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 www.opraplan.com |
| 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 |