double Exchange high precision timestamp in Unix epoch (if available)
netTimestamp double SR Gateway timestamp in Unix epoch
oBid double Option NBBO bid at print time
oAsk double Option NBBO ask at print time
oBidSz double Option NBBO cumulative bid size at print time
oAskSz double 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 double Option size of oBidEx at print time
oAskExSz double Option size of oAskEx at print time
oBidCnt double Number of exchanges on the NBBO bid
oAskCnt double Number of exchanges on the NBBO ask
oBid2 double Second level NBBO bid price
oAsk2 double Second level NBBO ask price
oBidSz2 double Cumulative size on the second level bid price
oAskSz2 double 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 double SpiderRock time to expiration in years
rate double SpiderRock calibrated risk free rate
sdiv double SpiderRock implied continuous dividend rate
ddiv double Sum of dividends paid to expiration
xDe double SR moneyness as a Delta offset
xAxis double SR surface moneyness
prtIv double Implied vol of the prtPrice
prtDe double Delta of the prtPrice
prtGa double Gamma of the prtPrice
prtTh double Theta of the prtPrice
prtVe double Vega of the prtPrice
prtRo double Rho of the prtPrice
calcErr string Internal use (Pricing model error code)
surfVol double SR surface volatility at print time
surfOpx double SR surface price at print time
surfAtm double SR surface atmVol at print time
prtProbability double SR probability that buying prtSize shares @ prtPrice will have positive pnl (prtPriceM1 >= prtPrice) 1 minute after time of print
oBidM1 double NBBO option bid 1 minute after print time
oAskM1 double 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 double Surface volatility 1 minute after print time
sOpxM1 double Surface option price 1 minute after print time
sDivM1 double sdiv 1 minute after print time
sErrM1 string Internal use
pnlM1 double Delta neutral pnl 1 minute after print time
pnlM1Err string Internal use
oBidM10 double NBBO option bid 10 minutes after print time
oAskM10 double 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 double Surface volatility 10 minutes after print time
sOpxM10 double Surface option price 10 minutes after print time
sDivM10 double sdiv 10 minutes after print time
sErrM10 string Internal use
pnlM10 double Delta neutral pnl 10 minutes after print time
pnlM10Err string Internal use
multihedge string Indication of type of non standard deliverable (None, Simple, Complex, Allcash, Binary)
timestamp_cst string Time stamp of last update to record - local Chicago time
securityID double Security Identification Code for the data source vendor

Important Dataset Notes

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