@openmarket/market-data-proto 12.67.0 → 12.68.0

package/dist/option_print_aggregation_pb.d.ts

@@ -0,0 +1,253 @@
+import type { GenFile, GenMessage } from "@bufbuild/protobuf/codegenv2";
+import type { Timestamp } from "./timestamp/timestamp_pb.js";
+import type { AssetClass, OptionDteBucket, OptionPrintAggScope } from "./enums_pb.js";
+import type { Message } from "@bufbuild/protobuf";
+/**
+ * Describes the file option_print_aggregation.proto.
+ */
+export declare const file_option_print_aggregation: GenFile;
+/**
+ * OPTION_PRINT totals over one bucket, for one contract or for one flow
+ * scope across contracts. The 1m bucket is folded from the prints; coarser
+ * buckets are folded from the 1m bucket, so every total is a sum that
+ * coarser buckets add up, and a VWAP is a ratio of two of them. Field names
+ * are the contract's column names.
+ *
+ * scope says which rows a point totals:
+ * - CONTRACT (unset): one contract. The series is the contract's, as on
+ *   OPTION_PRINT: exchange OPRA, category OPTION, the compact OSI symbol,
+ *   the underlying as coin and the option type.
+ * - COIN: one underlying's prints (the series' coin), per option type,
+ *   dte_bucket and moneyness.
+ * - MARKET: every underlying's prints, per option type, dte_bucket,
+ *   moneyness and issue_type.
+ * - VENUE: one venue's prints, per option type and issue_type.
+ * - SPOT_PROFILE: one underlying's prints per day, per option type and
+ *   spot_bin.
+ * A scope row carries its option type in the series, as a contract row
+ * does, and only the dimensions its scope names. Side is never a
+ * dimension: every row splits its totals by side in the *_ask, *_bid,
+ * *_mid and *_none columns. strike, expiry_ms, sum_px_size, last_price,
+ * iv_last and underlying_last describe one contract and are left zero or
+ * unset on scope rows. The values each flow scope carries are listed on
+ * OptionPrintAggScope.
+ *
+ * A sum over no print is unset rather than zero: vol_bid is unset when no
+ * print of the bucket traded at the bid. The model sums (share and dollar
+ * delta, vega, sum_spot_size) cover only the priced prints, which n_priced
+ * counts.
+ *
+ * @generated from message OptionPrintAggregation
+ */
+export type OptionPrintAggregation = Message<"OptionPrintAggregation"> & {
+    /**
+     * @generated from field: double strike = 1;
+     */
+    strike: number;
+    /**
+     * The contract's last trading instant, in milliseconds since the Unix
+     * epoch.
+     *
+     * @generated from field: int64 expiry_ms = 2;
+     */
+    expiryMs: bigint;
+    /**
+     * Contracts by OptionPrint.side.
+     *
+     * @generated from field: optional double vol_ask = 3;
+     */
+    volAsk?: number;
+    /**
+     * @generated from field: optional double vol_bid = 4;
+     */
+    volBid?: number;
+    /**
+     * @generated from field: optional double vol_mid = 5;
+     */
+    volMid?: number;
+    /**
+     * @generated from field: optional double vol_none = 6;
+     */
+    volNone?: number;
+    /**
+     * Contracts that traded above the ask and below the bid
+     * (OptionPrint.outside_quote +1 and -1).
+     *
+     * @generated from field: optional double vol_above_ask = 7;
+     */
+    volAboveAsk?: number;
+    /**
+     * @generated from field: optional double vol_below_bid = 8;
+     */
+    volBelowBid?: number;
+    /**
+     * OptionPrint.premium_usd by side and outside the quote.
+     *
+     * @generated from field: optional double prem_ask = 9;
+     */
+    premAsk?: number;
+    /**
+     * @generated from field: optional double prem_bid = 10;
+     */
+    premBid?: number;
+    /**
+     * @generated from field: optional double prem_mid = 11;
+     */
+    premMid?: number;
+    /**
+     * @generated from field: optional double prem_none = 12;
+     */
+    premNone?: number;
+    /**
+     * @generated from field: optional double prem_above_ask = 13;
+     */
+    premAboveAsk?: number;
+    /**
+     * @generated from field: optional double prem_below_bid = 14;
+     */
+    premBelowBid?: number;
+    /**
+     * Prints in the bucket.
+     *
+     * @generated from field: int64 prints = 15;
+     */
+    prints: bigint;
+    /**
+     * sum(price * size) and sum(size): sum_px_size / sum_size is the bucket's
+     * VWAP, per share.
+     *
+     * @generated from field: double sum_px_size = 16;
+     */
+    sumPxSize: number;
+    /**
+     * @generated from field: double sum_size = 17;
+     */
+    sumSize: number;
+    /**
+     * sum(size * delta * multiplier) over each side's priced prints: the delta
+     * traded, in shares of the underlying.
+     *
+     * @generated from field: optional double share_delta_ask = 18;
+     */
+    shareDeltaAsk?: number;
+    /**
+     * @generated from field: optional double share_delta_bid = 19;
+     */
+    shareDeltaBid?: number;
+    /**
+     * @generated from field: optional double share_delta_mid = 20;
+     */
+    shareDeltaMid?: number;
+    /**
+     * @generated from field: optional double share_delta_none = 21;
+     */
+    shareDeltaNone?: number;
+    /**
+     * sum(size * delta * multiplier * underlying_price): the delta traded, in
+     * USD.
+     *
+     * @generated from field: optional double dollar_delta_ask = 22;
+     */
+    dollarDeltaAsk?: number;
+    /**
+     * @generated from field: optional double dollar_delta_bid = 23;
+     */
+    dollarDeltaBid?: number;
+    /**
+     * sum(size * vega * multiplier).
+     *
+     * @generated from field: optional double vega_ask = 24;
+     */
+    vegaAsk?: number;
+    /**
+     * @generated from field: optional double vega_bid = 25;
+     */
+    vegaBid?: number;
+    /**
+     * Priced prints (OptionPrint.priced): the coverage of every model sum.
+     *
+     * @generated from field: int64 n_priced = 26;
+     */
+    nPriced: bigint;
+    /**
+     * sum(underlying_price * size) over the priced prints, and the contracts
+     * of those prints: sum_spot_size / size_priced is the underlying's price
+     * weighted by the bucket's priced volume.
+     *
+     * @generated from field: optional double sum_spot_size = 27;
+     */
+    sumSpotSize?: number;
+    /**
+     * @generated from field: optional double size_priced = 28;
+     */
+    sizePriced?: number;
+    /**
+     * The last iv and underlying_price among the bucket's prints that had
+     * them, and the last print's price.
+     *
+     * @generated from field: optional double iv_last = 29;
+     */
+    ivLast?: number;
+    /**
+     * @generated from field: optional double underlying_last = 30;
+     */
+    underlyingLast?: number;
+    /**
+     * @generated from field: double last_price = 31;
+     */
+    lastPrice: number;
+    /**
+     * Start of the bucket.
+     *
+     * @generated from field: Timestamp timestamp = 32;
+     */
+    timestamp?: Timestamp;
+    /**
+     * The rows this point totals; unset is CONTRACT.
+     *
+     * @generated from field: optional OptionPrintAggScope scope = 33;
+     */
+    scope?: OptionPrintAggScope;
+    /**
+     * The dimensions of the flow scopes, set when the point's scope groups by
+     * them: days to expiry at the print (OptionPrint.dte_days) in buckets,
+     * OptionPrint.moneyness, OptionPrint.issue_type, OptionPrint.venue (the
+     * Databento publisher id of the venue that printed) and OptionPrint.spot_bin.
+     *
+     * @generated from field: optional OptionDteBucket dte_bucket = 34;
+     */
+    dteBucket?: OptionDteBucket;
+    /**
+     * @generated from field: optional int32 moneyness = 35;
+     */
+    moneyness?: number;
+    /**
+     * @generated from field: optional AssetClass issue_type = 36;
+     */
+    issueType?: AssetClass;
+    /**
+     * @generated from field: optional int32 venue = 37;
+     */
+    venue?: number;
+    /**
+     * @generated from field: optional double spot_bin = 38;
+     */
+    spotBin?: number;
+    /**
+     * OptionPrint.premium_capped_usd at the ask and at the bid, so a net
+     * premium can be taken without one print dominating it.
+     *
+     * @generated from field: optional double prem_capped_ask = 39;
+     */
+    premCappedAsk?: number;
+    /**
+     * @generated from field: optional double prem_capped_bid = 40;
+     */
+    premCappedBid?: number;
+};
+/**
+ * Describes the message OptionPrintAggregation.
+ * Use `create(OptionPrintAggregationSchema)` to create a new message.
+ */
+export declare const OptionPrintAggregationSchema: GenMessage<OptionPrintAggregation>;
+//# sourceMappingURL=option_print_aggregation_pb.d.ts.map

package/dist/option_print_aggregation_pb.d.ts.map

@@ -0,0 +1 @@
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package/dist/option_print_aggregation_pb.js

@@ -0,0 +1,15 @@
+// @generated by protoc-gen-es v2.11.0 with parameter "target=ts,import_extension=.js"
+// @generated from file option_print_aggregation.proto (syntax proto3)
+/* eslint-disable */
+import { fileDesc, messageDesc } from "@bufbuild/protobuf/codegenv2";
+import { file_timestamp_timestamp } from "./timestamp/timestamp_pb.js";
+import { file_enums } from "./enums_pb.js";
+/**
+ * Describes the file option_print_aggregation.proto.
+ */
+export const file_option_print_aggregation = /*@__PURE__*/ fileDesc("Ch5vcHRpb25fcHJpbnRfYWdncmVnYXRpb24ucHJvdG8ipAwKFk9wdGlvblByaW50QWdncmVnYXRpb24SDgoGc3RyaWtlGAEgASgBEhEKCWV4cGlyeV9tcxgCIAEoAxIUCgd2b2xfYXNrGAMgASgBSACIAQESFAoHdm9sX2JpZBgEIAEoAUgBiAEBEhQKB3ZvbF9taWQYBSABKAFIAogBARIVCgh2b2xfbm9uZRgGIAEoAUgDiAEBEhoKDXZvbF9hYm92ZV9hc2sYByABKAFIBIgBARIaCg12b2xfYmVsb3dfYmlkGAggASgBSAWIAQESFQoIcHJlbV9hc2sYCSABKAFIBogBARIVCghwcmVtX2JpZBgKIAEoAUgHiAEBEhUKCHByZW1fbWlkGAsgASgBSAiIAQESFgoJcHJlbV9ub25lGAwgASgBSAmIAQESGwoOcHJlbV9hYm92ZV9hc2sYDSABKAFICogBARIbCg5wcmVtX2JlbG93X2JpZBgOIAEoAUgLiAEBEg4KBnByaW50cxgPIAEoAxITCgtzdW1fcHhfc2l6ZRgQIAEoARIQCghzdW1fc2l6ZRgRIAEoARIcCg9zaGFyZV9kZWx0YV9hc2sYEiABKAFIDIgBARIcCg9zaGFyZV9kZWx0YV9iaWQYEyABKAFIDYgBARIcCg9zaGFyZV9kZWx0YV9taWQYFCABKAFIDogBARIdChBzaGFyZV9kZWx0YV9ub25lGBUgASgBSA+IAQESHQoQZG9sbGFyX2RlbHRhX2FzaxgWIAEoAUgQiAEBEh0KEGRvbGxhcl9kZWx0YV9iaWQYFyABKAFIEYgBARIVCgh2ZWdhX2FzaxgYIAEoAUgSiAEBEhUKCHZlZ2FfYmlkGBkgASgBSBOIAQESEAoIbl9wcmljZWQYGiABKAMSGgoNc3VtX3Nwb3Rfc2l6ZRgbIAEoAUgUiAEBEhgKC3NpemVfcHJpY2VkGBwgASgBSBWIAQESFAoHaXZfbGFzdBgdIAEoAUgWiAEBEhwKD3VuZGVybHlpbmdfbGFzdBgeIAEoAUgXiAEBEhIKCmxhc3RfcHJpY2UYHyABKAESHQoJdGltZXN0YW1wGCAgASgLMgouVGltZXN0YW1wEigKBXNjb3BlGCEgASgOMhQuT3B0aW9uUHJpbnRBZ2dTY29wZUgYiAEBEikKCmR0ZV9idWNrZXQYIiABKA4yEC5PcHRpb25EdGVCdWNrZXRIGYgBARIWCgltb25leW5lc3MYIyABKAVIGogBARIkCgppc3N1ZV90eXBlGCQgASgOMgsuQXNzZXRDbGFzc0gbiAEBEhIKBXZlbnVlGCUgASgFSByIAQESFQoIc3BvdF9iaW4YJiABKAFIHYgBARIcCg9wcmVtX2NhcHBlZF9hc2sYJyABKAFIHogBARIcCg9wcmVtX2NhcHBlZF9iaWQYKCABKAFIH4gBAUIKCghfdm9sX2Fza0IKCghfdm9sX2JpZEIKCghfdm9sX21pZEILCglfdm9sX25vbmVCEAoOX3ZvbF9hYm92ZV9hc2tCEAoOX3ZvbF9iZWxvd19iaWRCCwoJX3ByZW1fYXNrQgsKCV9wcmVtX2JpZEILCglfcHJlbV9taWRCDAoKX3ByZW1fbm9uZUIRCg9fcHJlbV9hYm92ZV9hc2tCEQoPX3ByZW1fYmVsb3dfYmlkQhIKEF9zaGFyZV9kZWx0YV9hc2tCEgoQX3NoYXJlX2RlbHRhX2JpZEISChBfc2hhcmVfZGVsdGFfbWlkQhMKEV9zaGFyZV9kZWx0YV9ub25lQhMKEV9kb2xsYXJfZGVsdGFfYXNrQhMKEV9kb2xsYXJfZGVsdGFfYmlkQgsKCV92ZWdhX2Fza0ILCglfdmVnYV9iaWRCEAoOX3N1bV9zcG90X3NpemVCDgoMX3NpemVfcHJpY2VkQgoKCF9pdl9sYXN0QhIKEF91bmRlcmx5aW5nX2xhc3RCCAoGX3Njb3BlQg0KC19kdGVfYnVja2V0QgwKCl9tb25leW5lc3NCDQoLX2lzc3VlX3R5cGVCCAoGX3ZlbnVlQgsKCV9zcG90X2JpbkISChBfcHJlbV9jYXBwZWRfYXNrQhIKEF9wcmVtX2NhcHBlZF9iaWRCCloIdHlwZXMvcGJiBnByb3RvMw", [file_timestamp_timestamp, file_enums]);
+/**
+ * Describes the message OptionPrintAggregation.
+ * Use `create(OptionPrintAggregationSchema)` to create a new message.
+ */
+export const OptionPrintAggregationSchema = /*@__PURE__*/ messageDesc(file_option_print_aggregation, 0);

package/dist/option_print_pb.d.ts

@@ -0,0 +1,235 @@
+import type { GenFile, GenMessage } from "@bufbuild/protobuf/codegenv2";
+import type { Timestamp } from "./timestamp/timestamp_pb.js";
+import type { AssetClass, OptionPrintSide } from "./enums_pb.js";
+import type { Message } from "@bufbuild/protobuf";
+/**
+ * Describes the file option_print.proto.
+ */
+export declare const file_option_print: GenFile;
+/**
+ * One OPRA print: the trade of a tcbbo record with the national best bid and
+ * offer in force just before it, emitted by streamd beside the TRADE row of
+ * the same record. Field names are the contract's column names.
+ *
+ * The series is the contract: exchange OPRA, category OPTION, the compact
+ * OSI symbol, the underlying as coin and the option type (CALL or PUT).
+ *
+ * Two ingest replicas emit every print. The fields from id to record_flags
+ * depend only on the record and the contract's listing, so both replicas
+ * emit them identically. The fields from priced down depend on each
+ * replica's own pricing state (the underlying's last trade, the
+ * chain-implied forward), so the two copies can differ there; a value a
+ * replica could not compute is unset, never NaN. The deduplicator keeps the
+ * first copy of an id, so a stored print carries one replica's model values.
+ *
+ * @generated from message OptionPrint
+ */
+export type OptionPrint = Message<"OptionPrint"> & {
+    /**
+     * The print's identity:
+     * "<publisher>-<ts_event ns>-<symbol>-<price>-<size>-<k>", with price in
+     * DBN fixed point (1e-9 USD), size in contracts and k the number of
+     * earlier prints with the same publisher, ts_event, symbol, price and size
+     * the producer saw. Two prints differ in id unless they are identical
+     * fills at one nanosecond, which k numbers. Known limit: k restarts with
+     * the producer's session, and tcbbo does not replay on a reconnect, so a
+     * replica that starts or reconnects inside a group of identical fills can
+     * number them from 0 again, as TRADE ids can.
+     *
+     * @generated from field: string id = 1;
+     */
+    id: string;
+    /**
+     * Premium per share, in USD.
+     *
+     * @generated from field: double price = 2;
+     */
+    price: number;
+    /**
+     * Contracts.
+     *
+     * @generated from field: double size = 3;
+     */
+    size: number;
+    /**
+     * Shares one contract delivers, from the contract's listing (100 for a
+     * standard root).
+     *
+     * @generated from field: double multiplier = 4;
+     */
+    multiplier: number;
+    /**
+     * price * size * multiplier: the dollars that changed hands.
+     *
+     * @generated from field: double premium_usd = 5;
+     */
+    premiumUsd: number;
+    /**
+     * premium_usd capped at 2,000,000, so one print cannot dominate a sum.
+     *
+     * @generated from field: double premium_capped_usd = 6;
+     */
+    premiumCappedUsd: number;
+    /**
+     * @generated from field: double strike = 7;
+     */
+    strike: number;
+    /**
+     * The contract's last trading instant (16:00 New York, 09:30 for an
+     * AM-settled root), in milliseconds since the Unix epoch.
+     *
+     * @generated from field: int64 expiry_ms = 8;
+     */
+    expiryMs: bigint;
+    /**
+     * The expiry's New York date minus the print's New York date: 0 on
+     * expiration day.
+     *
+     * @generated from field: int32 dte_days = 9;
+     */
+    dteDays: number;
+    /**
+     * The national best bid and offer per share before the print. Unset when
+     * that side of the book was empty.
+     *
+     * @generated from field: optional double nbbo_bid = 10;
+     */
+    nbboBid?: number;
+    /**
+     * @generated from field: optional double nbbo_ask = 11;
+     */
+    nbboAsk?: number;
+    /**
+     * Contracts at the best bid and offer; zero when the side was empty.
+     *
+     * @generated from field: double nbbo_bid_size = 12;
+     */
+    nbboBidSize: number;
+    /**
+     * @generated from field: double nbbo_ask_size = 13;
+     */
+    nbboAskSize: number;
+    /**
+     * Databento publisher id of the venue that printed.
+     *
+     * @generated from field: int32 venue = 14;
+     */
+    venue: number;
+    /**
+     * Databento publisher ids of the venues setting the best bid and offer;
+     * zero when the side was empty.
+     *
+     * @generated from field: int32 bid_venue = 15;
+     */
+    bidVenue: number;
+    /**
+     * @generated from field: int32 ask_venue = 16;
+     */
+    askVenue: number;
+    /**
+     * Where price sits against the midpoint of nbbo_bid and nbbo_ask.
+     *
+     * @generated from field: OptionPrintSide side = 17;
+     */
+    side: OptionPrintSide;
+    /**
+     * +1 when price is above nbbo_ask, -1 below nbbo_bid, 0 between them.
+     * Unset when side is NONE: the quote had nothing to compare with.
+     *
+     * @generated from field: optional int32 outside_quote = 18;
+     */
+    outsideQuote?: number;
+    /**
+     * The Databento record flags byte.
+     *
+     * @generated from field: int32 record_flags = 19;
+     */
+    recordFlags: number;
+    /**
+     * Whether the replica priced the contract at this print, that is emitted
+     * the OPTION_SUMMARY row of the same record. When false, every model
+     * value below is unset.
+     *
+     * @generated from field: bool priced = 20;
+     */
+    priced: boolean;
+    /**
+     * Whether delta, gamma and vega are set, apart from iv: deep in the money
+     * the quote sits at intrinsic, no volatility reaches it and iv is unset,
+     * while the intrinsic greeks (delta 1 or -1, gamma and vega 0) are set.
+     *
+     * @generated from field: bool greeks_present = 21;
+     */
+    greeksPresent: boolean;
+    /**
+     * Implied volatility at the quote midpoint (the trade price when a side
+     * is empty), in percent: OPTION_SUMMARY's mark_iv.
+     *
+     * @generated from field: optional double iv = 22;
+     */
+    iv?: number;
+    /**
+     * Per share of the underlying, from the same pricing as OPTION_SUMMARY:
+     * Black-Scholes on a stock's last trade, Black-76 on an index root's
+     * forward.
+     *
+     * @generated from field: optional double delta = 23;
+     */
+    delta?: number;
+    /**
+     * @generated from field: optional double gamma = 24;
+     */
+    gamma?: number;
+    /**
+     * @generated from field: optional double vega = 25;
+     */
+    vega?: number;
+    /**
+     * The price the contract was priced on: the stock's last trade, or for an
+     * index root the forward its expiry's chain implies (then
+     * underlying_is_forward is true).
+     *
+     * @generated from field: optional double underlying_price = 26;
+     */
+    underlyingPrice?: number;
+    /**
+     * @generated from field: optional bool underlying_is_forward = 27;
+     */
+    underlyingIsForward?: boolean;
+    /**
+     * +1 out of the money, -1 in the money, against underlying_price. A strike
+     * within 0.5% of underlying_price counts as out of the money.
+     *
+     * @generated from field: optional int32 moneyness = 28;
+     */
+    moneyness?: number;
+    /**
+     * The underlying's asset class: STOCK, ETF or INDEX. Unset until
+     * reference data names it; INDEX for the roots priced on a chain-implied
+     * forward.
+     *
+     * @generated from field: optional AssetClass issue_type = 29;
+     */
+    issueType?: AssetClass;
+    /**
+     * underlying_price rounded down to three significant figures:
+     * floor(underlying_price / step) * step with
+     * step = 10^(floor(log10(underlying_price)) - 2). Unset when
+     * underlying_price is unset or a forward: it bins cash spot only.
+     *
+     * @generated from field: optional double spot_bin = 30;
+     */
+    spotBin?: number;
+    /**
+     * ts_event of the print.
+     *
+     * @generated from field: Timestamp timestamp = 31;
+     */
+    timestamp?: Timestamp;
+};
+/**
+ * Describes the message OptionPrint.
+ * Use `create(OptionPrintSchema)` to create a new message.
+ */
+export declare const OptionPrintSchema: GenMessage<OptionPrint>;
+//# sourceMappingURL=option_print_pb.d.ts.map

package/dist/option_print_pb.d.ts.map

@@ -0,0 +1 @@
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package/dist/option_print_pb.js

@@ -0,0 +1,15 @@
+// @generated by protoc-gen-es v2.11.0 with parameter "target=ts,import_extension=.js"
+// @generated from file option_print.proto (syntax proto3)
+/* eslint-disable */
+import { fileDesc, messageDesc } from "@bufbuild/protobuf/codegenv2";
+import { file_timestamp_timestamp } from "./timestamp/timestamp_pb.js";
+import { file_enums } from "./enums_pb.js";
+/**
+ * Describes the file option_print.proto.
+ */
+export const file_option_print = /*@__PURE__*/ fileDesc("ChJvcHRpb25fcHJpbnQucHJvdG8i5wYKC09wdGlvblByaW50EgoKAmlkGAEgASgJEg0KBXByaWNlGAIgASgBEgwKBHNpemUYAyABKAESEgoKbXVsdGlwbGllchgEIAEoARITCgtwcmVtaXVtX3VzZBgFIAEoARIaChJwcmVtaXVtX2NhcHBlZF91c2QYBiABKAESDgoGc3RyaWtlGAcgASgBEhEKCWV4cGlyeV9tcxgIIAEoAxIQCghkdGVfZGF5cxgJIAEoBRIVCghuYmJvX2JpZBgKIAEoAUgAiAEBEhUKCG5iYm9fYXNrGAsgASgBSAGIAQESFQoNbmJib19iaWRfc2l6ZRgMIAEoARIVCg1uYmJvX2Fza19zaXplGA0gASgBEg0KBXZlbnVlGA4gASgFEhEKCWJpZF92ZW51ZRgPIAEoBRIRCglhc2tfdmVudWUYECABKAUSHgoEc2lkZRgRIAEoDjIQLk9wdGlvblByaW50U2lkZRIaCg1vdXRzaWRlX3F1b3RlGBIgASgFSAKIAQESFAoMcmVjb3JkX2ZsYWdzGBMgASgFEg4KBnByaWNlZBgUIAEoCBIWCg5ncmVla3NfcHJlc2VudBgVIAEoCBIPCgJpdhgWIAEoAUgDiAEBEhIKBWRlbHRhGBcgASgBSASIAQESEgoFZ2FtbWEYGCABKAFIBYgBARIRCgR2ZWdhGBkgASgBSAaIAQESHQoQdW5kZXJseWluZ19wcmljZRgaIAEoAUgHiAEBEiIKFXVuZGVybHlpbmdfaXNfZm9yd2FyZBgbIAEoCEgIiAEBEhYKCW1vbmV5bmVzcxgcIAEoBUgJiAEBEiQKCmlzc3VlX3R5cGUYHSABKA4yCy5Bc3NldENsYXNzSAqIAQESFQoIc3BvdF9iaW4YHiABKAFIC4gBARIdCgl0aW1lc3RhbXAYHyABKAsyCi5UaW1lc3RhbXBCCwoJX25iYm9fYmlkQgsKCV9uYmJvX2Fza0IQCg5fb3V0c2lkZV9xdW90ZUIFCgNfaXZCCAoGX2RlbHRhQggKBl9nYW1tYUIHCgVfdmVnYUITChFfdW5kZXJseWluZ19wcmljZUIYChZfdW5kZXJseWluZ19pc19mb3J3YXJkQgwKCl9tb25leW5lc3NCDQoLX2lzc3VlX3R5cGVCCwoJX3Nwb3RfYmluQgpaCHR5cGVzL3BiYgZwcm90bzM", [file_timestamp_timestamp, file_enums]);
+/**
+ * Describes the message OptionPrint.
+ * Use `create(OptionPrintSchema)` to create a new message.
+ */
+export const OptionPrintSchema = /*@__PURE__*/ messageDesc(file_option_print, 0);

package/dist/option_surface_pb.d.ts

@@ -0,0 +1,91 @@
+import type { GenFile, GenMessage } from "@bufbuild/protobuf/codegenv2";
+import type { Timestamp } from "./timestamp/timestamp_pb.js";
+import type { Exchange, OptionForwardSource } from "./enums_pb.js";
+import type { Message } from "@bufbuild/protobuf";
+/**
+ * Describes the file option_surface.proto.
+ */
+export declare const file_option_surface: GenFile;
+/**
+ * One underlying's implied volatility at one expiry, sampled every five
+ * minutes on its option venue (OPRA first, then the crypto option venues).
+ * Field names are the contract's column names and the tags follow its
+ * order; every value is optional. Volatilities are in percent. Later fields
+ * are only ever added.
+ *
+ * @generated from message OptionSurface
+ */
+export type OptionSurface = Message<"OptionSurface"> & {
+    /**
+     * @generated from field: optional Exchange exchange = 1;
+     */
+    exchange?: Exchange;
+    /**
+     * @generated from field: optional string coin = 2;
+     */
+    coin?: string;
+    /**
+     * The expiry's last trading instant, in milliseconds since the Unix epoch.
+     *
+     * @generated from field: optional int64 expiry_ms = 3;
+     */
+    expiryMs?: bigint;
+    /**
+     * The sample's time: the start of its five-minute bucket.
+     *
+     * @generated from field: Timestamp time = 4;
+     */
+    time?: Timestamp;
+    /**
+     * Calendar days from time to the expiry instant, fractional.
+     *
+     * @generated from field: optional double dte_days = 5;
+     */
+    dteDays?: number;
+    /**
+     * The expiry's forward, and where it came from.
+     *
+     * @generated from field: optional double forward = 6;
+     */
+    forward?: number;
+    /**
+     * @generated from field: optional OptionForwardSource forward_source = 7;
+     */
+    forwardSource?: OptionForwardSource;
+    /**
+     * Mean of the at-the-money call and put implied volatility.
+     *
+     * @generated from field: optional double atm_iv = 8;
+     */
+    atmIv?: number;
+    /**
+     * Implied volatility at 25 and 10 delta, of the puts and of the calls.
+     *
+     * @generated from field: optional double iv_put_25d = 9;
+     */
+    ivPut25d?: number;
+    /**
+     * @generated from field: optional double iv_call_25d = 10;
+     */
+    ivCall25d?: number;
+    /**
+     * @generated from field: optional double iv_put_10d = 11;
+     */
+    ivPut10d?: number;
+    /**
+     * @generated from field: optional double iv_call_10d = 12;
+     */
+    ivCall10d?: number;
+    /**
+     * Quotes the sample was fitted on.
+     *
+     * @generated from field: optional int64 n_quotes = 13;
+     */
+    nQuotes?: bigint;
+};
+/**
+ * Describes the message OptionSurface.
+ * Use `create(OptionSurfaceSchema)` to create a new message.
+ */
+export declare const OptionSurfaceSchema: GenMessage<OptionSurface>;
+//# sourceMappingURL=option_surface_pb.d.ts.map

package/dist/option_surface_pb.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"option_surface_pb.d.ts","sourceRoot":"","sources":["../src/gen/option_surface_pb.ts"],"names":[],"mappings":"AAIA,OAAO,KAAK,EAAE,OAAO,EAAE,UAAU,EAAE,MAAM,8BAA8B,CAAC;AAExE,OAAO,KAAK,EAAE,SAAS,EAAE,MAAM,6BAA6B,CAAC;AAE7D,OAAO,KAAK,EAAE,QAAQ,EAAE,mBAAmB,EAAE,MAAM,eAAe,CAAC;AAEnE,OAAO,KAAK,EAAE,OAAO,EAAE,MAAM,oBAAoB,CAAC;AAElD;;GAEG;AACH,eAAO,MAAM,mBAAmB,EAAE,OAC8wB,CAAC;AAEjzB;;;;;;;;GAQG;AACH,MAAM,MAAM,aAAa,GAAG,OAAO,CAAC,eAAe,CAAC,GAAG;IACrD;;OAEG;IACH,QAAQ,CAAC,EAAE,QAAQ,CAAC;IAEpB;;OAEG;IACH,IAAI,CAAC,EAAE,MAAM,CAAC;IAEd;;;;OAIG;IACH,QAAQ,CAAC,EAAE,MAAM,CAAC;IAElB;;;;OAIG;IACH,IAAI,CAAC,EAAE,SAAS,CAAC;IAEjB;;;;OAIG;IACH,OAAO,CAAC,EAAE,MAAM,CAAC;IAEjB;;;;OAIG;IACH,OAAO,CAAC,EAAE,MAAM,CAAC;IAEjB;;OAEG;IACH,aAAa,CAAC,EAAE,mBAAmB,CAAC;IAEpC;;;;OAIG;IACH,KAAK,CAAC,EAAE,MAAM,CAAC;IAEf;;;;OAIG;IACH,QAAQ,CAAC,EAAE,MAAM,CAAC;IAElB;;OAEG;IACH,SAAS,CAAC,EAAE,MAAM,CAAC;IAEnB;;OAEG;IACH,QAAQ,CAAC,EAAE,MAAM,CAAC;IAElB;;OAEG;IACH,SAAS,CAAC,EAAE,MAAM,CAAC;IAEnB;;;;OAIG;IACH,OAAO,CAAC,EAAE,MAAM,CAAC;CAClB,CAAC;AAEF;;;GAGG;AACH,eAAO,MAAM,mBAAmB,EAAE,UAAU,CAAC,aAAa,CACrB,CAAC"}

package/dist/option_surface_pb.js

@@ -0,0 +1,15 @@
+// @generated by protoc-gen-es v2.11.0 with parameter "target=ts,import_extension=.js"
+// @generated from file option_surface.proto (syntax proto3)
+/* eslint-disable */
+import { fileDesc, messageDesc } from "@bufbuild/protobuf/codegenv2";
+import { file_timestamp_timestamp } from "./timestamp/timestamp_pb.js";
+import { file_enums } from "./enums_pb.js";
+/**
+ * Describes the file option_surface.proto.
+ */
+export const file_option_surface = /*@__PURE__*/ fileDesc("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", [file_timestamp_timestamp, file_enums]);
+/**
+ * Describes the message OptionSurface.
+ * Use `create(OptionSurfaceSchema)` to create a new message.
+ */
+export const OptionSurfaceSchema = /*@__PURE__*/ messageDesc(file_option_surface, 0);