# Table of Contents - [ThetaData v3](#thetadata-v3) - [Building with AI/LLMs | ThetaData v3](#building-with-ai-llms-thetadata-v3) - [Concurrent Requests | ThetaData v3](#concurrent-requests-thetadata-v3) - [Data Issues | ThetaData v3](#data-issues-thetadata-v3) - [Making Requests | ThetaData v3](#making-requests-thetadata-v3) - [OHLC & EOD | ThetaData v3](#ohlc-eod-thetadata-v3) - [Option Greeks | ThetaData v3](#option-greeks-thetadata-v3) - [Request Sizing | ThetaData v3](#request-sizing-thetadata-v3) - [Symbology | ThetaData v3](#symbology-thetadata-v3) - [The SIPs | ThetaData v3](#the-sips-thetadata-v3) - [Unknown](#unknown) - [Unknown](#unknown) --- # ThetaData v3 [Skip to content](https://docs.thetadata.us/#VPContent) Theta DataDocumentation ======================= Options. Equities. API Access. [Get Started!](https://docs.thetadata.us/Articles/Getting-Started/Getting-Started.html) [REST API](https://docs.thetadata.us/operations/stock_list_symbols.html) [Streaming API](https://docs.thetadata.us/Streaming/Getting-Started.html) [AI/LLMs](https://docs.thetadata.us/Articles/AI-LLMs/Building-with-AI.html) [MCP Server](https://docs.thetadata.us/Mcp/Getting-Started.html) --- # Building with AI/LLMs | ThetaData v3 [Skip to content](https://docs.thetadata.us/Articles/AI-LLMs/Building-with-AI.html#VPContent) Return to top OpenAPI.yaml [​](https://docs.thetadata.us/Articles/AI-LLMs/Building-with-AI.html#openapi-yaml) ------------------------------------------------------------------------------------------------ The OpenAPI.yaml file is the source of truth for the API. Download the [openapiv3.yaml](https://docs.thetadata.us/openapiv3.yaml) file. You can use this file with LLMs to help you build with our API. Using OpenAPI.yaml with LLMs [​](https://docs.thetadata.us/Articles/AI-LLMs/Building-with-AI.html#using-openapi-yaml-with-llms) -------------------------------------------------------------------------------------------------------------------------------- Example use with Gemini CLI you can use `@openapiv3.yaml` to ingest the OpenAPI.yaml file into Gemini CLI. * After ingesting the OpenAPI.yaml file, you can use natural language to interact with the source of truth for the API. * You can use this file to help with vibe coding with LLMs to generate code to interact with Theta Data API. --- # Concurrent Requests | ThetaData v3 [Skip to content](https://docs.thetadata.us/Articles/Data-And-Requests/Concurrent-Requests.html#VPContent) Return to top Concurrent Requests [​](https://docs.thetadata.us/Articles/Data-And-Requests/Concurrent-Requests.html#concurrent-requests) =========================================================================================================================== This is a guide to making concurrent requests for this REST API. Depending on your subscription tier, you are allowed a different number of outstanding requests. Your requests are **NOT** rate-limited in any way, but the number of outstanding requests are limited. The table below describes the number of outstanding requests by subscription tier. | Subscription Tier | Outstanding Requests | | --- | --- | | FREE | 1 | | VALUE | 2 | | STANDARD | 4 | | PRO | 8 | You can make more requests than the number listed in the table above; however, they will be queued. The default queue size is 16, but can be configured up to 128. If the queue grows beyond its specified size, you may receive a 429 response from the server. What are Concurrent Requests? [​](https://docs.thetadata.us/Articles/Data-And-Requests/Concurrent-Requests.html#what-are-concurrent-requests) ---------------------------------------------------------------------------------------------------------------------------------------------- Making multiple requests at the same time instead of waiting for a response for each request sequentially. This will improve performance since a large part of a request's overhead can be the round trip between your computer and our servers. If it takes 100ms to get back a response from Theta Data due to your network, then 100ms per request is being wasted waiting for a response. If you make multiple requests at the same time, but staying within your limits, this overhead is eliminated. Programming Considerations [​](https://docs.thetadata.us/Articles/Data-And-Requests/Concurrent-Requests.html#programming-considerations) ----------------------------------------------------------------------------------------------------------------------------------------- You will need to be familiar with concurrency and multithreadding in the programming language you use. The best way to ensure you are not making more requests than your allowed number, is to leverage a [semaphore](https://en.wikipedia.org/wiki/Semaphore_(programming)) . --- # Data Issues | ThetaData v3 [Skip to content](https://docs.thetadata.us/Articles/Data-And-Requests/Data-Issues.html#VPContent) Return to top Causes of Perceived Data Issues [​](https://docs.thetadata.us/Articles/Data-And-Requests/Data-Issues.html#causes-of-perceived-data-issues) ------------------------------------------------------------------------------------------------------------------------------------------- Theta Data employs a whole suite of data integrity checks to verify that both historical and real-time data is whole and accurate. It is not uncommon to encounter missing data when you might otherwise expect there to be data. Some but not all mitigating factors are market holidays, trading halts, SIP / exchange processing issues, and liquidity. This article will outline our checklist we use for determine if missing data is to be expected based on the aforementioned mitigating circumstances. WARNING _If you have read through these items and still believe you see an issue with data, please make a #support ticket on our [Discord Server](https://discord.thetadata.us/) ._ General [​](https://docs.thetadata.us/Articles/Data-And-Requests/Data-Issues.html#general) ------------------------------------------------------------------------------------------- 1. Missing OHLC, EOD, or trades? Not all contracts / symbols are traded every day or at every time. 2. Was the market closed? I.e. a special holiday, weekend, or event that caused the market to be closed? 3. Trading could have been halted on the date in question. 4. Data from the previous day isn't available from 00:00 ET to 01:45 ET. We have plans to make our midnight reset instant in the near future. 5. Are you using a V1 or V2 requests? This documentation and the current version of the Theta Terminal is V3. Ensure you are running the latest version of the terminal. 6. There could have been an issue with the SIP or exchange for the date in question. Refer to the [CBOE system notices](https://www.cboe.com/us/options/notices/system/) for [OPRA](https://docs.thetadata.us/Articles/Data-And-Requests/The-SIPs.html) options, [CTA alerts](https://www.ctaplan.com/alerts) for [CTA](https://docs.thetadata.us/Articles/Data-And-Requests/The-SIPs.html) equities, [UTP alerts](https://www.utpplan.com/vendor_alerts) for [UTP](https://docs.thetadata.us/Articles/Data-And-Requests/The-SIPs.html) equities. 7. If requesting data outside regular trading hours, use the `start_time` and `end_time` parameters to specify the time range for the request. Equities [​](https://docs.thetadata.us/Articles/Data-And-Requests/Data-Issues.html#equities) --------------------------------------------------------------------------------------------- 1. Although Nasdaq Basic venue will send a zero-ed BBO quote at session close, we remove these quotes / do not process. This prevents snapshots and other processes returning a zero-ed value instead of the last legitimate value reported. Options Specific [​](https://docs.thetadata.us/Articles/Data-And-Requests/Data-Issues.html#options-specific) ------------------------------------------------------------------------------------------------------------- 1. Most option contracts are listed 4-12 weeks before expiration. It is unlikely for a option with a weekly expiration to have multiple years or quarters of data. Contracts that start to get quoted 1-2 months before expiration isn't an indication of missing data but it just means they weren't traded / didn't exist at that time. 2. If SPX, there won't be data the same day as expiration since SPX options are AM settled. SPXW options are PM settled. 3. If an index option, make sure you are using the proper [index option symbols](https://docs.thetadata.us/Articles/Data-And-Requests/The-SIPs.html) that [OPRA](https://docs.thetadata.us/Articles/Data-And-Requests/The-SIPs.html) reports. 4. Greeks data? Check our [Making Requests](https://docs.thetadata.us/Articles/Data-And-Requests/Making-Requests.html) article to ensure the history you're requesting falls within the expected range and there are no expected cases where data might not be there. 5. Make sure the expiration and strike you're using is a valid expiration from the [list contracts](https://docs.thetadata.us/operations/option_list_contracts.html) , [list expirations](https://docs.thetadata.us/operations/option_list_expirations.html) , or [list strikes](https://docs.thetadata.us/operations/option_list_strikes.html) endpoints. 6. Strike prices are represented in 10ths of a cent, so $140 would be 140000. When making requests, it is important to use this format when passing the `strike` price parameter. 7. If the option contract is 0DTE, deep ITM / OTM strikes might not be quoted / traded. 8. OPRA sends quotes with zero bid and or asks during premarket. This is a normal behavior with options quotes. 9. Data with the expiration years of 1882 is test data sent by OPRA. This typically doesn't happen anymore but for earlier years is a normal occurrence. 10. Prior to 2022-05-16, SPXW (SPX weekly) options were quoted Monday, Wednesday, Friday, not every day of the week. 11. For 0DTE options, especially index options, deep OTM or ITM contracts that have strike prices that aren't divisible by a certain number (i.e. 2.5, 5, 10) stop getting quoted and traded towards the end of the day. 12. Greeks may not work as expected and are unsupported outside regular trading hours. Option quotes and underlying prices stop and start updating at different times from the [venues](https://docs.thetadata.us/Articles/Data-And-Requests/The-SIPs.html) , which may cause unexpected values. 13. Prior to 2025-04-22, NDXP did not 3rd Friday standard monthly expirations. --- # Making Requests | ThetaData v3 [Skip to content](https://docs.thetadata.us/Articles/Data-And-Requests/Making-Requests.html#VPContent) Return to top Data Availability [​](https://docs.thetadata.us/Articles/Data-And-Requests/Making-Requests.html#data-availability) =================================================================================================================== TIP Check our website as we are continually adding more data for customers! Historical Greeks (options) & Equities Availability [​](https://docs.thetadata.us/Articles/Data-And-Requests/Making-Requests.html#historical-greeks-options-equities-availability) ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- Equities data is split up into 3 feeds (see [The SIPs](https://docs.thetadata.us/Articles/Data-And-Requests/The-SIPs.html) for more information): * CTA-A (Administered by NYSE) * CTA-B (Administered by NYSE) * UTP-C (Administered by Nasdaq) Theta Data receives market data for all of these feeds listed above. The 10 years of history in the system is only for the `UTP-C` tape, which covers most, but not all tickers. Data prior to `2020-01-01` for some tickers does not exist. For instance, `$SPY` is not included in the UTP tape, so there is no historical stock data or greeks data prior to `2020-01-01` for it. We are continually adding more data, so check back soon or contact [Support](mailto:support@thetadata.net) . Historical Greeks Availability: Index Options [​](https://docs.thetadata.us/Articles/Data-And-Requests/Making-Requests.html#historical-greeks-availability-index-options) -------------------------------------------------------------------------------------------------------------------------------------------------------------------------- Nasdaq indices are currently not included, but will be added at a later date. Similar to equities, our Greeks data on index options goes back to `2017-01-01`. At the moment there are no ongoing updates or history for the Nasdaq Indices Feed, which includes $NDX. This means that $NDX Greeks aren't available, however you can supply the `under_price` parameter to greeks snapshots, which will force Theta Data to use your supplied price. Historical Trades, EOD, OHLC: Options [​](https://docs.thetadata.us/Articles/Data-And-Requests/Making-Requests.html#historical-trades-eod-ohlc-options) -------------------------------------------------------------------------------------------------------------------------------------------------------- Trades, EOD, and OHLC options data is available as far back at `2012-06-01`. Listing bulk dates [​](https://docs.thetadata.us/Articles/Data-And-Requests/Making-Requests.html#listing-bulk-dates) --------------------------------------------------------------------------------------------------------------------- At this time bulk date listing is only supported for quotes / trades. Most requests use the same exact dates as quotes or trades, so there shouldn't be a reason to list dates for other request types. Historical ETH OPRA data [​](https://docs.thetadata.us/Articles/Data-And-Requests/Making-Requests.html#historical-eth-opra-data) --------------------------------------------------------------------------------------------------------------------------------- Extended Trading hours trades (impacts EOD data as well) and quotes are available from 2015 until 2018. However, from 2019 until December 2022, there is no ETH data for quotes and trades. After January 2022, Theta Data has full GTH / ETH coverage. Unfortunately this is a limitation of the data vendor we purchased from. ETH quotes & trades are only for SPX, VIX, DJI, and RUT options. NOTE This has no impact on equity options. Error-Handling [​](https://docs.thetadata.us/Articles/Data-And-Requests/Making-Requests.html#error-handling) ------------------------------------------------------------------------------------------------------------- When there is an error making a request, a text response is returned that describes the error. The http response code of the response will correspond to the errors defined below. If the request was successful, the http code `200` is returned. It is imperative that your application properly handles error codes like `DISCONNECTED` and `NO_DATA`. | Http Code | Error Name | Description | | --- | --- | --- | | 200 | OKAY, NO ERROR | No error. | | 404 | NO\_IMPL | There is no implementation of this request. Either the request you are making is invalid or you are using an outdated Theta Terminal version. | | 429 | OS\_LIMIT | The operating system is throttlting your requests. This happens when making a large amount of small low latency requests. An easy solution to this error is to retry the request until you no longer get this error code. | | 470 | GENERAL | A general error. | | 471 | PERMISSION | Your account does not have the permissions required to execute the request. | | 472 | NO\_DATA | There was no data found for the specified request. | | 473 | INVALID\_PARAMS | The parameters / syntax of the request is invalid. Sometimes updating your Theta Terminal to the [latest version](https://download-unstable.thetadata.us/)
could resolve this. | | 474 | DISCONNECTED | Connection has been lost to Theta Data MDDS. | | 475 | TERMINAL\_PARSE | There was an issue parsing the request after it was received. | | 476 | WRONG\_IP | The IP address does not match the IP address that the first request was made on. Make sure you use the same ip to make requests while the terminal is running. You cannot switch between `127.0.0.1` and `localhost`. | | 477 | NO\_PAGE\_FOUND | The page does not exist or expired. | | 570 | LARGE\_REQUEST | The request asking for too much data. Follow these [guidelines](https://docs.thetadata.us/Articles/Data-And-Requests/Request-Sizing.html)
. | | 571 | SERVER\_STARTING | The server is forcibly and intentionally restarting. | | 572 | UNCAUGHT\_ERROR | Reach out to support with the exact request you made. | [Download as CSV](https://www.dropbox.com/scl/fi/c1zbaq8e45djf5zb8cy26/ErrorCodes.csv?rlkey=ryepbxvk6zmtcwq3n2s3wrf0h&dl=1) Trade Sequences [​](https://docs.thetadata.us/Articles/Data-And-Requests/Making-Requests.html#trade-sequences) --------------------------------------------------------------------------------------------------------------- The trade `sequence` overflows once it reaches 2,147,483,647 (maximum value of a signed 32-bit integer). When the exchange sequence reaches -1, that means the sequence is 4,294,967,294. Once the sequence reaches 0 for a second time (it starts at 0), that means the [exchange sequence has overflowed](https://cdn.cboe.com/resources/release_notes/2020/Cboe-Options-Exchanges-Introduce-Sequence-Rollover-Capability-for-Multicast-Depth-of-Book-PITCH-Feeds.pdf) . --- # OHLC & EOD | ThetaData v3 [Skip to content](https://docs.thetadata.us/Articles/Data-And-Requests/OHLC-EOD.html#VPContent) Return to top OHLC & EOD [​](https://docs.thetadata.us/Articles/Data-And-Requests/OHLC-EOD.html#ohlc-eod) ============================================================================================ Mechanics [​](https://docs.thetadata.us/Articles/Data-And-Requests/OHLC-EOD.html#mechanics) -------------------------------------------------------------------------------------------- OHLCVC or open, high, low, close, volume, count is calculated using trades data. Some trades should be completely ignored from these calculations. For instance, a stock trading a $100 could have a trade reported at a price of $90 on the [SIP](https://docs.thetadata.us/Articles/Data-And-Requests/The-SIPs.html) feed. The most common cause of these suspect trade prices are late reports. Properly ignoring these trades based off the trade conditions is imperative to generating OHLC reports that are usable. Types of OHLC Bars [​](https://docs.thetadata.us/Articles/Data-And-Requests/OHLC-EOD.html#types-of-ohlc-bars) -------------------------------------------------------------------------------------------------------------- There are various methods of calculating OHLC. Theta Data V2 requests use method 1, which we believe to be the standard method of market participants. 1. Following the [SIP](https://docs.thetadata.us/Articles/Data-And-Requests/The-SIPs.html) rules for calculating OHLC. Depending on the [trade's condition](https://docs.thetadata.us/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html) , it might not be eligible to be used in the OHLC and or volume calculations. Certain trades could be eligible to update the last price of the session but not the volume. Providers like Theta Data might occasionally have lower volumes than less credible sources as those sources aren't properly filtering out trades based on the condition. 2. Taking every trade reported by the SIP for the day and applying basic min / max logic to calculate OHLC. Sometimes this can produce unexpected datapoints such as extreme highs or lows significantly outside the expected high / low of the session. We discourage users from utilizing this method. It is important to also note that improperly filtering trades data for volume can result in higher volumes than there should be. 3. A mixture of method 1 and 2: the [trade's condition](https://docs.thetadata.us/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html) is ignored if the trade price is within a reasonable distance from the NBBO or last trade. This method can grow in complexity such as considering moving average and average trade price changes. Types of EOD Reports [​](https://docs.thetadata.us/Articles/Data-And-Requests/OHLC-EOD.html#types-of-eod-reports) ------------------------------------------------------------------------------------------------------------------ There are various methods of calculating EOD data. Theta Data V2 requests use method 2. 1. The two equity SIPS, [UTP & CTA](https://docs.thetadata.us/Articles/Data-And-Requests/The-SIPs.html#equities-cta-utp) each generate an EOD report at ~17:00 ET. Theta Data will be exposing these reports as well as creating a merged report in the near future. The single option SIP, [OPRA](https://docs.thetadata.us/Articles/Data-And-Requests/The-SIPs.html#options-opra) publishes EOD reports on a per participant exchange basis. We have found these reports to be unreliable as certain exchanges won't have EOD reports when they should. We believe that it is not practical to generate a nationally consolidated EOD report for options using this information, which leads us to method 2. 2. Since there is no nationally reported EOD for either stocks, indices, or options, Theta Data generates a normalized EOD Report at 17:15 ET each day. The behavior of the EOD report is the same for each asset class, making cross-referencing EOD data much easier. Notable Behavior [​](https://docs.thetadata.us/Articles/Data-And-Requests/OHLC-EOD.html#notable-behavior) ---------------------------------------------------------------------------------------------------------- If you see "missing" EOD data or zero-ed OHLC bars for less liquid option contract (i.e. something deeply out of or in the money), that means there were no trades for that contract during that time. Calculate your own OHLC [​](https://docs.thetadata.us/Articles/Data-And-Requests/OHLC-EOD.html#calculate-your-own-ohlc) ------------------------------------------------------------------------------------------------------------------------ You can calculate OHLC data by looking at each trade and the [trade's condition](https://docs.thetadata.us/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html) . --- # Option Greeks | ThetaData v3 [Skip to content](https://docs.thetadata.us/Articles/Data-And-Requests/Option-Greeks.html#VPContent) Return to top Option-Greeks [​](https://docs.thetadata.us/Articles/Data-And-Requests/Option-Greeks.html#option-greeks) ========================================================================================================= Model [​](https://docs.thetadata.us/Articles/Data-And-Requests/Option-Greeks.html#model) ----------------------------------------------------------------------------------------- Theta Data uses the Black Scholes for all Greeks calculations. More specifically, we use the formulas outlined [here](https://en.wikipedia.org/wiki/Greeks_(finance)) . ### Tick by Tick [​](https://docs.thetadata.us/Articles/Data-And-Requests/Option-Greeks.html#tick-by-tick) A tick is defined as a row of data. Theta Data calculates Greeks for each tick of data and uses the exact underlying tick (price) at the time of the option tick. ### Implied Volatility Guess [​](https://docs.thetadata.us/Articles/Data-And-Requests/Option-Greeks.html#implied-volatility-guess) We use a fast bisection method to calculate implied volatility. If a close to perfect solution does not exist, you will notice the `iv_error` value in Greeks requests will begin to increase. This happens with deep in the money or out of the money contracts. This behavior can be found with other models / data providers. ### Weird Values? [​](https://docs.thetadata.us/Articles/Data-And-Requests/Option-Greeks.html#weird-values) Let us know, but before you do realize: 1. Rho & Vega must be divided by 100 to get their value. 2. We use the EU pricing model outlined above. Parameters [​](https://docs.thetadata.us/Articles/Data-And-Requests/Option-Greeks.html#parameters) --------------------------------------------------------------------------------------------------- ### Dividends [​](https://docs.thetadata.us/Articles/Data-And-Requests/Option-Greeks.html#dividends) Theta Data currently ignores dividends, however you can specify `annual_div` parameter and Theta Data will use that as the annual dividend amount and calculate the dividend yield for each tick of data, which would then be plugged into the Black Scholes formula. ### Rates [​](https://docs.thetadata.us/Articles/Data-And-Requests/Option-Greeks.html#rates) By default, Theta Data uses SOFR as its interest rate. SOFR is reported 1 day after the report date. Theta Data uses the last provided SOFR rate for current day data Greeks calculations. You can specify the `rate` parameter to override this behavior. ### Version [​](https://docs.thetadata.us/Articles/Data-And-Requests/Option-Greeks.html#version) By default, for contracts with fewer than 7 days remaining, DTE is computed using the quote timestamp. For contracts beyond 7 DTE, a whole-number DTE is used. To use the legacy behavior, set `version = 1`. The legacy calculation applies a fixed DTE of 0.15 on same-day expiration and uses a whole-number DTE for all other cases. --- # Request Sizing | ThetaData v3 [Skip to content](https://docs.thetadata.us/Articles/Data-And-Requests/Request-Sizing.html#VPContent) Return to top Request Sizing [​](https://docs.thetadata.us/Articles/Data-And-Requests/Request-Sizing.html#request-sizing) ============================================================================================================ Best Practices for request interval size and duration [​](https://docs.thetadata.us/Articles/Data-And-Requests/Request-Sizing.html#best-practices-for-request-interval-size-and-duration) ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------ Making large requests is often times inefficient and can lead to out of memory errors. Below we will go through the recommended date range limit for each type of resolution / asset class. Keeping responses to requests under 1 million ticks is the best practice. Going over the recommended date range may cause client or server side out of memory errors. | Asset Class | Resolution | Recommended Date Range | | --- | --- | --- | | Stock | Tick-Level | 1-day | | Option | Tick-level | 1-week; 1-day for highly liquid tickers like AAPL / SPX / SPY | | Any | 100ms | 1-week | | Any | 1000ms | 1-month | | Any | EOD | 1-month | --- # Symbology | ThetaData v3 [Skip to content](https://docs.thetadata.us/Articles/Data-And-Requests/Symbology.html#VPContent) Return to top Index Option Symbology [​](https://docs.thetadata.us/Articles/Data-And-Requests/Symbology.html#index-option-symbology) ----------------------------------------------------------------------------------------------------------------------- Some index options are split up into multiple tickers to determine the settlement style. Example: `SPX` is split into `SPX` and `SPXW` for weekly options. Below is a table of all **known** symbol splits that you need to account for. | Index Ticker (Normally AM) | Weekly Options (Normally PM) | Quarterly | PM Settled | Other Symbols | | --- | --- | --- | --- | --- | | SPX | SPXW | SPXQ | SPXPM | | | VIX | VIXW | | | | | RUT | RUTW | RUTQ | | | | NDX | | | NDXP | | | DJIA | | | | | | OEX | | | | | | RUI | | | | | | XSPA | XSP | | | XSPPM, XSPAM | INFO As of 2018-12-21, SPXPM is no longer used. As of 2014-07-02, SPXQ is no longer used. --- # The SIPs | ThetaData v3 [Skip to content](https://docs.thetadata.us/Articles/Data-And-Requests/The-SIPs.html#VPContent) Return to top A SIP (Securities Information Processor) is a regulated entity that consolidates all trades and quotes from all exchanges. This allows brokers to execute orders at the National Best Bid and Offer (NBBO). Options: OPRA [​](https://docs.thetadata.us/Articles/Data-And-Requests/The-SIPs.html#options-opra) --------------------------------------------------------------------------------------------------- OPRA (Options Price Reporting Authority) provides a nationally consolidated quote and trade feed for US equity and index options. OPRA is administered by CBOE. OPRA data vendors are required to pay redistribution fees. Theta Data receives every NBBO quote and trade from the OPRA feed all in real-time with latencies averaging under 3ms. Most OPRA data vendors filter NBBO quotes because they cannot handle the incredible amount of data coming in. There are millions of quotes sent by OPRA in the first second of the market opening. ### OPRA GTH [​](https://docs.thetadata.us/Articles/Data-And-Requests/The-SIPs.html#opra-gth) As part of the [OPRA](https://docs.thetadata.us/Articles/Data-And-Requests/The-SIPs.html#options-opra) Global Trading Hours (GTH), options for `SPX`, `VIX` and `XSP` are traded outside regular trading hours (RTH). All times are eastern time. The last OPRA GTH session of the week starts at 20:15 ET every Sunday. OPRA Global Trading Hours (GTH) will extend its daily ending hours of operation effective trade date Monday, August 26, 2024 (starting hours of operation for Sunday night session, August 25, 2024), by 10 minutes, to 9:25 A.M from 9:15 A.M., ET. | Session | Start Time | End Time | | --- | --- | --- | | Begin GTH Order Acceptance (SPX, VIX, XSP) | 20:00 | n/a | | Global Trading Hours (SPX, VIX, XSP) | 20:15 | 09:25 (next day) | | Begin RTH Order Acceptance | 07:30 | n/a | | Regular Trading Hours (RTH) | 09:30 | 16:15 | | Curb | 16:15 | 17:00 | [Source: CBOE Hours & Holidays](https://www.cboe.com/about/hours/us-options/) ### OPRA Extended Trading Hours: [​](https://docs.thetadata.us/Articles/Data-And-Requests/The-SIPs.html#opra-extended-trading-hours) As part of extended trading hours the following symbols are traded until 16:15 ET. AUM, AUX, BACD, BPX, BRB, BSZ, BVZ, CDD, CITD, DBA, DBB, DBC, DBO, DBS, DIA, DJX, EEM, EFA, EUI, EUU, GAZ, GBP, GSSD, IWM, IWN, IWO, IWV, JJC, JPMD, KBE, KRE, MDY, MLPN, MNX, MOO, MRUT, MSTD, NDO, NDX, NZD, OEF, OEX, OIL, PZO, QQQ, RUT, RVX, SFC, SKA, SLX, SPX, SPX (PM Expiration), SPY, SVXY, UNG, UUP, UVIX, UVXY, VIIX, VIX, VIXM, VIXY, VXEEM, VXST, VXX, VXZ, XEO, XHB, XLB, XLE, XLF, XLI, XLK, XLP, XLU, XLV, XLY, XME, XRT, XSP, XSP (AM Expiration), & YUK Equities: CTA & UTP [​](https://docs.thetadata.us/Articles/Data-And-Requests/The-SIPs.html#equities-cta-utp) ------------------------------------------------------------------------------------------------------------- US Equities data has 2 SIPs and 3 different SIP networks. * CTA Network A (Administered by NYSE) * CTA Network B (Administered by NYSE) * UTP Network C (Administered by Nasdaq) Theta Data receives a 15-minute delayed feed from all of these networks. Theta Data receives a real-time feed from Nasdaq Basic. CTA Tape A has the following trading hours: | Session | Start Time | End Time | | --- | --- | --- | | Pre-Opening | 06:30 | 9:30 | | Core Open Auction | 09:30 | 15:50 | | 123(c) Closing Imbalance Period | 15:50 | 16:00 | Nasdaq Basic [​](https://docs.thetadata.us/Articles/Data-And-Requests/The-SIPs.html#nasdaq-basic) -------------------------------------------------------------------------------------------------- Nasdaq Basic provides a BBO, for all U.S. exchange-listed securities, that is within 1% of the NBBO 99.22% of the time. They also publish a time and sales data feed in real-time. The time and sales information is for orders executed within the Nasdaq execution system as well as trades reported to the FINRA/Nasdaq TRF. CBOE Global Indices Feed [​](https://docs.thetadata.us/Articles/Data-And-Requests/The-SIPs.html#cboe-global-indices-feed) -------------------------------------------------------------------------------------------------------------------------- Theta Data is a real-time recipient of the CGIF. Indices such as SPX and VIX are included in this feed. --- # Unknown openapi: 3.1.0 info: title: Theta Data v3 description: Real-time and historic stock, options, and index data! version: 3.0.0 x-java-package: net.thetadata.generated servers: - url: 'https://localhost:25503/v3' description: dev security: \[\] paths: # # STOCK ENDPOINTS # /stock/list/symbols: x-min-subscription: free get: summary: Symbols operationId: stock\_list\_symbols tags: - Stock - List description: | A symbol can be defined as a unique identifier for a stock / underlying asset. Common terms also include: root, ticker, and underlying. This endpoint returns all traded symbols for stocks. This endpoint is updated overnight. x-sample-urls: - url: http://localhost:25503/v3/stock/list/symbols description: "List all stock symbols" - url: http://localhost:25503/v3/stock/list/symbols?format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/format" responses: '200': description: List all stock symbols content: text/csv: schema: type: array items: &items\_stock\_list\_symbols type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. example: "symbol\\r\\nA\\r\\nAA\\r\\nAAA\\r\\nAAAA\\r\\nAAAP\\r\\n" application/json: schema: &schema\_stock\_list\_symbols type: array items: \*items\_stock\_list\_symbols example: | { "response": \[ {"symbol": "A"}, {"symbol": "AA"}, {"symbol": "AAA"}, {"symbol": "AAAA"}, {"symbol": "AAAP"} \] } application/x-ndjson: schema: \*schema\_stock\_list\_symbols example: '{"symbol":"A"} {"symbol":"AA"} {"symbol":"AAA"} {"symbol":"AAAA"} {"symbol":"AAAP"}' /stock/list/dates/{request\_type}: x-min-subscription: free get: summary: Dates operationId: stock\_list\_dates tags: - Stock - List description: | Lists all dates of data that are available for a stock with a given request type and symbol. This endpoint is updated overnight. x-sample-urls: - url: http://localhost:25503/v3/stock/list/dates/quote?symbol=AAPL description: "List all dates for a stock quote for a given symbol" - url: http://localhost:25503/v3/stock/list/dates/trade?symbol=AAPL,SPY description: "List all dates for a stock trade for multiple symbols" - url: http://localhost:25503/v3/stock/list/dates/trade?symbol=\* description: "List all dates for a stock trade for all symbols" - url: http://localhost:25503/v3/stock/list/dates/quote?symbol=AAPL&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/request\_type" - $ref: "#/components/parameters/multi\_symbol" - $ref: "#/components/parameters/format" responses: '200': description: List all dates for a stock quote for a given symbol content: text/csv: schema: type: array items: &items\_stock\_list\_dates type: object properties: date: type: string format: date description: The date formated as YYYY-MM-DD. example: "date\\r\\n2016-08-16\\r\\n2016-08-17\\r\\n2016-08-18\\r\\n2016-08-19\\r\\n2016-08-23\\r\\n" application/json: schema: &schema\_stock\_list\_dates type: array items: \*items\_stock\_list\_dates example: | { "response": \[ {"date": "2016-08-16"}, {"date": "2016-08-17"}, {"date": "2016-08-18"}, {"date": "2016-08-19"}, {"date": "2016-08-23"} \] } application/x-ndjson: schema: \*schema\_stock\_list\_dates example: '{"date":"2016-08-16"} {"date":"2016-08-17"} {"date":"2016-08-18"} {"date":"2016-08-19"} {"date":"2016-08-23"}' /stock/snapshot/ohlc: x-min-subscription: value get: summary: Open High Low Close operationId: stock\_snapshot\_ohlc tags: - Stock - Snapshot description: | Provides a real-time Open, High, Low, Close for the current day. \* Returns a real-time session OHLC from the \[Nasdaq Basic feed\](/Articles/Data-And-Requests/The-SIPs) if the account has a \[stocks standard or pro subscription\](https://www.thetadata.net/subscribe.html#stocks). \* Returns a 15-minute delayed session OHLC from the \[UTP & CTA feeds\](/Articles/Data-And-Requests/The-SIPs) if the account has the stocks value subscription. \* Theta Data resets its snapshot cache at midnight ET every day. This endpoint may not work on a weekend where there were no eligible messages sent over exchange feeds. We recommend using historic requests during the weekend. x-sample-urls: - url: http://localhost:25503/v3/stock/snapshot/ohlc?symbol=\* description: "Returns OHLC for stocks for all symbols" - url: http://localhost:25503/v3/stock/snapshot/ohlc?symbol=AAPL&venue=nqb description: "Returns OHLC for a given stock trade from the Nasdaq Basic feed" - url: http://localhost:25503/v3/stock/snapshot/ohlc?symbol=AAPL&venue=nqb&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/multi\_symbol" - $ref: "#/components/parameters/venue" - $ref: "#/components/parameters/format" responses: '200': description: Returns OHLC for stocks for all symbols content: text/csv: schema: type: array items: &items\_stock\_snapshot\_ohlc type: object properties: timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. open: type: number description: The opening trade price. high: type: number description: The highest traded price. low: type: number description: The lowest traded price. close: type: number description: The closing traded price. volume: type: integer description: The amount of contracts / shares traded. count: type: integer description: The amount of trades. example: "timestamp,symbol,open,high,low,close,volume,count\\r\\n2025-08-20T16:10:04.43,CVCO,492.0000,492.0000,480.5477,485.1100,119656,7684\\r\\ \\n2025-08-20T16:11:13.962,IFRX,0.8900,0.9199,0.8529,0.8929,57048,138\\r\\n2025-08-20T16:04:10.564,KLXY,0.0000,0.0000,0.0000,0.0000,9,6\\r\\ \\n2025-08-20T16:04:07.554,HCOW,23.5600,23.6976,23.5600,23.6616,3648,44\\r\\n2025-08-20T16:22:32.726,SCS,16.2000,16.3200,16.1550,16.1800,992620,7690\\r\\ \\n" application/json: schema: &schema\_stock\_snapshot\_ohlc type: array items: \*items\_stock\_snapshot\_ohlc example: | { "response": \[ {"volume":119656,"symbol":"CVCO","high":492.0000,"low":480.5477,"count":7684,"close":485.1100,"open":492.0000,"timestamp":"2025-08-20T16:10:04.43"}, {"volume":57048,"symbol":"IFRX","high":0.9199,"low":0.8529,"count":138,"close":0.8929,"open":0.8900,"timestamp":"2025-08-20T16:11:13.962"}, {"volume":9,"symbol":"KLXY","high":0.0000,"low":0.0000,"count":6,"close":0.0000,"open":0.0000,"timestamp":"2025-08-20T16:04:10.564"}, {"volume":3648,"symbol":"HCOW","high":23.6976,"low":23.5600,"count":44,"close":23.6616,"open":23.5600,"timestamp":"2025-08-20T16:04:07.554"}, {"volume":992620,"symbol":"SCS","high":16.3200,"low":16.1550,"count":7690,"close":16.1800,"open":16.2000,"timestamp":"2025-08-20T16:22:32.726"} \] } application/x-ndjson: schema: \*schema\_stock\_snapshot\_ohlc example: '{"volume":119656,"symbol":"CVCO","high":492.0000,"low":480.5477,"count":7684,"close":485.1100,"open":492.0000,"timestamp":"2025-08-20T16:10:04.43"} {"volume":57048,"symbol":"IFRX","high":0.9199,"low":0.8529,"count":138,"close":0.8929,"open":0.8900,"timestamp":"2025-08-20T16:11:13.962"} {"volume":9,"symbol":"KLXY","high":0.0000,"low":0.0000,"count":6,"close":0.0000,"open":0.0000,"timestamp":"2025-08-20T16:04:10.564"} {"volume":3648,"symbol":"HCOW","high":23.6976,"low":23.5600,"count":44,"close":23.6616,"open":23.5600,"timestamp":"2025-08-20T16:04:07.554"} {"volume":992620,"symbol":"SCS","high":16.3200,"low":16.1550,"count":7690,"close":16.1800,"open":16.2000,"timestamp":"2025-08-20T16:22:32.726"}' /stock/snapshot/trade: x-min-subscription: standard get: summary: Trade operationId: stock\_snapshot\_trade tags: - Stock - Snapshot description: | Returns a real-time last trade from the \[Nasdaq Basic feed\](/Articles/Data-And-Requests/The-SIPs) if the account has a \[stocks standard or pro subscription\](https://www.thetadata.net/subscribe.html#stocks). - Theta Data resets its snapshot cache at midnight ET every day. This endpoint may not work on a weekend where there were no eligible messages sent over exchange feeds. We recommend using historic requests during the weekend. x-sample-urls: - url: http://localhost:25503/v3/stock/snapshot/trade?symbol=AAPL description: "Returns last trade for stocks for a given symbol" - url: http://localhost:25503/v3/stock/snapshot/trade?symbol=AAPL&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/multi\_symbol" - $ref: "#/components/parameters/venue" - $ref: "#/components/parameters/format" responses: '200': description: Returns last trade for stocks for a given symbol content: text/csv: schema: type: array items: &items\_stock\_snapshot\_trade type: object properties: timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. sequence: type: integer description: The exchange \[sequence\](/Articles/Data-And-Requests/Making-Requests.html#trade-sequences). size: type: integer description: The amount of contracts / shares traded. condition: type: integer description: The trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html). price: type: number description: The trade price. example: "timestamp,symbol,sequence,size,condition,price\\r\\n2025-08-20T16:36:05.549,AAPL,63539137,23,1,225.7500\\r\\ \\n" application/json: schema: &schema\_stock\_snapshot\_trade type: array items: \*items\_stock\_snapshot\_trade example: | { "response": \[ {"symbol":"AAPL","sequence":63539137,"condition":1,"size":23,"price":225.7500,"timestamp":"2025-08-20T16:36:05.549"} \] } application/x-ndjson: schema: \*schema\_stock\_snapshot\_trade example: '{"symbol":"AAPL","sequence":63539137,"condition":1,"size":23,"price":225.7500,"timestamp":"2025-08-20T16:36:05.549"}' /stock/snapshot/quote: x-min-subscription: value get: summary: Quote operationId: stock\_snapshot\_quote tags: - Stock - Snapshot description: | \* Returns a real-time last BBO quote from the \[Nasdaq Basic feed\](/Articles/Data-And-Requests/The-SIPs) if the account has a \[stocks standard or pro subscription\](https://www.thetadata.net/subscribe.html#stocks). \* Returns a 15-minute delayed NBBO quote from the \[UTP & CTA feeds\](/Articles/Data-And-Requests/The-SIPs) account has the \[stocks value subscription\](https://www.thetadata.net/subscribe.html#stocks) subscription. - Theta Data resets its snapshot cache at midnight ET every day. This endpoint may not work on a weekend where there were no eligible messages sent over exchange feeds. We recommend using historic requests during the weekend. x-sample-urls: - url: http://localhost:25503/v3/stock/snapshot/quote?symbol=\* description: "Returns last quote for stocks for all symbols" - url: http://localhost:25503/v3/stock/snapshot/quote?symbol=AAPL&venue=nqb description: "Returns OHLC for a given stock trade from the Nasdaq Basic feed" - url: http://localhost:25503/v3/stock/snapshot/quote?symbol=AAPL&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/multi\_symbol" - $ref: "#/components/parameters/venue" - $ref: "#/components/parameters/format" responses: '200': description: Returns last quote for stocks for all symbols content: text/csv: schema: type: array items: &items\_stock\_snapshot\_quote type: object properties: timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. bid\_size: type: integer description: The last NBBO bid size. bid\_exchange: type: integer description: The last NBBO bid \[exchange\](/Articles/Errors-Exchanges-Conditions/Exchanges.html). bid: type: number description: The last NBBO bid price. bid\_condition: type: integer description: The last NBBO bid \[condition\](/Articles/Errors-Exchanges-Conditions/Quote-Conditions.html). ask\_size: type: integer description: The last NBBO ask size. ask\_exchange: type: integer description: The last NBBO ask \[exchange\](/Articles/Errors-Exchanges-Conditions/Exchanges.html). ask: type: number description: The last NBBO ask price. ask\_condition: type: integer description: The last NBBO ask \[condition\](/Articles/Errors-Exchanges-Conditions/Quote-Conditions.html). example: "timestamp,symbol,bid\_size,bid\_exchange,bid,bid\_condition,ask\_size,ask\_exchange,ask,ask\_condition\\r\\ \\n2025-08-20T16:03:05.142,CVCO,1,29,475.75,0,3,29,494.33,0\\r\\n2025-08-20T16:10:05.032,KLXY,200,29,12.40,0,200,29,37.18,0\\r\\ \\n2025-08-20T16:21:05.781,IFRX,100,29,0.7510,0,45,29,0.9500,0\\r\\n2025-08-20T16:19:55.101,SCS,100,29,14.64,0,100,29,17.60,0\\r\\ \\n2025-08-20T16:33:50.877,BBC,100,29,13.29,0,2800,29,24.06,0\\r\\n" application/json: schema: &schema\_stock\_snapshot\_quote type: array items: \*items\_stock\_snapshot\_quote example: | { "response": \[ {"symbol":"CVCO","ask\_size":3,"bid\_size":1,"ask\_exchange":29,"ask\_condition":0,"bid\_exchange":29,"ask":494.33,"bid":475.75,"bid\_condition":0,"timestamp":"2025-08-20T16:03:05.142"}, {"symbol":"KLXY","ask\_size":200,"bid\_size":200,"ask\_exchange":29,"ask\_condition":0,"bid\_exchange":29,"ask":37.18,"bid":12.40,"bid\_condition":0,"timestamp":"2025-08-20T16:10:05.032"}, {"symbol":"IFRX","ask\_size":45,"bid\_size":100,"ask\_exchange":29,"ask\_condition":0,"bid\_exchange":29,"ask":0.9500,"bid":0.7510,"bid\_condition":0,"timestamp":"2025-08-20T16:21:05.781"}, {"symbol":"SCS","ask\_size":100,"bid\_size":100,"ask\_exchange":29,"ask\_condition":0,"bid\_exchange":29,"ask":17.60,"bid":14.64,"bid\_condition":0,"timestamp":"2025-08-20T16:19:55.101"}, {"symbol":"BBC","ask\_size":2800,"bid\_size":100,"ask\_exchange":29,"ask\_condition":0,"bid\_exchange":29,"ask":24.06,"bid":13.29,"bid\_condition":0,"timestamp":"2025-08-20T16:33:50.877"} \] } application/x-ndjson: schema: \*schema\_stock\_snapshot\_quote example: '{"symbol":"CVCO","ask\_size":3,"bid\_size":1,"ask\_exchange":29,"ask\_condition":0,"bid\_exchange":29,"ask":494.33,"bid":475.75,"bid\_condition":0,"timestamp":"2025-08-20T16:03:05.142"} {"symbol":"KLXY","ask\_size":200,"bid\_size":200,"ask\_exchange":29,"ask\_condition":0,"bid\_exchange":29,"ask":37.18,"bid":12.40,"bid\_condition":0,"timestamp":"2025-08-20T16:10:05.032"} {"symbol":"IFRX","ask\_size":45,"bid\_size":100,"ask\_exchange":29,"ask\_condition":0,"bid\_exchange":29,"ask":0.9500,"bid":0.7510,"bid\_condition":0,"timestamp":"2025-08-20T16:21:05.781"} {"symbol":"SCS","ask\_size":100,"bid\_size":100,"ask\_exchange":29,"ask\_condition":0,"bid\_exchange":29,"ask":17.60,"bid":14.64,"bid\_condition":0,"timestamp":"2025-08-20T16:19:55.101"} {"symbol":"BBC","ask\_size":2800,"bid\_size":100,"ask\_exchange":29,"ask\_condition":0,"bid\_exchange":29,"ask":24.06,"bid":13.29,"bid\_condition":0,"timestamp":"2025-08-20T16:33:50.877"}' /stock/snapshot/market\_value: x-min-subscription: standard get: summary: Market Value operationId: stock\_snapshot\_market\_value tags: - Stock - Snapshot description: | \* Returns a real-time market value derived from the last BBO quote from the \[Nasdaq Basic feed\](/Articles/Data-And-Requests/The-SIPs) if the account has a \[stocks standard or pro subscription\](https://www.thetadata.net/subscribe.html#stocks). \* Returns a 15-minute delayed market value derived from an NBBO quote from the \[UTP & CTA feeds\](/Articles/Data-And-Requests/The-SIPs) if the account has the \[stocks value subscription\](https://www.thetadata.net/subscribe.html#stocks) subscription. - Theta Data resets its snapshot cache at midnight ET every day. This endpoint may not work on a weekend where there were no eligible messages sent over exchange feeds. We recommend using historic requests during the weekend. x-sample-urls: - url: http://localhost:25503/v3/stock/snapshot/market\_value?symbol=\* description: "Returns last market value for stocks for all symbols" - url: http://localhost:25503/v3/stock/snapshot/market\_value?symbol=AAPL&venue=nqb description: "Returns market value for a given stock trade from the Nasdaq Basic feed" - url: http://localhost:25503/v3/stock/snapshot/market\_value?symbol=\*&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/multi\_symbol" - $ref: "#/components/parameters/venue" - $ref: "#/components/parameters/format" responses: '200': description: Returns last market value for stocks for all symbols content: text/csv: schema: type: array items: &items\_stock\_snapshot\_market\_value type: object properties: timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. market\_bid: type: number description: The last market bid market\_ask: type: number description: The last market ask market\_price: type: number description: The last market value price example: "timestamp,symbol,market\_bid,market\_ask,market\_price\\r\\ \\n2025-12-16T11:47:50.854,CVCO,590.60,595.55,593.07\\r\\ \\n2025-12-16T11:02:05.409,KLXY,26.77,27.69,27.23\\r\\ \\n2025-12-16T11:47:52.923,FXR,80.23,80.27,80.25\\r\\ \\n2025-12-16T11:47:53.496,AAPL,273.22,273.23,273.22" application/json: schema: &schema\_stock\_snapshot\_market\_value type: array items: \*items\_stock\_snapshot\_market\_value example: | { "response": \[ {"symbol":"CVCO","market\_bid":590.60,"market\_ask":595.55,"market\_price":593.07,"timestamp":"2025-12-16T11:47:50.854"}, {"symbol":"KLXY","market\_bid":26.77,"market\_ask":27.69,"market\_price":27.23,"timestamp":"2025-12-16T11:02:05.409"}, {"symbol":"FXR","market\_bid":80.23,"market\_ask":80.27,"market\_price":80.25,"timestamp":"2025-12-16T11:47:52.923"}, {"symbol":"AAPL","market\_bid":273.22,"market\_ask":273.23,"market\_price":273.22,"timestamp":"2025-12-16T11:47:53.496"} \] } application/x-ndjson: schema: \*schema\_stock\_snapshot\_market\_value example: '{"symbol":"CVCO","market\_bid":590.60,"market\_ask":595.55,"market\_price":593.07,"timestamp":"2025-12-16T11:47:50.854"} {"symbol":"KLXY","market\_bid":26.77,"market\_ask":27.69,"market\_price":27.23,"timestamp":"2025-12-16T11:02:05.409"} {"symbol":"FXR","market\_bid":80.23,"market\_ask":80.27,"market\_price":80.25,"timestamp":"2025-12-16T11:47:52.923"} {"symbol":"AAPL","market\_bid":273.22,"market\_ask":273.23,"market\_price":273.22,"timestamp":"2025-12-16T11:47:53.496"}' /stock/history/eod: x-min-subscription: free x-history-access: true get: summary: End of Day operationId: stock\_history\_eod tags: - Stock - History description: | Since \[the equity SIPs\](/Articles/Data-And-Requests/The-SIPs.html) only generate a partial EOD report, Theta Data generates a national EOD report at 17:15 ET each day. \`\`created\`\` represents the datetime the report was generated and \`\`last\_trade\`\` represents the datetime of the last trade. The quote in the response represents the last NBBO reported by \[CTA or UTP\](/Articles/Data-And-Requests/The-SIPs.html) at the time of report generation. You can read more about EOD & OHLC data \[here\](/Articles/Data-And-Requests/OHLC-EOD.html). Theta Data plans to avail SIP EOD reports in the near future. x-sample-urls: - url: http://localhost:25503/v3/stock/history/eod?symbol=AAPL&start\_date=20240101&end\_date=20240131 description: "Returns EOD report for a given symbol between specified dates (inclusive)" - url: http://localhost:25503/v3/stock/history/eod?symbol=AAPL&start\_date=20240101&end\_date=20240131&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/single\_symbol" - $ref: "#/components/parameters/start\_date" - $ref: "#/components/parameters/end\_date" - $ref: "#/components/parameters/format" responses: '200': description: Returns EOD report for a given symbol between specified dates (inclusive) content: text/csv: schema: type: array items: &items\_stock\_history\_eod type: object properties: created: type: string format: date-time description: The date formated as YYYY-MM-DDTHH:mm:ss.SSS format. last\_trade: type: string format: date-time description: The last trade date formated as YYYY-MM-DDTHH:mm:ss.SSS format. open: type: number description: The opening trade price. high: type: number description: The highest traded price. low: type: number description: The lowest traded price. close: type: number description: The closing traded price. volume: type: integer description: The amount of contracts / shares traded. count: type: integer description: The amount of trades. bid\_size: type: integer description: The last NBBO bid size. bid\_exchange: type: integer description: The last NBBO bid \[exchange\](/Articles/Errors-Exchanges-Conditions/Exchanges.html). bid: type: number description: The last NBBO bid price. bid\_condition: type: integer description: The last NBBO bid \[condition\](/Articles/Errors-Exchanges-Conditions/Quote-Conditions.html). ask\_size: type: integer description: The last NBBO ask size. ask\_exchange: type: integer description: The last NBBO ask \[exchange\](/Articles/Errors-Exchanges-Conditions/Exchanges.html). ask: type: number description: The last NBBO ask price. ask\_condition: type: integer description: The last NBBO ask \[condition\](/Articles/Errors-Exchanges-Conditions/Quote-Conditions.html). example: "created,last\_trade,open,high,low,close,volume,count,bid\_size,bid\_exchange,bid,bid\_condition,ask\_size,ask\_exchange,ask,ask\_condition\\r\\ \\n2024-01-02T17:17:53.606,2024-01-02T17:17:51.877,187.030,188.440,183.885,185.640,80680243,1003582,2,7,18.534,0,2,1,18.536,0\\r\\ \\n2024-01-03T17:16:29.883,2024-01-03T17:16:28.586,184.200,185.880,183.430,184.250,58308345,654127,5,7,18.405,0,2,1,18.410,0\\r\\ \\n2024-01-04T17:17:06.02,2024-01-04T17:17:02.445,182.0000,183.0872,180.8800,181.9100,71197269,709246,8,60,1.8176,0,2,7,1.8179,0\\r\\ \\n2024-01-05T17:16:57.032,2024-01-05T17:16:49.821,181.900,182.760,180.170,181.180,61949135,679405,3,1,18.103,0,3,7,18.105,0\\r\\ \\n2024-01-08T17:17:01.83,2024-01-08T17:17:01.484,182.000,185.600,181.500,185.560,59029146,665626,4,1,18.528,0,1,65,18.537,0\\r\\ \\n" application/json: schema: &schema\_stock\_history\_eod type: array items: \*items\_stock\_history\_eod example: | { "response": \[ {"ask\_size":2,"last\_trade":"2024-01-02T17:17:51.877","created":"2024-01-02T17:17:53.606","ask\_condition":0,"count":1003582,"volume":80680243,"high":188.440,"low":183.885,"bid\_size":2,"ask\_exchange":1,"bid\_exchange":7,"ask":18.536,"bid":18.534,"bid\_condition":0,"close":185.640,"open":187.030}, {"ask\_size":2,"last\_trade":"2024-01-03T17:16:28.586","created":"2024-01-03T17:16:29.883","ask\_condition":0,"count":654127,"volume":58308345,"high":185.880,"low":183.430,"bid\_size":5,"ask\_exchange":1,"bid\_exchange":7,"ask":18.410,"bid":18.405,"bid\_condition":0,"close":184.250,"open":184.200}, {"ask\_size":2,"last\_trade":"2024-01-04T17:17:02.445","created":"2024-01-04T17:17:06.02","ask\_condition":0,"count":709246,"volume":71197269,"high":183.0872,"low":180.8800,"bid\_size":8,"ask\_exchange":7,"bid\_exchange":60,"ask":1.8179,"bid":1.8176,"bid\_condition":0,"close":181.9100,"open":182.0000}, {"ask\_size":3,"last\_trade":"2024-01-05T17:16:49.821","created":"2024-01-05T17:16:57.032","ask\_condition":0,"count":679405,"volume":61949135,"high":182.760,"low":180.170,"bid\_size":3,"ask\_exchange":7,"bid\_exchange":1,"ask":18.105,"bid":18.103,"bid\_condition":0,"close":181.180,"open":181.900}, {"ask\_size":1,"last\_trade":"2024-01-08T17:17:01.484","created":"2024-01-08T17:17:01.83","ask\_condition":0,"count":665626,"volume":59029146,"high":185.600,"low":181.500,"bid\_size":4,"ask\_exchange":65,"bid\_exchange":1,"ask":18.537,"bid":18.528,"bid\_condition":0,"close":185.560,"open":182.000} \] } application/x-ndjson: schema: \*schema\_stock\_history\_eod example: '{"ask\_size":2,"last\_trade":"2024-01-02T17:17:51.877","created":"2024-01-02T17:17:53.606","ask\_condition":0,"count":1003582,"volume":80680243,"high":188.440,"low":183.885,"bid\_size":2,"ask\_exchange":1,"bid\_exchange":7,"ask":18.536,"bid":18.534,"bid\_condition":0,"close":185.640,"open":187.030} {"ask\_size":2,"last\_trade":"2024-01-03T17:16:28.586","created":"2024-01-03T17:16:29.883","ask\_condition":0,"count":654127,"volume":58308345,"high":185.880,"low":183.430,"bid\_size":5,"ask\_exchange":1,"bid\_exchange":7,"ask":18.410,"bid":18.405,"bid\_condition":0,"close":184.250,"open":184.200} {"ask\_size":2,"last\_trade":"2024-01-04T17:17:02.445","created":"2024-01-04T17:17:06.02","ask\_condition":0,"count":709246,"volume":71197269,"high":183.0872,"low":180.8800,"bid\_size":8,"ask\_exchange":7,"bid\_exchange":60,"ask":1.8179,"bid":1.8176,"bid\_condition":0,"close":181.9100,"open":182.0000} {"ask\_size":3,"last\_trade":"2024-01-05T17:16:49.821","created":"2024-01-05T17:16:57.032","ask\_condition":0,"count":679405,"volume":61949135,"high":182.760,"low":180.170,"bid\_size":3,"ask\_exchange":7,"bid\_exchange":1,"ask":18.105,"bid":18.103,"bid\_condition":0,"close":181.180,"open":181.900} {"ask\_size":1,"last\_trade":"2024-01-08T17:17:01.484","created":"2024-01-08T17:17:01.83","ask\_condition":0,"count":665626,"volume":59029146,"high":185.600,"low":181.500,"bid\_size":4,"ask\_exchange":65,"bid\_exchange":1,"ask":18.537,"bid":18.528,"bid\_condition":0,"close":185.560,"open":182.000}' /stock/history/ohlc: x-min-subscription: value x-history-access: true get: summary: Open High Low Close operationId: stock\_history\_ohlc tags: - Stock - History description: | Aggregated OHLC bars that use \[SIP rules\](/Articles/Data-And-Requests/OHLC-EOD.html) for each bar. Time timestamp of the bar represents the opening time of the bar. For a trade to be part of the bar: \`\`bar time\`\` <= \`\`trade time\`\` < \`\`bar timestamp + ivl\`\`, where ivl is the specified interval size in milliseconds. Set the \`\`venue\`\` parameter to \`\`nqb\`\` to access current-day real-time historic data from the \[Nasdaq Basic feed\](/Articles/Data-And-Requests/The-SIPs) if the account has a \[stocks standard or pro subscription\](https://www.thetadata.net/subscribe.html#stocks). x-sample-urls: - url: http://localhost:25503/v3/stock/history/ohlc?symbol=AAPL&date=20240102&interval=1m description: "Returns OHLC for a given symbol between specified dates (inclusive) with a one minute interval" - url: http://localhost:25503/v3/stock/history/ohlc?symbol=AAPL&date=20240102&interval=1m&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/single\_symbol" - $ref: "#/components/parameters/date" - $ref: "#/components/parameters/interval" - $ref: "#/components/parameters/start\_time" - $ref: "#/components/parameters/end\_time" - $ref: "#/components/parameters/venue" - $ref: "#/components/parameters/format" responses: '200': description: Returns OHLC for a given symbol between specified dates (inclusive) with a one minute interval content: text/csv: schema: type: array items: &items\_stock\_history\_ohlc type: object properties: timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. open: type: number description: The opening trade price. high: type: number description: The highest traded price. low: type: number description: The lowest traded price. close: type: number description: The closing traded price. volume: type: integer description: The amount of contracts / shares traded. count: type: integer description: The amount of trades. vwap: type: number description: The volume weighted average price of the trading session. example: "timestamp,open,high,low,close,volume,count,vwap\\r\\n2024-01-02T09:30:00,187.1500,188.050,186.350,187.830,3256708,37886,187.25\\r\\ \\n2024-01-02T09:31:00,187.830,188.120,187.630,187.765,809707,7481,187.38\\r\\n2024-01-02T09:32:00,187.770,188.440,187.730,188.2984,687086,7103,187.48\\r\\ \\n2024-01-02T09:33:00,188.3050,188.310,187.810,188.160,485275,6245,187.53\\r\\n2024-01-02T09:34:00,188.150,188.150,187.670,187.730,415948,5942,187.55\\r\\ \\n" application/json: schema: &schema\_stock\_history\_ohlc type: array items: \*items\_stock\_history\_ohlc example: | { "response": \[ {"volume":3256708,"high":188.050,"low":186.350,"vwap":187.25,"count":37886,"close":187.830,"open":187.1500,"timestamp":"2024-01-02T09:30:00"}, {"volume":809707,"high":188.120,"low":187.630,"vwap":187.38,"count":7481,"close":187.765,"open":187.830,"timestamp":"2024-01-02T09:31:00"}, {"volume":687086,"high":188.440,"low":187.730,"vwap":187.48,"count":7103,"close":188.2984,"open":187.770,"timestamp":"2024-01-02T09:32:00"}, {"volume":485275,"high":188.310,"low":187.810,"vwap":187.53,"count":6245,"close":188.160,"open":188.3050,"timestamp":"2024-01-02T09:33:00"}, {"volume":415948,"high":188.150,"low":187.670,"vwap":187.55,"count":5942,"close":187.730,"open":188.150,"timestamp":"2024-01-02T09:34:00"} \] } application/x-ndjson: schema: \*schema\_stock\_history\_ohlc example: '{"volume":3256708,"high":188.050,"low":186.350,"vwap":187.25,"count":37886,"close":187.830,"open":187.1500,"timestamp":"2024-01-02T09:30:00"} {"volume":809707,"high":188.120,"low":187.630,"vwap":187.38,"count":7481,"close":187.765,"open":187.830,"timestamp":"2024-01-02T09:31:00"} {"volume":687086,"high":188.440,"low":187.730,"vwap":187.48,"count":7103,"close":188.2984,"open":187.770,"timestamp":"2024-01-02T09:32:00"} {"volume":485275,"high":188.310,"low":187.810,"vwap":187.53,"count":6245,"close":188.160,"open":188.3050,"timestamp":"2024-01-02T09:33:00"} {"volume":415948,"high":188.150,"low":187.670,"vwap":187.55,"count":5942,"close":187.730,"open":188.150,"timestamp":"2024-01-02T09:34:00"}' /stock/history/trade: x-min-subscription: standard x-history-access: true get: summary: Trade operationId: stock\_history\_trade tags: - Stock - History description: | Returns every trade reported by \[UTP & CTA\](/Articles/Data-And-Requests/The-SIPs). Set the \`\`venue\`\` parameter to \`\`nqb\`\` to access current-day real-time historic data from the \[Nasdaq Basic feed\](/Articles/Data-And-Requests/The-SIPs) if the account has a \[stocks standard or pro subscription\](https://www.thetadata.net/subscribe.html#stocks). x-sample-urls: - url: http://localhost:25503/v3/stock/history/trade?symbol=AAPL&date=20240102 description: "Returns every trade for a given symbol between specified dates (inclusive) with a one minute interval" - url: http://localhost:25503/v3/stock/history/trade?symbol=AAPL&date=20240102&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/single\_symbol" - $ref: "#/components/parameters/date" - $ref: "#/components/parameters/start\_time" - $ref: "#/components/parameters/end\_time" - $ref: "#/components/parameters/venue" - $ref: "#/components/parameters/format" responses: '200': description: Returns every trade for a given symbol between specified dates (inclusive) with a one minute interval content: text/csv: schema: type: array items: &items\_stock\_history\_trade type: object properties: timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. sequence: type: integer description: The exchange \[sequence\](/Articles/Data-And-Requests/Making-Requests.html#trade-sequences). ext\_condition1: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext\_condition2: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext\_condition3: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext\_condition4: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. condition: type: integer description: The trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html). size: type: integer description: The amount of contracts / shares traded. exchange: type: integer description: The \[exchange\](/Articles/Errors-Exchanges-Conditions/Exchanges.html) the trade was executed. price: type: number description: The trade price. example: "timestamp,sequence,ext\_condition1,ext\_condition2,ext\_condition3,ext\_condition4,condition,size,exchange,price\\r\\ \\n2024-01-02T09:30:00.011,14920,32,95,1,115,1,2,7,187.1800\\r\\n2024-01-02T09:30:00.014,8931,32,255,1,115,1,1,1,187.1800\\r\\ \\n2024-01-02T09:30:00.014,8932,32,255,1,115,1,5,1,187.1800\\r\\n2024-01-02T09:30:00.014,8933,32,255,1,115,1,3,1,187.1900\\r\\ \\n2024-01-02T09:30:00.014,8934,32,255,1,115,1,91,1,187.1900\\r\\n" application/json: schema: &schema\_stock\_history\_trade type: array items: \*items\_stock\_history\_trade example: | { "response": \[ {"sequence":14920,"condition":1,"size":2,"price":187.1800,"ext\_condition2":95,"ext\_condition1":32,"ext\_condition4":115,"exchange":7,"ext\_condition3":1,"timestamp":"2024-01-02T09:30:00.011"}, {"sequence":8931,"condition":1,"size":1,"price":187.1800,"ext\_condition2":255,"ext\_condition1":32,"ext\_condition4":115,"exchange":1,"ext\_condition3":1,"timestamp":"2024-01-02T09:30:00.014"}, {"sequence":8932,"condition":1,"size":5,"price":187.1800,"ext\_condition2":255,"ext\_condition1":32,"ext\_condition4":115,"exchange":1,"ext\_condition3":1,"timestamp":"2024-01-02T09:30:00.014"}, {"sequence":8933,"condition":1,"size":3,"price":187.1900,"ext\_condition2":255,"ext\_condition1":32,"ext\_condition4":115,"exchange":1,"ext\_condition3":1,"timestamp":"2024-01-02T09:30:00.014"}, {"sequence":8934,"condition":1,"size":91,"price":187.1900,"ext\_condition2":255,"ext\_condition1":32,"ext\_condition4":115,"exchange":1,"ext\_condition3":1,"timestamp":"2024-01-02T09:30:00.014"} \] } application/x-ndjson: schema: \*schema\_stock\_history\_trade example: '{"sequence":14920,"condition":1,"size":2,"price":187.1800,"ext\_condition2":95,"ext\_condition1":32,"ext\_condition4":115,"exchange":7,"ext\_condition3":1,"timestamp":"2024-01-02T09:30:00.011"} {"sequence":8931,"condition":1,"size":1,"price":187.1800,"ext\_condition2":255,"ext\_condition1":32,"ext\_condition4":115,"exchange":1,"ext\_condition3":1,"timestamp":"2024-01-02T09:30:00.014"} {"sequence":8932,"condition":1,"size":5,"price":187.1800,"ext\_condition2":255,"ext\_condition1":32,"ext\_condition4":115,"exchange":1,"ext\_condition3":1,"timestamp":"2024-01-02T09:30:00.014"} {"sequence":8933,"condition":1,"size":3,"price":187.1900,"ext\_condition2":255,"ext\_condition1":32,"ext\_condition4":115,"exchange":1,"ext\_condition3":1,"timestamp":"2024-01-02T09:30:00.014"} {"sequence":8934,"condition":1,"size":91,"price":187.1900,"ext\_condition2":255,"ext\_condition1":32,"ext\_condition4":115,"exchange":1,"ext\_condition3":1,"timestamp":"2024-01-02T09:30:00.014"}' /stock/history/quote: x-min-subscription: value x-history-access: true get: summary: Quote operationId: stock\_history\_quote tags: - Stock - History description: | Returns every NBBO quote reported by \[UTP and CTA\](/Articles/Data-And-Requests/The-SIPs). If the \`\`interval\`\` parameter is specified, the quote for each interval represents the last quote prior to the interval's timestamp. Set the \`\`venue\`\` parameter to \`\`nqb\`\` to access current-day real-time historic data from the \[Nasdaq Basic feed\](/Articles/Data-And-Requests/The-SIPs) if the account has a \[stocks standard or pro subscription\](https://www.thetadata.net/subscribe.html#stocks). x-sample-urls: - url: http://localhost:25503/v3/stock/history/quote?symbol=AAPL&date=20240102&interval=1m description: "Returns every quote for a given symbol between specified dates (inclusive) with a one minute interval" - url: http://localhost:25503/v3/stock/history/quote?symbol=AAPL&date=20240102&interval=1m&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/single\_symbol" - $ref: "#/components/parameters/date" - $ref: "#/components/parameters/interval" - $ref: "#/components/parameters/start\_time" - $ref: "#/components/parameters/end\_time" - $ref: "#/components/parameters/venue" - $ref: "#/components/parameters/format" responses: '200': description: Returns every quote for a given symbol between specified dates (inclusive) with a one minute interval content: text/csv: schema: type: array items: &items\_stock\_history\_quote type: object properties: timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. bid\_size: type: integer description: The last NBBO bid size. bid\_exchange: type: integer description: The last NBBO bid \[exchange\](/Articles/Errors-Exchanges-Conditions/Exchanges.html). bid: type: number description: The last NBBO bid price. bid\_condition: type: integer description: The last NBBO bid \[condition\](/Articles/Errors-Exchanges-Conditions/Quote-Conditions.html). ask\_size: type: integer description: The last NBBO ask size. ask\_exchange: type: integer description: The last NBBO ask \[exchange\](/Articles/Errors-Exchanges-Conditions/Exchanges.html). ask: type: number description: The last NBBO ask price. ask\_condition: type: integer description: The last NBBO ask \[condition\](/Articles/Errors-Exchanges-Conditions/Quote-Conditions.html). example: "timestamp,bid\_size,bid\_exchange,bid,bid\_condition,ask\_size,ask\_exchange,ask,ask\_condition\\r\\n2024-01-02T09:30:00,30,7,187.10,0,1,1,187.20,0\\r\\ \\n2024-01-02T09:31:00,2,1,187.83,0,4,1,187.86,0\\r\\n2024-01-02T09:32:00,2,60,187.74,0,1,73,187.77,0\\r\\n2024-01-02T09:33:00,2,60,188.29,0,2,73,188.32,0\\r\\ \\n2024-01-02T09:34:00,5,1,188.14,0,2,7,188.16,0\\r\\n" application/json: schema: &schema\_stock\_history\_quote type: array items: \*items\_stock\_history\_quote example: | { "response": \[ {"ask\_size":1,"bid\_size":30,"ask\_exchange":1,"ask\_condition":0,"bid\_exchange":7,"ask":187.20,"bid":187.10,"bid\_condition":0,"timestamp":"2024-01-02T09:30:00"}, {"ask\_size":4,"bid\_size":2,"ask\_exchange":1,"ask\_condition":0,"bid\_exchange":1,"ask":187.86,"bid":187.83,"bid\_condition":0,"timestamp":"2024-01-02T09:31:00"}, {"ask\_size":1,"bid\_size":2,"ask\_exchange":73,"ask\_condition":0,"bid\_exchange":60,"ask":187.77,"bid":187.74,"bid\_condition":0,"timestamp":"2024-01-02T09:32:00"}, {"ask\_size":2,"bid\_size":2,"ask\_exchange":73,"ask\_condition":0,"bid\_exchange":60,"ask":188.32,"bid":188.29,"bid\_condition":0,"timestamp":"2024-01-02T09:33:00"}, {"ask\_size":2,"bid\_size":5,"ask\_exchange":7,"ask\_condition":0,"bid\_exchange":1,"ask":188.16,"bid":188.14,"bid\_condition":0,"timestamp":"2024-01-02T09:34:00"} \] } application/x-ndjson: schema: \*schema\_stock\_history\_quote example: '{"ask\_size":1,"bid\_size":30,"ask\_exchange":1,"ask\_condition":0,"bid\_exchange":7,"ask":187.20,"bid":187.10,"bid\_condition":0,"timestamp":"2024-01-02T09:30:00"} {"ask\_size":4,"bid\_size":2,"ask\_exchange":1,"ask\_condition":0,"bid\_exchange":1,"ask":187.86,"bid":187.83,"bid\_condition":0,"timestamp":"2024-01-02T09:31:00"} {"ask\_size":1,"bid\_size":2,"ask\_exchange":73,"ask\_condition":0,"bid\_exchange":60,"ask":187.77,"bid":187.74,"bid\_condition":0,"timestamp":"2024-01-02T09:32:00"} {"ask\_size":2,"bid\_size":2,"ask\_exchange":73,"ask\_condition":0,"bid\_exchange":60,"ask":188.32,"bid":188.29,"bid\_condition":0,"timestamp":"2024-01-02T09:33:00"} {"ask\_size":2,"bid\_size":5,"ask\_exchange":7,"ask\_condition":0,"bid\_exchange":1,"ask":188.16,"bid":188.14,"bid\_condition":0,"timestamp":"2024-01-02T09:34:00"}' /stock/history/trade\_quote: x-min-subscription: standard x-history-access: true get: summary: Trade Quote operationId: stock\_history\_trade\_quote tags: - Stock - History description: | Returns every trade reported by \[UTP & CTA\](/Articles/Data-And-Requests/The-SIPs) paired with the last BBO quote reported by \[UTP or CTA\](/Articles/Data-And-Requests/The-SIPs) at the time of trade. A quote is matched with a trade if its timestamp \`\`<=\`\` the trade timestamp. If you prefer to match quotes with timestamps that are \`\`<\`\` the trade timestamp, specify the \`\`exclusive\`\` parameter to \`\`true\`\`. Set the \`\`venue\`\` parameter to \`\`nqb\`\` to access current-day real-time historic data from the \[Nasdaq Basic feed\](/Articles/Data-And-Requests/The-SIPs) if the account has a \[stocks standard or pro subscription\](https://www.thetadata.net/subscribe.html#stocks). x-sample-urls: - url: http://localhost:25503/v3/stock/history/trade\_quote?symbol=AAPL&date=20240102 description: "Returns every trade quote for a given symbol between specified dates (inclusive)" - url: http://localhost:25503/v3/stock/history/trade\_quote?symbol=AAPL&date=20240102&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/single\_symbol" - $ref: "#/components/parameters/date" - $ref: "#/components/parameters/start\_time" - $ref: "#/components/parameters/end\_time" - $ref: "#/components/parameters/exclusive" - $ref: "#/components/parameters/venue" - $ref: "#/components/parameters/format" responses: '200': description: Returns every trade quote for a given symbol between specified dates (inclusive) content: text/csv: schema: type: array items: &items\_stock\_history\_trade\_quote type: object properties: trade\_timestamp: type: string format: date-time description: The trade date formated as YYYY-MM-DDTHH:mm:ss.SSS format. quote\_timestamp: type: string format: date-time description: The quote date formated as YYYY-MM-DDTHH:mm:ss.SSS format. sequence: type: integer description: The exchange \[sequence\](/Articles/Data-And-Requests/Making-Requests.html#trade-sequences). ext\_condition1: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext\_condition2: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext\_condition3: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext\_condition4: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. condition: type: integer description: The trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html). size: type: integer description: The amount of contracts / shares traded. exchange: type: integer description: The \[exchange\](/Articles/Errors-Exchanges-Conditions/Exchanges.html) the trade was executed. price: type: number description: The trade price. bid\_size: type: integer description: The last NBBO bid size. bid\_exchange: type: integer description: The last NBBO bid \[exchange\](/Articles/Errors-Exchanges-Conditions/Exchanges.html). bid: type: number description: The last NBBO bid price. bid\_condition: type: integer description: The last NBBO bid \[condition\](/Articles/Errors-Exchanges-Conditions/Quote-Conditions.html). ask\_size: type: integer description: The last NBBO ask size. ask\_exchange: type: integer description: The last NBBO ask \[exchange\](/Articles/Errors-Exchanges-Conditions/Exchanges.html). ask: type: number description: The last NBBO ask price. ask\_condition: type: integer description: The last NBBO ask \[condition\](/Articles/Errors-Exchanges-Conditions/Quote-Conditions.html). example: "trade\_timestamp,quote\_timestamp,sequence,ext\_condition1,ext\_condition2,ext\_condition3,ext\_condition4,condition,size,exchange,price,bid\_size,bid\_exchange,bid,bid\_condition,ask\_size,ask\_exchange,ask,ask\_condition\\r\\ \\n2023-01-03T09:30:00.002,2023-01-03T09:30:00.001,562,32,255,255,115,115,1,60,130.3300,4,7,130.2600,0,1,7,130.4000,0\\r\\ \\n2023-01-03T09:30:00.003,2023-01-03T09:30:00.002,563,32,255,255,115,115,24,60,130.3300,4,7,130.2600,0,1,7,130.4000,0\\r\\ \\n2023-01-03T09:30:00.003,2023-01-03T09:30:00.002,564,32,255,255,115,115,40,60,130.3300,4,7,130.2600,0,1,7,130.4000,0\\r\\ \\n2023-01-03T09:30:00.036,2023-01-03T09:30:00.017,6081,32,95,1,115,1,19,1,130.2500,4,7,130.2600,0,1,1,130.3900,0\\r\\ \\n2023-01-03T09:30:00.057,2023-01-03T09:30:00.017,6082,32,255,1,115,1,30,1,130.2500,4,7,130.2600,0,1,1,130.3900,0\\r\\ \\n" application/json: schema: &schema\_stock\_history\_trade\_quote type: array items: \*items\_stock\_history\_trade\_quote example: | { "response": \[ {"ask\_size":1,"trade\_timestamp":"2023-01-03T09:30:00.002","ask\_condition":0,"sequence":562,"condition":115,"size":1,"bid\_size":4,"ask\_exchange":7,"price":130.3300,"ext\_condition2":255,"bid\_exchange":7,"ask":130.4000,"quote\_timestamp":"2023-01-03T09:30:00.001","ext\_condition1":32,"ext\_condition4":115,"exchange":60,"ext\_condition3":255,"bid":130.2600,"bid\_condition":0}, {"ask\_size":1,"trade\_timestamp":"2023-01-03T09:30:00.003","ask\_condition":0,"sequence":563,"condition":115,"size":24,"bid\_size":4,"ask\_exchange":7,"price":130.3300,"ext\_condition2":255,"bid\_exchange":7,"ask":130.4000,"quote\_timestamp":"2023-01-03T09:30:00.002","ext\_condition1":32,"ext\_condition4":115,"exchange":60,"ext\_condition3":255,"bid":130.2600,"bid\_condition":0}, {"ask\_size":1,"trade\_timestamp":"2023-01-03T09:30:00.003","ask\_condition":0,"sequence":564,"condition":115,"size":40,"bid\_size":4,"ask\_exchange":7,"price":130.3300,"ext\_condition2":255,"bid\_exchange":7,"ask":130.4000,"quote\_timestamp":"2023-01-03T09:30:00.002","ext\_condition1":32,"ext\_condition4":115,"exchange":60,"ext\_condition3":255,"bid":130.2600,"bid\_condition":0}, {"ask\_size":1,"trade\_timestamp":"2023-01-03T09:30:00.036","ask\_condition":0,"sequence":6081,"condition":1,"size":19,"bid\_size":4,"ask\_exchange":1,"price":130.2500,"ext\_condition2":95,"bid\_exchange":7,"ask":130.3900,"quote\_timestamp":"2023-01-03T09:30:00.017","ext\_condition1":32,"ext\_condition4":115,"exchange":1,"ext\_condition3":1,"bid":130.2600,"bid\_condition":0}, {"ask\_size":1,"trade\_timestamp":"2023-01-03T09:30:00.057","ask\_condition":0,"sequence":6082,"condition":1,"size":30,"bid\_size":4,"ask\_exchange":1,"price":130.2500,"ext\_condition2":255,"bid\_exchange":7,"ask":130.3900,"quote\_timestamp":"2023-01-03T09:30:00.017","ext\_condition1":32,"ext\_condition4":115,"exchange":1,"ext\_condition3":1,"bid":130.2600,"bid\_condition":0} \] } application/x-ndjson: schema: \*schema\_stock\_history\_trade\_quote example: '{"ask\_size":1,"trade\_timestamp":"2023-01-03T09:30:00.002","ask\_condition":0,"sequence":562,"condition":115,"size":1,"bid\_size":4,"ask\_exchange":7,"price":130.3300,"ext\_condition2":255,"bid\_exchange":7,"ask":130.4000,"quote\_timestamp":"2023-01-03T09:30:00.001","ext\_condition1":32,"ext\_condition4":115,"exchange":60,"ext\_condition3":255,"bid":130.2600,"bid\_condition":0} {"ask\_size":1,"trade\_timestamp":"2023-01-03T09:30:00.003","ask\_condition":0,"sequence":563,"condition":115,"size":24,"bid\_size":4,"ask\_exchange":7,"price":130.3300,"ext\_condition2":255,"bid\_exchange":7,"ask":130.4000,"quote\_timestamp":"2023-01-03T09:30:00.002","ext\_condition1":32,"ext\_condition4":115,"exchange":60,"ext\_condition3":255,"bid":130.2600,"bid\_condition":0} {"ask\_size":1,"trade\_timestamp":"2023-01-03T09:30:00.003","ask\_condition":0,"sequence":564,"condition":115,"size":40,"bid\_size":4,"ask\_exchange":7,"price":130.3300,"ext\_condition2":255,"bid\_exchange":7,"ask":130.4000,"quote\_timestamp":"2023-01-03T09:30:00.002","ext\_condition1":32,"ext\_condition4":115,"exchange":60,"ext\_condition3":255,"bid":130.2600,"bid\_condition":0} {"ask\_size":1,"trade\_timestamp":"2023-01-03T09:30:00.036","ask\_condition":0,"sequence":6081,"condition":1,"size":19,"bid\_size":4,"ask\_exchange":1,"price":130.2500,"ext\_condition2":95,"bid\_exchange":7,"ask":130.3900,"quote\_timestamp":"2023-01-03T09:30:00.017","ext\_condition1":32,"ext\_condition4":115,"exchange":1,"ext\_condition3":1,"bid":130.2600,"bid\_condition":0} {"ask\_size":1,"trade\_timestamp":"2023-01-03T09:30:00.057","ask\_condition":0,"sequence":6082,"condition":1,"size":30,"bid\_size":4,"ask\_exchange":1,"price":130.2500,"ext\_condition2":255,"bid\_exchange":7,"ask":130.3900,"quote\_timestamp":"2023-01-03T09:30:00.017","ext\_condition1":32,"ext\_condition4":115,"exchange":1,"ext\_condition3":1,"bid":130.2600,"bid\_condition":0}' /stock/at\_time/trade: x-min-subscription: standard x-history-access: true get: summary: Trade operationId: stock\_at\_time\_trade tags: - Stock - At-Time description: | #### Real-time request: - Returns a real-time session from the \[Nasdaq Basic feed\](/Articles/Data-And-Requests/The-SIPs.html#nasdaq-basic) if the account has a \[stocks standard or pro subscription\](https://www.thetadata.net/subscribe.html#stocks). - Returns a 15-minute delayed session from the \[UTP & CTA feeds\](/Articles/Data-And-Requests/The-SIPs.html#equities-cta-utp) account has the \[stocks value subscription\](https://www.thetadata.net/subscribe.html#stocks) subscription. #### Historical request: Returns the last trade reported by \[UTP & CTA feeds\](/Articles/Data-And-Requests/The-SIPs.html#equities-cta-utp) at a specified millisecond of the day. Trade condition mappings can be found \[here\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html). x-sample-urls: - url: http://localhost:25503/v3/stock/at\_time/trade?symbol=SPY&start\_date=20240116&end\_date=20240116&time\_of\_day=09:30:00.100 description: "Returns the last trade for a given symbol and specified time of day" - url: http://localhost:25503/v3/stock/at\_time/trade?symbol=SPY&start\_date=20240116&end\_date=20240116&time\_of\_day=09:30:00.100&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/single\_symbol" - $ref: "#/components/parameters/start\_date" - $ref: "#/components/parameters/end\_date" - $ref: "#/components/parameters/time\_of\_day" - $ref: "#/components/parameters/venue" - $ref: "#/components/parameters/format" responses: '200': description: Returns the last trade for a given symbol and specified time of day content: text/csv: schema: type: array items: &items\_stock\_at\_time\_trade type: object properties: timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. sequence: type: integer description: The exchange \[sequence\](/Articles/Data-And-Requests/Making-Requests.html#trade-sequences). ext\_condition1: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext\_condition2: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext\_condition3: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext\_condition4: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. condition: type: integer description: The trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html). size: type: integer description: The amount of contracts / shares traded. exchange: type: integer description: The \[exchange\](/Articles/Errors-Exchanges-Conditions/Exchanges.html) the trade was executed. price: type: number description: The trade price. example: "timestamp,sequence,ext\_condition1,ext\_condition2,ext\_condition3,ext\_condition4,condition,size,exchange,price\\r\\ \\n2024-01-16T09:30:00.088,405549,255,255,255,115,115,1,57,475.280\\r\\n" application/json: schema: &schema\_stock\_at\_time\_trade type: array items: \*items\_stock\_at\_time\_trade example: | { "response": \[ {"sequence":405549,"condition":115,"size":1,"price":475.280,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":115,"exchange":57,"ext\_condition3":255,"timestamp":"2024-01-16T09:30:00.088"} \] } application/x-ndjson: schema: \*schema\_stock\_at\_time\_trade example: '{"sequence":405549,"condition":115,"size":1,"price":475.280,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":115,"exchange":57,"ext\_condition3":255,"timestamp":"2024-01-16T09:30:00.088"}' /stock/at\_time/quote: x-min-subscription: value x-history-access: true get: summary: Quote operationId: stock\_at\_time\_quote tags: - Stock - At-Time description: | #### Real-time request: - Subscription tier standard or higher will default to NQB. - Real-time last BBO quote at-time\_of\_day-time from the \[Nasdaq Basic feed\](/Articles/Data-And-Requests/The-SIPs.html#nasdaq-basic) if the account has a \[stocks standard or pro subscription\](https://www.thetadata.net/subscribe.html#stocks). - 15-minute delayed NBBO quote at-time\_of\_day-time from the \[UTP & CTA feeds\](/Articles/Data-And-Requests/The-SIPs.html#equities-cta-utp) account has the \[stocks value subscription\](https://www.thetadata.net/subscribe.html#stocks) subscription. #### Historical request: Returns the last NBBO quote reported by \[UTP & CTA feeds\](/Articles/Data-And-Requests/The-SIPs.html#equities-cta-utp) at a specified millisecond of the day. x-sample-urls: - url: http://localhost:25503/v3/stock/at\_time/quote?symbol=SPY&start\_date=20240116&end\_date=20240116&time\_of\_day=09:30:00.100 description: "Returns the last quote for a given symbol between specified dates (inclusive) with a one minute interval" - url: http://localhost:25503/v3/stock/at\_time/quote?symbol=SPY&start\_date=20240116&end\_date=20240116&time\_of\_day=09:30:00.100&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/single\_symbol" - $ref: "#/components/parameters/start\_date" - $ref: "#/components/parameters/end\_date" - $ref: "#/components/parameters/time\_of\_day" - $ref: "#/components/parameters/venue" - $ref: "#/components/parameters/format" responses: '200': description: Returns the last quote for a given symbol between specified dates (inclusive) with a one minute interval content: text/csv: schema: type: array items: &items\_stock\_at\_time\_quote type: object properties: timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. bid\_size: type: integer description: The last NBBO bid size. bid\_exchange: type: integer description: The last NBBO bid \[exchange\](/Articles/Errors-Exchanges-Conditions/Exchanges.html). bid: type: number description: The last NBBO bid price. bid\_condition: type: integer description: The last NBBO bid \[condition\](/Articles/Errors-Exchanges-Conditions/Quote-Conditions.html). ask\_size: type: integer description: The last NBBO ask size. ask\_exchange: type: integer description: The last NBBO ask \[exchange\](/Articles/Errors-Exchanges-Conditions/Exchanges.html). ask: type: number description: The last NBBO ask price. ask\_condition: type: integer description: The last NBBO ask \[condition\](/Articles/Errors-Exchanges-Conditions/Quote-Conditions.html). example: "timestamp,bid\_size,bid\_exchange,bid,bid\_condition,ask\_size,ask\_exchange,ask,ask\_condition\\r\\n2024-01-16T09:30:00.1,15,1,475.28,0,8,7,475.28,0\\r\\ \\n" application/json: schema: &schema\_stock\_at\_time\_quote type: array items: \*items\_stock\_at\_time\_quote example: | { "response": \[ {"ask\_size":8,"bid\_size":15,"ask\_exchange":7,"ask\_condition":0,"bid\_exchange":1,"ask":475.28,"bid":475.28,"bid\_condition":0,"timestamp":"2024-01-16T09:30:00.1"} \] } application/x-ndjson: schema: \*schema\_stock\_at\_time\_quote example: '{"ask\_size":8,"bid\_size":15,"ask\_exchange":7,"ask\_condition":0,"bid\_exchange":1,"ask":475.28,"bid":475.28,"bid\_condition":0,"timestamp":"2024-01-16T09:30:00.1"}' # # OPTIONS ENDPOINTS # /option/list/symbols: x-min-subscription: free get: summary: Symbols operationId: option\_list\_symbols tags: - Option - List description: | A symbol can be defined as a unique identifier for a stock / underlying asset. Common terms also include: root, ticker, and underlying. This endpoint returns all traded symbols for options. This endpoint is updated overnight. x-sample-urls: - url: http://localhost:25503/v3/option/list/symbols description: "List all symbols for options" - url: http://localhost:25503/v3/option/list/symbols?format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/format" responses: '200': description: List all symbols for options content: text/csv: schema: type: array items: &items\_option\_list\_symbols type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. example: "symbol\\r\\nA\\r\\nAA\\r\\nAAAP\\r\\nAAAU\\r\\nAABA\\r\\n" application/json: schema: &schema\_option\_list\_symbols type: array items: \*items\_option\_list\_symbols example: | { "response": \[ {"symbol":"A"}, {"symbol":"AA"}, {"symbol":"AAAP"}, {"symbol":"AAAU"}, {"symbol":"AABA"} \] } application/x-ndjson: schema: \*schema\_option\_list\_symbols example: '{"symbol":"A"} {"symbol":"AA"} {"symbol":"AAAP"} {"symbol":"AAAU"} {"symbol":"AABA"}' /option/list/dates/{request\_type}: x-min-subscription: free get: summary: Dates operationId: option\_list\_dates tags: - Option - List description: | Lists all dates of data that are available for an option with a given symbol, request type, and expiration. This endpoint is updated overnight. x-sample-urls: - url: http://localhost:25503/v3/option/list/dates/quote?symbol=AAPL&expiration=20220930 description: "List all dates for an option quote for a given symbol and expiration date" - url: http://localhost:25503/v3/option/list/dates/trade?symbol=AAPL&expiration=20220930 description: "List all dates for an option trade for a given symbol with any expiration date" - url: http://localhost:25503/v3/option/list/dates/trade?symbol=AAPL&expiration=20220930&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/request\_type" - $ref: "#/components/parameters/single\_symbol" - $ref: "#/components/parameters/expiration\_no\_star" - $ref: "#/components/parameters/strike" - $ref: "#/components/parameters/right" - $ref: "#/components/parameters/format" responses: '200': description: List all dates for an option quote for a given symbol and expiration date content: text/csv: schema: type: array items: &items\_option\_list\_dates type: object properties: date: type: string format: date description: The date formated as YYYY-MM-DD. example: "date\\r\\n2022-09-12\\r\\n2022-09-13\\r\\n2022-09-14\\r\\n2022-09-16\\r\\n2022-09-19\\r\\n" application/json: schema: &schema\_option\_list\_dates type: array items: \*items\_option\_list\_dates example: | { "response": \[ {"date":"2022-09-12"}, {"date":"2022-09-13"}, {"date":"2022-09-14"}, {"date":"2022-09-16"}, {"date":"2022-09-19"} \] } application/x-ndjson: schema: \*schema\_option\_list\_dates example: '{"date":"2022-09-12"} {"date":"2022-09-13"} {"date":"2022-09-14"} {"date":"2022-09-16"} {"date":"2022-09-19"}' /option/list/expirations: x-min-subscription: free get: summary: Expirations operationId: option\_list\_expirations tags: - Option - List description: | Lists all dates of expirations that are available for an option with a given symbol. This endpoint is updated overnight. x-sample-urls: - url: http://localhost:25503/v3/option/list/expirations?symbol=AAPL description: "List all expirations for an option with a given symbol" - url: http://localhost:25503/v3/option/list/expirations?symbol=AAPL&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/multi\_symbol" - $ref: "#/components/parameters/format" responses: '200': description: List all expirations for an option with a given symbol content: text/csv: schema: type: array items: &items\_option\_list\_expirations type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. example: "symbol,expiration\\r\\nAAPL,2012-06-01\\r\\nAAPL,2012-06-08\\r\\nAAPL,2012-06-16\\r\\nAAPL,2012-06-22\\r\\n\\ AAPL,2012-06-29\\r\\n" application/json: schema: &schema\_option\_list\_expirations type: array items: \*items\_option\_list\_expirations example: | { "response": \[ {"symbol":"AAPL","expiration":"2012-06-01"}, {"symbol":"AAPL","expiration":"2012-06-08"}, {"symbol":"AAPL","expiration":"2012-06-16"}, {"symbol":"AAPL","expiration":"2012-06-22"}, {"symbol":"AAPL","expiration":"2012-06-29"} \] } application/x-ndjson: schema: \*schema\_option\_list\_expirations example: '{"symbol":"AAPL","expiration":"2012-06-01"} {"symbol":"AAPL","expiration":"2012-06-08"} {"symbol":"AAPL","expiration":"2012-06-16"} {"symbol":"AAPL","expiration":"2012-06-22"} {"symbol":"AAPL","expiration":"2012-06-29"}' /option/list/strikes: x-min-subscription: free get: summary: Strikes operationId: option\_list\_strikes tags: - Option - List description: | Lists all strikes that are available for an option with a given symbol and expiration date. This endpoint is updated overnight. x-sample-urls: - url: http://localhost:25503/v3/option/list/strikes?symbol=AAPL&expiration=20220930 description: "List all strikes for an option with a given symbol and expiration date" - url: http://localhost:25503/v3/option/list/strikes?symbol=AAPL&expiration=20220930&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/multi\_symbol" - $ref: "#/components/parameters/expiration\_no\_star" - $ref: "#/components/parameters/format" responses: '200': description: List all strikes for an option with a given symbol and expiration date content: text/csv: schema: type: array items: &items\_option\_list\_strikes type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. strike: type: number description: Strike price of the contract in dollars 180.00 example: "symbol,strike\\r\\nAAPL,80.000\\r\\nAAPL,128.000\\r\\nAAPL,160.000\\r\\nAAPL,144.000\\r\\nAAPL,240.000\\r\\n" application/json: schema: &schema\_option\_list\_strikes type: array items: \*items\_option\_list\_strikes example: | { "response": \[ {"symbol":"AAPL","strike":80.000}, {"symbol":"AAPL","strike":128.000}, {"symbol":"AAPL","strike":160.000}, {"symbol":"AAPL","strike":144.000}, {"symbol":"AAPL","strike":240.000} \] } application/x-ndjson: schema: \*schema\_option\_list\_strikes example: '{"symbol":"AAPL","strike":80.000} {"symbol":"AAPL","strike":128.000} {"symbol":"AAPL","strike":160.000} {"symbol":"AAPL","strike":144.000} {"symbol":"AAPL","strike":240.000}' /option/list/contracts/{request\_type}: x-min-subscription: value x-history-access: true get: summary: Contracts operationId: option\_list\_contracts tags: - Option - List description: | Lists all contracts that were traded or quoted on a particular date. If the \`\`symbol\`\` parameter is specified, the returned contracts will be filtered to match the symbol. Multiple symbols can be specified by separating them with commas such as \`\`symbol=AAPL,SPY,AMD\`\` This endpoint is updated real-time. x-sample-urls: - url: http://localhost:25503/v3/option/list/contracts/trade?date=20220930 description: "List all contracts for an option trade with a given date" - url: http://localhost:25503/v3/option/list/contracts/quote?symbol=AAPL&date=20220930 description: "List all contracts for an option quote with a given symbol and date" - url: http://localhost:25503/v3/option/list/contracts/quote?symbol=AAPL&date=20220930&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/request\_type" - $ref: "#/components/parameters/opt\_multi\_symbol" - $ref: "#/components/parameters/date" - $ref: "#/components/parameters/max\_dte" - $ref: "#/components/parameters/format" responses: '200': description: List all contracts for an option trade with a given date content: text/csv: schema: type: array items: &items\_option\_list\_contracts type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. example: "symbol,expiration,strike,right\\r\\nABNB,2023-06-16,260.000,CALL\\r\\nAAPL,2023-06-16,260.000,CALL\\r\\n\\ AAL,2022-09-30,14.500,CALL\\r\\nABNB,2022-11-04,80.000,PUT\\r\\nAAPL,2022-11-04,80.000,PUT\\r\\n" application/json: schema: &schema\_option\_list\_contracts type: array items: \*items\_option\_list\_contracts example: | { "response": \[ {"symbol":"ABNB","strike":260.000,"expiration":"2023-06-16","right":"CALL"}, {"symbol":"AAPL","strike":260.000,"expiration":"2023-06-16","right":"CALL"}, {"symbol":"AAL","strike":14.500,"expiration":"2022-09-30","right":"CALL"}, {"symbol":"ABNB","strike":80.000,"expiration":"2022-11-04","right":"PUT"}, {"symbol":"AAPL","strike":80.000,"expiration":"2022-11-04","right":"PUT"} \] } application/x-ndjson: schema: \*schema\_option\_list\_contracts example: '{"symbol":"ABNB","strike":260.000,"expiration":"2023-06-16","right":"CALL"} {"symbol":"AAPL","strike":260.000,"expiration":"2023-06-16","right":"CALL"} {"symbol":"AAL","strike":14.500,"expiration":"2022-09-30","right":"CALL"} {"symbol":"ABNB","strike":80.000,"expiration":"2022-11-04","right":"PUT"} {"symbol":"AAPL","strike":80.000,"expiration":"2022-11-04","right":"PUT"}' /option/snapshot/ohlc: x-min-subscription: value get: summary: Open High Low Close operationId: option\_snapshot\_ohlc tags: - Option - Snapshot description: | - Retrieve a real-time last ohlc of an option contract for the trading day. - You might need to change the default expiration date to a different date if it is past the current date. x-sample-urls: - url: http://localhost:25503/v3/option/snapshot/ohlc?symbol=AAPL&expiration=20260116&right=call&strike=275.000 description: "Returns OHLC for a given option contract" - url: http://localhost:25503/v3/option/snapshot/ohlc?symbol=AAPL&expiration=\* description: "Returns OHLC for all option contracts" - url: http://localhost:25503/v3/option/snapshot/ohlc?symbol=AAPL&expiration=\*&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/single\_symbol" - $ref: "#/components/parameters/expiration" - $ref: "#/components/parameters/strike" - $ref: "#/components/parameters/right" - $ref: "#/components/parameters/max\_dte" - $ref: "#/components/parameters/strike\_range" - $ref: "#/components/parameters/format" responses: '200': description: Returns OHLC for a given option contract content: text/csv: schema: type: array items: &items\_option\_snapshot\_ohlc type: object properties: timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. open: type: number description: The opening trade price. high: type: number description: The highest traded price. low: type: number description: The lowest traded price. close: type: number description: The closing traded price. volume: type: integer description: The amount of contracts / shares traded. count: type: integer description: The amount of trades. example: "timestamp,symbol,expiration,strike,right,open,high,low,close,volume,count\\r\\n2025-08-20T15:25:31.03,AAPL,2026-01-16,275.000,CALL,1.78,1.78,1.51,1.51,202,29\\r\\ \\n" application/json: schema: &schema\_option\_snapshot\_ohlc type: array items: \*items\_option\_snapshot\_ohlc example: | { "response": \[ { "contract": {"symbol":"AAPL","expiration":"2026-01-16","strike":275.000,"right":"CALL"}, "data": \[ {"volume":202,"high":1.78,"low":1.51,"count":29,"close":1.51,"open":1.78,"timestamp":"2025-08-20T15:25:31.03"} \] } \] } application/x-ndjson: schema: \*schema\_option\_snapshot\_ohlc example: '{"volume":202,"symbol":"AAPL","high":1.78,"low":1.51,"strike":275.000,"count":29,"expiration":"2026-01-16","right":"CALL","close":1.51,"open":1.78,"timestamp":"2025-08-20T15:25:31.03"}' /option/snapshot/trade: x-min-subscription: standard get: summary: Trade operationId: option\_snapshot\_trade tags: - Option - Snapshot description: | - Retrieve the real-time last trade of an option contract. - You might need to change the default expiration date to a different date if it is past the current date. - This endpoint will return no data if the market was closed for the day. Theta Data resets the snapshot cache at midnight ET every night. x-sample-urls: - url: http://localhost:25503/v3/option/snapshot/trade?symbol=AAPL&expiration=2026-01-16&right=call&strike=275.000 description: "Returns last trade for an option contract" - url: http://localhost:25503/v3/option/snapshot/trade?symbol=AAPL&expiration=2026-01-16 description: "Returns last trade for all option contracts with an expiration of 2026-01-16" - url: http://localhost:25503/v3/option/snapshot/trade?symbol=AAPL&expiration=2026-01-16&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/single\_symbol" - $ref: "#/components/parameters/expiration\_no\_star" - $ref: "#/components/parameters/strike" - $ref: "#/components/parameters/right" - $ref: "#/components/parameters/strike\_range" # - $ref: "#/components/parameters/max\_dte" expiration=\* not yet supported in v3 - $ref: "#/components/parameters/format" responses: '200': description: Returns last NBBO quote for an option contract content: text/csv: schema: type: array items: &items\_option\_snapshot\_trade type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. sequence: type: integer description: The exchange \[sequence\](/Articles/Data-And-Requests/Making-Requests.html#trade-sequences). ext\_condition1: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext\_condition2: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext\_condition3: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext\_condition4: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. condition: type: integer description: The trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html). size: type: integer description: The amount of contracts / shares traded. exchange: type: integer description: The \[exchange\](/Articles/Errors-Exchanges-Conditions/Exchanges.html) the trade was executed. price: type: number description: The trade price. example: "symbol,expiration,strike,right,timestamp,sequence,ext\_condition1,ext\_condition2,ext\_condition3,ext\_condition4,condition,size,exchange,price\\r\\ \\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:30:00.471,18902138,255,255,255,255,130,2,22,3.90\\r\\n" application/json: schema: &schema\_option\_snapshot\_trade type: array items: \*items\_option\_snapshot\_trade example: | { "response": \[ { "contract": {"symbol":"AAPL","strike":220.000,"right":"CALL","expiration":"2024-11-08"}, "data": \[ {"sequence":18902138,"condition":130,"size":2,"price":3.90,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":255,"exchange":22,"ext\_condition3":255,"timestamp":"2024-11-04T09:30:00.471"} \] } \] } application/x-ndjson: schema: \*schema\_option\_snapshot\_trade example: '{"symbol":"AAPL","strike":220.000,"right":"CALL","sequence":18902138,"condition":130,"size":2,"price":3.90,"ext\_condition2":255,"ext\_condition1":255,"expiration":"2024-11-08","ext\_condition4":255,"exchange":22,"ext\_condition3":255,"timestamp":"2024-11-04T09:30:00.471"}' /option/snapshot/quote: x-min-subscription: value get: summary: Quote operationId: option\_snapshot\_quote tags: - Option - Snapshot description: | - Retrieve a real-time last NBBO quote of an option contract. - You might need to change the default expiration date to a different date if it is past the current date. - This endpoint will return no data if the market was closed for the day. Theta Data resets the snapshot cache at midnight ET every night. x-sample-urls: - url: http://localhost:25503/v3/option/snapshot/quote?symbol=AAPL&expiration=20260116&right=call&strike=275.000 description: "Returns last NBBO quote for an option contract" - url: http://localhost:25503/v3/option/snapshot/quote?symbol=AAPL&expiration=\* description: "Returns last NBBO quote for all option contracts" - url: http://localhost:25503/v3/option/snapshot/quote?symbol=AAPL&expiration=\*&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/single\_symbol" - $ref: "#/components/parameters/expiration" - $ref: "#/components/parameters/strike" - $ref: "#/components/parameters/right" - $ref: "#/components/parameters/max\_dte" - $ref: "#/components/parameters/strike\_range" - $ref: "#/components/parameters/format" responses: '200': description: Returns last NBBO quote for an option contract content: text/csv: schema: type: array items: &items\_option\_snapshot\_quote type: object properties: timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. bid\_size: type: integer description: The last NBBO bid size. bid\_exchange: type: integer description: The last NBBO bid \[exchange\](/Articles/Errors-Exchanges-Conditions/Exchanges.html). bid: type: number description: The last NBBO bid price. bid\_condition: type: integer description: The last NBBO bid \[condition\](/Articles/Errors-Exchanges-Conditions/Quote-Conditions.html). ask\_size: type: integer description: The last NBBO ask size. ask\_exchange: type: integer description: The last NBBO ask \[exchange\](/Articles/Errors-Exchanges-Conditions/Exchanges.html). ask: type: number description: The last NBBO ask price. ask\_condition: type: integer description: The last NBBO ask \[condition\](/Articles/Errors-Exchanges-Conditions/Quote-Conditions.html). example: "timestamp,symbol,expiration,strike,right,bid\_size,bid\_exchange,bid,bid\_condition,ask\_size,ask\_exchange,ask,ask\_condition\\r\\ \\n2025-08-20T15:59:59.805,AAPL,2026-01-16,275.000,CALL,5,6,1.47,50,25,6,1.50,50\\r\\n" application/json: schema: &schema\_option\_snapshot\_quote type: array items: \*items\_option\_snapshot\_quote example: | { "response": \[ { "contract": {"symbol":"AAPL","strike":275.000,"right":"CALL","expiration":"2026-01-16"}, "data": \[ {"ask\_size":25,"ask\_condition":50,"bid\_size":5,"ask\_exchange":6,"bid\_exchange":6,"ask":1.50,"bid":1.47,"bid\_condition":50,"timestamp":"2025-08-20T15:59:59.805"} \] } \] } application/x-ndjson: schema: \*schema\_option\_snapshot\_quote example: '{"symbol":"AAPL","ask\_size":25,"ask\_condition":50,"strike":275.000,"right":"CALL","bid\_size":5,"ask\_exchange":6,"bid\_exchange":6,"ask":1.50,"expiration":"2026-01-16","bid":1.47,"bid\_condition":50,"timestamp":"2025-08-20T15:59:59.805"}' /option/snapshot/open\_interest: x-min-subscription: value get: summary: Open Interest operationId: option\_snapshot\_open\_interest tags: - Option - Snapshot description: | - Retrieve the last open interest message of an option contract. - Open interest is reported around 06:30 ET every morning by OPRA and reflects the open interest at the of the previous trading day. - You might need to change the default expiration date to a different date if it is past the current date. - This endpoint will return no data if the market was closed for the day. Theta Data resets the snapshot cache at midnight ET every night. x-sample-urls: - url: http://localhost:25503/v3/option/snapshot/open\_interest?symbol=AAPL&expiration=20260116&right=call&strike=275.00 description: "Returns open interest for an option contract" - url: http://localhost:25503/v3/option/snapshot/open\_interest?symbol=AAPL&expiration=\* description: "Returns open interest for all option contracts" - url: http://localhost:25503/v3/option/snapshot/open\_interest?symbol=AAPL&expiration=\*&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/single\_symbol" - $ref: "#/components/parameters/expiration" - $ref: "#/components/parameters/strike" - $ref: "#/components/parameters/right" - $ref: "#/components/parameters/max\_dte" - $ref: "#/components/parameters/strike\_range" - $ref: "#/components/parameters/format" responses: '200': description: Returns open interest for an option contract content: text/csv: schema: type: array items: &items\_option\_snapshot\_open\_interest type: object properties: timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. open\_interest: type: integer description: The total amount of outstanding contracts. example: "timestamp,symbol,expiration,strike,right,open\_interest\\r\\n2025-08-20T06:30:13,AAPL,2026-01-16,275.000,CALL,8066\\r\\ \\n" application/json: schema: &schema\_option\_snapshot\_open\_interest type: array items: \*items\_option\_snapshot\_open\_interest example: | { "response": \[ { "contract": {"symbol":"AAPL","strike":275.000,"expiration":"2026-01-16","right":"CALL"}, "data": \[ {"open\_interest":8066,"timestamp":"2025-08-20T06:30:13"} \] } \] } application/x-ndjson: schema: \*schema\_option\_snapshot\_open\_interest example: '{"symbol":"AAPL","strike":275.000,"open\_interest":8066,"expiration":"2026-01-16","right":"CALL","timestamp":"2025-08-20T06:30:13"}' /option/snapshot/market\_value: x-min-subscription: standard get: summary: Market Value operationId: option\_snapshot\_market\_value tags: - Option - Snapshot description: | \* Returns a real-time market value derived from the last NBBO quote of an option contract. x-sample-urls: - url: http://localhost:25503/v3/option/snapshot/market\_value?symbol=AAPL&expiration=\* description: "Returns last market value for all option contracts for a given symbol" - url: http://localhost:25503/v3/option/snapshot/market\_value?symbol=AAPL&expiration=\*&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/single\_symbol" - $ref: "#/components/parameters/expiration" - $ref: "#/components/parameters/strike" - $ref: "#/components/parameters/right" - $ref: "#/components/parameters/max\_dte" - $ref: "#/components/parameters/strike\_range" - $ref: "#/components/parameters/format" responses: '200': description: Returns last market value for an option contract content: text/csv: schema: type: array items: &items\_option\_snapshot\_market\_value type: object properties: timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. market\_bid: type: number description: The last market bid market\_ask: type: number description: The last market ask market\_price: type: number description: The last market value price example: "timestamp,symbol,expiration,strike,right,market\_bid,market\_ask,market\_price\\r\\ \\n2025-12-16T11:56:30.811,AAPL,2026-01-16,275.000,CALL,6.01,6.09,6.05" application/json: schema: &schema\_option\_snapshot\_market\_value type: array items: \*items\_option\_snapshot\_market\_value example: | { "response": \[ { "contract": {"symbol":"AAPL","strike":275.000,"right":"CALL","expiration":"2026-01-16"}, "data": \[ {"market\_bid":6.01,"market\_ask":6.09,"market\_price":6.05} \] } \] } application/x-ndjson: schema: \*schema\_option\_snapshot\_market\_value example: '{"symbol":"AAPL","strike":275.000,"right":"CALL","expiration":"2026-01-16","market\_bid":6.01,"market\_ask":6.09,"market\_price":6.05}' /option/snapshot/greeks/implied\_volatility: x-min-subscription: standard get: summary: Implied Volatility operationId: option\_snapshot\_greeks\_implied\_volatility tags: - Option - Snapshot description: | Returns implied volatilies calculated using the national best bid, mid, and ask price of the option respectively. The underlying price represents whatever the last underlying price was at the \`\`underlying\_timestamp\`\` field. You can read more about how Theta Data calculates greeks \[here\](/Articles/Data-And-Requests/Option-Greeks.html). x-sample-urls: - url: http://localhost:25503/v3/option/snapshot/greeks/implied\_volatility?symbol=AAPL&expiration=20260116&strike=275.000&right=call description: "Returns implied volatility for an option contract" - url: http://localhost:25503/v3/option/snapshot/greeks/implied\_volatility?symbol=AAPL&expiration=\* description: "Returns implied volatility for all option contracts" - url: http://localhost:25503/v3/option/snapshot/greeks/implied\_volatility?symbol=AAPL&expiration=\*&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/single\_symbol" - $ref: "#/components/parameters/expiration" - $ref: "#/components/parameters/strike" - $ref: "#/components/parameters/right" - $ref: "#/components/parameters/annual\_dividend" - $ref: "#/components/parameters/rate\_type" - $ref: "#/components/parameters/rate\_value" - $ref: "#/components/parameters/stock\_price" - $ref: "#/components/parameters/greeks\_version" - $ref: "#/components/parameters/max\_dte" - $ref: "#/components/parameters/strike\_range" - $ref: "#/components/parameters/format" responses: '200': description: Returns implied volatility for an option contract content: text/csv: schema: type: array items: &items\_option\_snapshot\_greeks\_implied\_volatility type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. bid: type: number description: The last NBBO bid price. ask: type: number description: The last NBBO ask price. implied\_vol: type: number description: The implied volatiltiy calculated using the trade price. iv\_error: type: string description: 'IV Error: the value of the option calculated using the implied volatiltiy divided by the actual value reported in the quote. This value will increase as the strike price recedes from the underlying price.' underlying\_timestamp: type: string format: date-time description: The underlying date formated as YYYY-MM-DDTHH:mm:ss.SSS format. underlying\_price: type: number description: The midpoint of the underlying at the time of the option trade. example: "symbol,expiration,strike,right,timestamp,bid,ask,implied\_vol,iv\_error,underlying\_timestamp,underlying\_price\\r\\ \\nAAPL,2026-01-16,275.000,CALL,2025-08-20T15:59:59.805,1.47,1.50,0.2142,-0.0003,2025-08-20T16:36:52.257,225.74\\r\\ \\n" application/json: schema: &schema\_option\_snapshot\_greeks\_implied\_volatility type: array items: \*items\_option\_snapshot\_greeks\_implied\_volatility example: | { "response": \[ { "contract": {"symbol":"AAPL","expiration":"2026-01-16","strike":275.000,"right":"CALL"}, "data": \[ {"underlying\_price":225.74,"ask":1.50,"implied\_vol":0.2142,"bid":1.47,"underlying\_timestamp":"2025-08-20T16:36:52.257","iv\_error":-0.0003,"timestamp":"2025-08-20T15:59:59.805"} \] } \] } application/x-ndjson: schema: \*schema\_option\_snapshot\_greeks\_implied\_volatility example: '{"symbol":"AAPL","underlying\_price":225.74,"strike":275.000,"ask":1.50,"expiration":"2026-01-16","right":"CALL","implied\_vol":0.2142,"bid":1.47,"underlying\_timestamp":"2025-08-20T16:36:52.257","iv\_error":-0.0003,"timestamp":"2025-08-20T15:59:59.805"}' # /option/snapshot/trade\_greeks/implied\_volatility: # x-min-subscription: professional # get: # operationId: option\_snapshot\_trade\_greeks\_implied\_volatility # tags: # - Option # - Snapshot # description: "" # parameters: # - $ref: "#/components/parameters/single\_symbol" # - $ref: "#/components/parameters/expiration" # - $ref: "#/components/parameters/strike" # - $ref: "#/components/parameters/right" # - $ref: "#/components/parameters/annual\_dividend" # - $ref: "#/components/parameters/rate\_type" # - $ref: "#/components/parameters/rate\_value" # - $ref: "#/components/parameters/stock\_price" # - $ref: "#/components/parameters/format" # responses: # "200": # $ref: "#/components/responses/200\_OK" /option/snapshot/greeks/all: x-min-subscription: professional get: summary: All Greeks operationId: option\_snapshot\_greeks\_all tags: - Option - Snapshot description: | - Retrieve a real-time last greeks calculation for all option contracts that lie on a provided expiration. - You might need to change the default expiration date to a different date if it is past the current date. Some quotes are omitted in the example to reduce the space of the sample output. - Make \`expiration\` \* if you want to get the snapshot for every expiration chain for the underlying. > This endpoint will return no data if the market was closed for the day. Theta Data resets the snapshot cache at midnight ET every night. x-sample-urls: - url: http://localhost:25503/v3/option/snapshot/greeks/all?symbol=AAPL&expiration=2026-05-15&strike=170.00&right=call description: "Returns all greeks for an option contract" - url: http://localhost:25503/v3/option/snapshot/greeks/all?symbol=AAPL&expiration=\* description: "Returns all greeks for all option contracts" - url: http://localhost:25503/v3/option/snapshot/greeks/all?symbol=AAPL&expiration=\*&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/single\_symbol" - $ref: "#/components/parameters/expiration" - $ref: "#/components/parameters/strike" - $ref: "#/components/parameters/right" - $ref: "#/components/parameters/annual\_dividend" - $ref: "#/components/parameters/rate\_type" - $ref: "#/components/parameters/rate\_value" - $ref: "#/components/parameters/stock\_price" - $ref: "#/components/parameters/greeks\_version" - $ref: "#/components/parameters/max\_dte" - $ref: "#/components/parameters/strike\_range" - $ref: "#/components/parameters/format" responses: '200': description: Returns all greeks for an option contract content: text/csv: schema: type: array items: &items\_option\_snapshot\_greeks\_all type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. bid: type: number description: The last NBBO bid price. ask: type: number description: The last NBBO ask price. delta: type: number description: The delta. theta: type: string description: The Theta. vega: type: number description: The vega. rho: type: number description: The rho. epsilon: type: string description: The epsilon. lambda: type: number description: The lambda. gamma: type: number description: The gamma. vanna: type: string description: The vanna. charm: type: number description: The charm. vomma: type: number description: The vomma. veta: type: number description: The veta. vera: type: number description: The vera. speed: type: number description: The speed. zomma: type: number description: The zomma. color: type: string description: The color. ultima: type: string description: The ultima. d1: type: number description: The d1. d2: type: number description: The d2. dual\_delta: type: string description: The dual delta. dual\_gamma: type: number description: The dual gamma. implied\_vol: type: number description: The implied volatiltiy calculated using the trade price. iv\_error: type: number description: 'IV Error: the value of the option calculated using the implied volatiltiy divided by the actual value reported in the quote. This value will increase as the strike price recedes from the underlying price.' underlying\_timestamp: type: string format: date-time description: The underlying date formated as YYYY-MM-DDTHH:mm:ss.SSS format. underlying\_price: type: number description: The midpoint of the underlying at the time of the option trade. example: "symbol,expiration,strike,right,timestamp,bid,ask,delta,theta,vega,rho,epsilon,lambda,gamma,vanna,charm,vomma,veta,vera,speed,zomma,color,ultima,d1,d2,dual\_delta,dual\_gamma,implied\_vol,iv\_error,underlying\_timestamp,underlying\_price\\r\\ \\nAAPL,2026-05-15,170.000,CALL,2025-08-20T15:59:59.677,63.65,64.25,0.9085,-0.0352,31.7235,103.2513,-150.0314,3.2071,0.0027,-0.5710,0.0925,146.8562,22.9525,0.0000,0.0000,0.0000,-0.0816,-100.0000,1.3319,1.0689,-0.8302,0.0003,0.3075,0.0000,2025-08-20T16:36:52.257,225.74\\r\\ \\n" application/json: schema: &schema\_option\_snapshot\_greeks\_all type: array items: \*items\_option\_snapshot\_greeks\_all example: | { "response": \[ { "contract": {"symbol":"AAPL","expiration":"2026-05-15","strike":170.000,"right":"CALL"}, "data": \[ {"dual\_delta":-0.8302,"color":-0.0816,"zomma":0.0000,"delta":0.9085,"implied\_vol":0.3075,"theta":-0.0352,"d1":1.3319,"speed":0.0000,"d2":1.0689,"epsilon":-150.0314,"lambda":3.2071,"vomma":146.8562,"underlying\_timestamp":"2025-08-20T16:36:52.257","timestamp":"2025-08-20T15:59:59.677","underlying\_price":225.74,"vera":0.0000,"veta":22.9525,"iv\_error":0.0000,"ultima":-100.0000,"charm":0.0925,"ask":64.25,"rho":103.2513,"vanna":-0.5710,"dual\_gamma":0.0003,"bid":63.65,"vega":31.7235,"gamma":0.0027} \] } \] } application/x-ndjson: schema: \*schema\_option\_snapshot\_greeks\_all example: '{"symbol":"AAPL","dual\_delta":-0.8302,"color":-0.0816,"zomma":0.0000,"delta":0.9085,"implied\_vol":0.3075,"theta":-0.0352,"d1":1.3319,"speed":0.0000,"d2":1.0689,"epsilon":-150.0314,"lambda":3.2071,"vomma":146.8562,"underlying\_timestamp":"2025-08-20T16:36:52.257","timestamp":"2025-08-20T15:59:59.677","underlying\_price":225.74,"strike":170.000,"vera":0.0000,"right":"CALL","veta":22.9525,"iv\_error":0.0000,"ultima":-100.0000,"charm":0.0925,"ask":64.25,"rho":103.2513,"expiration":"2026-05-15","vanna":-0.5710,"dual\_gamma":0.0003,"bid":63.65,"vega":31.7235,"gamma":0.0027}' # /option/snapshot/trade\_greeks/all: # x-min-subscription: professional # get: # operationId: option\_snapshot\_trade\_greeks\_all # tags: # - Option # - Snapshot # description: "" # parameters: # - $ref: "#/components/parameters/single\_symbol" # - $ref: "#/components/parameters/expiration" # - $ref: "#/components/parameters/strike" # - $ref: "#/components/parameters/right" # - $ref: "#/components/parameters/annual\_dividend" # - $ref: "#/components/parameters/rate\_type" # - $ref: "#/components/parameters/rate\_value" # - $ref: "#/components/parameters/stock\_price" # - $ref: "#/components/parameters/format" # responses: # "200": # $ref: "#/components/responses/200\_OK" /option/snapshot/greeks/first\_order: x-min-subscription: standard get: summary: First Order Greeks operationId: option\_snapshot\_greeks\_first\_order tags: - Option - Snapshot description: | - Retrieve a real-time last greeks calculation for all option contracts that lie on a provided expiration. - You might need to change the default expiration date to a different date if it is past the current date. Some quotes are omitted in the example to reduce the space of the sample output. - Make \`expiration\` \* if you want to get the snapshot for every expiration chain for the underlying. > This endpoint will return no data if the market was closed for the day. Theta Data resets the snapshot cache at midnight ET every night. x-sample-urls: - url: http://localhost:25503/v3/option/snapshot/greeks/first\_order?symbol=AAPL&expiration=20260116&strike=275.000&right=call description: "Returns first order greeks for an option contract" - url: http://localhost:25503/v3/option/snapshot/greeks/first\_order?symbol=AAPL&expiration=\* description: "Returns first order greeks for all option contracts" - url: http://localhost:25503/v3/option/snapshot/greeks/first\_order?symbol=AAPL&expiration=\*&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/single\_symbol" - $ref: "#/components/parameters/expiration" - $ref: "#/components/parameters/strike" - $ref: "#/components/parameters/right" - $ref: "#/components/parameters/annual\_dividend" - $ref: "#/components/parameters/rate\_type" - $ref: "#/components/parameters/rate\_value" - $ref: "#/components/parameters/stock\_price" - $ref: "#/components/parameters/greeks\_version" - $ref: "#/components/parameters/max\_dte" - $ref: "#/components/parameters/strike\_range" - $ref: "#/components/parameters/format" responses: '200': description: Returns first order greeks for an option contract content: text/csv: schema: type: array items: &items\_option\_snapshot\_greeks\_first\_order type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. bid: type: number description: The last NBBO bid price. ask: type: number description: The last NBBO ask price. delta: type: number description: The delta. theta: type: string description: The Theta. vega: type: number description: The vega. rho: type: number description: The rho. epsilon: type: string description: The epsilon. lambda: type: number description: The lambda. implied\_vol: type: number description: The implied volatiltiy calculated using the trade price. iv\_error: type: string description: 'IV Error: the value of the option calculated using the implied volatiltiy divided by the actual value reported in the quote. This value will increase as the strike price recedes from the underlying price.' underlying\_timestamp: type: string format: date-time description: The underlying date formated as YYYY-MM-DDTHH:mm:ss.SSS format. underlying\_price: type: number description: The midpoint of the underlying at the time of the option trade. example: "symbol,expiration,strike,right,timestamp,bid,ask,delta,theta,vega,rho,epsilon,lambda,implied\_vol,iv\_error,underlying\_timestamp,underlying\_price\\r\\ \\nAAPL,2026-01-16,275.000,CALL,2025-08-20T15:59:59.805,1.47,1.50,0.1060,-0.0217,26.3226,9.1050,-9.7049,16.1782,0.2142,-0.0003,2025-08-20T16:37:06.988,225.74\\r\\ \\n" application/json: schema: &schema\_option\_snapshot\_greeks\_first\_order type: array items: \*items\_option\_snapshot\_greeks\_first\_order example: | { "response": \[ { "contract": {"symbol":"AAPL","strike":275.000,"right":"CALL","expiration":"2026-01-16"}, "data": \[ {"underlying\_price":225.74,"delta":0.1060,"implied\_vol":0.2142,"theta":-0.0217,"iv\_error":-0.0003,"epsilon":-9.7049,"lambda":16.1782,"ask":1.50,"rho":9.1050,"bid":1.47,"underlying\_timestamp":"2025-08-20T16:37:06.988","vega":26.3226,"timestamp":"2025-08-20T15:59:59.805"} \] } \] } application/x-ndjson: schema: \*schema\_option\_snapshot\_greeks\_first\_order example: '{"symbol":"AAPL","underlying\_price":225.74,"strike":275.000,"delta":0.1060,"right":"CALL","implied\_vol":0.2142,"theta":-0.0217,"iv\_error":-0.0003,"epsilon":-9.7049,"lambda":16.1782,"ask":1.50,"rho":9.1050,"expiration":"2026-01-16","bid":1.47,"underlying\_timestamp":"2025-08-20T16:37:06.988","vega":26.3226,"timestamp":"2025-08-20T15:59:59.805"}' # /option/snapshot/trade\_greeks/first\_order: # x-min-subscription: professional # get: # operationId: option\_snapshot\_trade\_greeks\_first\_order # tags: # - Option # - Snapshot # description: "" # parameters: # - $ref: "#/components/parameters/single\_symbol" # - $ref: "#/components/parameters/expiration" # - $ref: "#/components/parameters/strike" # - $ref: "#/components/parameters/right" # - $ref: "#/components/parameters/annual\_dividend" # - $ref: "#/components/parameters/rate\_type" # - $ref: "#/components/parameters/rate\_value" # - $ref: "#/components/parameters/stock\_price" # - $ref: "#/components/parameters/format" # responses: # "200": # $ref: "#/components/responses/200\_OK" /option/snapshot/greeks/second\_order: x-min-subscription: professional get: summary: Second Order Greeks operationId: option\_snapshot\_greeks\_second\_order tags: - Option - Snapshot description: | - Retrieve a real-time last second order greeks calculation for all option contracts that lie on a provided expiration. - You might need to change the default expiration date to a different date if it is past the current date. Some quotes are omitted in the example to reduce the space of the sample output. - Make \`expiration\` \* if you want to get the snapshot for every expiration chain for the underlying. > This endpoint will return no data if the market was closed for the day. Theta Data resets the snapshot cache at midnight ET every night. x-sample-urls: - url: http://localhost:25503/v3/option/snapshot/greeks/second\_order?symbol=AAPL&expiration=20260116&strike=275.00 description: "Returns second order greeks for an option contract" - url: http://localhost:25503/v3/option/snapshot/greeks/second\_order?symbol=AAPL&expiration=\* description: "Returns second order greeks for all option contracts" - url: http://localhost:25503/v3/option/snapshot/greeks/second\_order?symbol=AAPL&expiration=\*&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/single\_symbol" - $ref: "#/components/parameters/expiration" - $ref: "#/components/parameters/strike" - $ref: "#/components/parameters/right" - $ref: "#/components/parameters/annual\_dividend" - $ref: "#/components/parameters/rate\_type" - $ref: "#/components/parameters/rate\_value" - $ref: "#/components/parameters/stock\_price" - $ref: "#/components/parameters/greeks\_version" - $ref: "#/components/parameters/max\_dte" - $ref: "#/components/parameters/strike\_range" - $ref: "#/components/parameters/format" responses: '200': description: Returns second order greeks for an option contract content: text/csv: schema: type: array items: &items\_option\_snapshot\_greeks\_second\_order type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. bid: type: number description: The last NBBO bid price. ask: type: number description: The last NBBO ask price. gamma: type: number description: The gamma. vanna: type: number description: The vanna. charm: type: string description: The charm. vomma: type: number description: The vomma. veta: type: number description: The veta. implied\_vol: type: number description: The implied volatiltiy calculated using the trade price. iv\_error: type: string description: 'IV Error: the value of the option calculated using the implied volatiltiy divided by the actual value reported in the quote. This value will increase as the strike price recedes from the underlying price.' underlying\_timestamp: type: string format: date-time description: The underlying date formated as YYYY-MM-DDTHH:mm:ss.SSS format. underlying\_price: type: number description: The midpoint of the underlying at the time of the option trade. example: "symbol,expiration,strike,right,timestamp,bid,ask,gamma,vanna,charm,vomma,veta,implied\_vol,iv\_error,underlying\_timestamp,underlying\_price\\r\\ \\nAAPL,2026-01-16,275.000,CALL,2025-08-20T15:59:59.805,1.47,1.50,0.0059,1.1833,-0.3716,212.2670,18.8522,0.2142,-0.0003,2025-08-20T16:37:06.988,225.74\\r\\ \\nAAPL,2026-01-16,275.000,PUT,2025-08-20T15:59:59.839,48.75,49.70,0.0064,0.9320,-0.4210,108.3415,18.2234,0.3106,0.0000,2025-08-20T16:37:06.988,225.74\\r\\ \\n" application/json: schema: &schema\_option\_snapshot\_greeks\_second\_order type: array items: \*items\_option\_snapshot\_greeks\_second\_order example: | { "response": \[ { "contract": {"symbol":"AAPL","strike":275.000,"right":"CALL","expiration":"2026-01-16"}, "data": \[ {"underlying\_price":225.74,"veta":18.8522,"implied\_vol":0.2142,"iv\_error":-0.0003,"charm":-0.3716,"ask":1.50,"vanna":1.1833,"vomma":212.2670,"bid":1.47,"underlying\_timestamp":"2025-08-20T16:37:06.988","gamma":0.0059,"timestamp":"2025-08-20T15:59:59.805"} \] }, { "contract": {"symbol":"AAPL","strike":275.000,"right":"PUT","expiration":"2026-01-16"}, "data": \[ {"underlying\_price":225.74,"veta":18.2234,"implied\_vol":0.3106,"iv\_error":0.0000,"charm":-0.4210,"ask":49.70,"vanna":0.9320,"vomma":108.3415,"bid":48.75,"underlying\_timestamp":"2025-08-20T16:37:06.988","gamma":0.0064,"timestamp":"2025-08-20T15:59:59.839"} \] } \] } application/x-ndjson: schema: \*schema\_option\_snapshot\_greeks\_second\_order example: '{"symbol":"AAPL","underlying\_price":225.74,"strike":275.000,"right":"CALL","veta":18.8522,"implied\_vol":0.2142,"iv\_error":-0.0003,"charm":-0.3716,"ask":1.50,"expiration":"2026-01-16","vanna":1.1833,"vomma":212.2670,"bid":1.47,"underlying\_timestamp":"2025-08-20T16:37:06.988","gamma":0.0059,"timestamp":"2025-08-20T15:59:59.805"} {"symbol":"AAPL","underlying\_price":225.74,"strike":275.000,"right":"PUT","veta":18.2234,"implied\_vol":0.3106,"iv\_error":0.0000,"charm":-0.4210,"ask":49.70,"expiration":"2026-01-16","vanna":0.9320,"vomma":108.3415,"bid":48.75,"underlying\_timestamp":"2025-08-20T16:37:06.988","gamma":0.0064,"timestamp":"2025-08-20T15:59:59.839"}' # /option/snapshot/trade\_greeks/second\_order: # x-min-subscription: professional # get: # operationId: option\_snapshot\_trade\_greeks\_second\_order # tags: # - Option # - Snapshot # description: "" # parameters: # - $ref: "#/components/parameters/single\_symbol" # - $ref: "#/components/parameters/expiration" # - $ref: "#/components/parameters/strike" # - $ref: "#/components/parameters/right" # - $ref: "#/components/parameters/annual\_dividend" # - $ref: "#/components/parameters/rate\_type" # - $ref: "#/components/parameters/rate\_value" # - $ref: "#/components/parameters/stock\_price" # - $ref: "#/components/parameters/format" # responses: # "200": # $ref: "#/components/responses/200\_OK" /option/snapshot/greeks/third\_order: x-min-subscription: professional get: summary: Third Order Greeks operationId: option\_snapshot\_greeks\_third\_order tags: - Option - Snapshot description: | - Retrieve a real-time last third order greeks calculation for all option contracts that lie on a provided expiration. - You might need to change the default expiration date to a different date if it is past the current date. Some quotes are omitted in the example to reduce the space of the sample output. - Make \`expiration\` \* if you want to get the snapshot for every expiration chain for the underlying. > This endpoint will return no data if the market was closed for the day. Theta Data resets the snapshot cache at midnight ET every night. x-sample-urls: - url: http://localhost:25503/v3/option/snapshot/greeks/third\_order?symbol=AAPL&expiration=20260116&strike=275.00 description: "Returns third order greeks for an option contract" - url: http://localhost:25503/v3/option/snapshot/greeks/third\_order?symbol=AAPL&expiration=\* description: "Returns third order greeks for all option contracts" - url: http://localhost:25503/v3/option/snapshot/greeks/third\_order?symbol=AAPL&expiration=\*&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/single\_symbol" - $ref: "#/components/parameters/expiration" - $ref: "#/components/parameters/strike" - $ref: "#/components/parameters/right" - $ref: "#/components/parameters/annual\_dividend" - $ref: "#/components/parameters/rate\_type" - $ref: "#/components/parameters/rate\_value" - $ref: "#/components/parameters/stock\_price" - $ref: "#/components/parameters/greeks\_version" - $ref: "#/components/parameters/max\_dte" - $ref: "#/components/parameters/strike\_range" - $ref: "#/components/parameters/format" responses: '200': description: Returns third order greeks for an option contract content: text/csv: schema: type: array items: &items\_option\_snapshot\_greeks\_third\_order type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. bid: type: number description: The last NBBO bid price. ask: type: number description: The last NBBO ask price. speed: type: number description: The speed. zomma: type: number description: The zomma. color: type: string description: The color. ultima: type: string description: The ultima. implied\_vol: type: number description: The implied volatiltiy calculated using the trade price. iv\_error: type: string description: 'IV Error: the value of the option calculated using the implied volatiltiy divided by the actual value reported in the quote. This value will increase as the strike price recedes from the underlying price.' underlying\_timestamp: type: string format: date-time description: The underlying date formated as YYYY-MM-DDTHH:mm:ss.SSS format. underlying\_price: type: number description: The midpoint of the underlying at the time of the option trade. example: "symbol,expiration,strike,right,timestamp,bid,ask,speed,zomma,color,ultima,implied\_vol,iv\_error,underlying\_timestamp,underlying\_price\\r\\ \\nAAPL,2026-01-16,275.000,CALL,2025-08-20T15:59:59.805,1.47,1.50,0.0000,0.0000,-0.3832,-100.0000,0.2142,-0.0003,2025-08-20T16:37:06.988,225.74\\r\\ \\nAAPL,2026-01-16,275.000,PUT,2025-08-20T15:59:59.839,48.75,49.70,0.0000,0.0000,-1.8378,-100.0000,0.3106,0.0000,2025-08-20T16:37:06.988,225.74\\r\\ \\n" application/json: schema: &schema\_option\_snapshot\_greeks\_third\_order type: array items: \*items\_option\_snapshot\_greeks\_third\_order example: | { "response": \[ { "contract": {"symbol":"AAPL","strike":275.000,"right":"CALL","expiration":"2026-01-16"}, "data": \[ {"underlying\_price":225.74,"color":-0.3832,"zomma":0.0000,"implied\_vol":0.2142,"iv\_error":-0.0003,"speed":0.0000,"ultima":-100.0000,"ask":1.50,"bid":1.47,"underlying\_timestamp":"2025-08-20T16:37:06.988","timestamp":"2025-08-20T15:59:59.805"} \] }, { "contract": {"symbol":"AAPL","strike":275.000,"right":"PUT","expiration":"2026-01-16"}, "data": \[ {"underlying\_price":225.74,"color":-1.8378,"zomma":0.0000,"implied\_vol":0.3106,"iv\_error":0.0000,"speed":0.0000,"ultima":-100.0000,"ask":49.70,"bid":48.75,"underlying\_timestamp":"2025-08-20T16:37:06.988","timestamp":"2025-08-20T15:59:59.839"} \] } \] } application/x-ndjson: schema: \*schema\_option\_snapshot\_greeks\_third\_order example: '{"symbol":"AAPL","underlying\_price":225.74,"color":-0.3832,"strike":275.000,"zomma":0.0000,"right":"CALL","implied\_vol":0.2142,"iv\_error":-0.0003,"speed":0.0000,"ultima":-100.0000,"ask":1.50,"expiration":"2026-01-16","bid":1.47,"underlying\_timestamp":"2025-08-20T16:37:06.988","timestamp":"2025-08-20T15:59:59.805"} {"symbol":"AAPL","underlying\_price":225.74,"color":-1.8378,"strike":275.000,"zomma":0.0000,"right":"PUT","implied\_vol":0.3106,"iv\_error":0.0000,"speed":0.0000,"ultima":-100.0000,"ask":49.70,"expiration":"2026-01-16","bid":48.75,"underlying\_timestamp":"2025-08-20T16:37:06.988","timestamp":"2025-08-20T15:59:59.839"}' # /option/snapshot/trade\_greeks/third\_order: # x-min-subscription: professional # get: # operationId: option\_snapshot\_trade\_greeks\_third\_order # tags: # - Option # - Snapshot # description: "" # parameters: # - $ref: "#/components/parameters/single\_symbol" # - $ref: "#/components/parameters/expiration" # - $ref: "#/components/parameters/strike" # - $ref: "#/components/parameters/right" # - $ref: "#/components/parameters/annual\_dividend" # - $ref: "#/components/parameters/rate\_type" # - $ref: "#/components/parameters/rate\_value" # - $ref: "#/components/parameters/stock\_price" # - $ref: "#/components/parameters/format" # responses: # "200": # $ref: "#/components/responses/200\_OK" /option/history/eod: x-min-subscription: free x-history-access: true get: summary: End of Day operationId: option\_history\_eod tags: - Option - History description: | - Since \[OPRA\](/Articles/Data-And-Requests/The-SIPs.html) does not provide a national EOD report for options, Theta Data generates a national EOD report at 17:15 ET each day. - \`\`created\`\` represents the datetime the report was generated and \`\`last\_trade\`\` represents the datetime of the last trade. - The quote in the response represents the last NBBO reported by OPRA at the time of report generation. - You can read more about EOD & OHLC data \[here\](/Articles/Data-And-Requests/OHLC-EOD.html). > The quote fields (bid / ask info) may not be available prior to 2023-12-01. We will expose further history for the EOD quote in the near future. x-sample-urls: - url: http://localhost:25503/v3/option/history/eod?symbol=AAPL&expiration=20241115&strike=170.000&right=call&start\_date=20241104&end\_date=20241104 description: "Returns EOD report for an option contract" - url: http://localhost:25503/v3/option/history/eod?symbol=AAPL&expiration=\*&start\_date=20241104&end\_date=20241104 description: "Returns EOD report for all option contracts" - url: http://localhost:25503/v3/option/history/eod?symbol=AAPL&expiration=\*&start\_date=20241104&end\_date=20241104&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/start\_date" - $ref: "#/components/parameters/end\_date" - $ref: "#/components/parameters/single\_symbol" - $ref: "#/components/parameters/expiration" - $ref: "#/components/parameters/strike" - $ref: "#/components/parameters/right" - $ref: "#/components/parameters/max\_dte" - $ref: "#/components/parameters/strike\_range" - $ref: "#/components/parameters/format" responses: '200': description: Returns EOD report for an option contract content: text/csv: schema: type: array items: &items\_option\_history\_eod type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. created: type: string format: date-time description: The date formated as YYYY-MM-DDTHH:mm:ss.SSS format. last\_trade: type: string format: date-time description: The last trade date formated as YYYY-MM-DDTHH:mm:ss.SSS format. open: type: number description: The opening trade price. high: type: number description: The highest traded price. low: type: number description: The lowest traded price. close: type: number description: The closing traded price. volume: type: integer description: The amount of contracts / shares traded. count: type: integer description: The amount of trades. bid\_size: type: integer description: The last NBBO bid size. bid\_exchange: type: integer description: The last NBBO bid \[exchange\](/Articles/Errors-Exchanges-Conditions/Exchanges.html). bid: type: number description: The last NBBO bid price. bid\_condition: type: integer description: The last NBBO bid \[condition\](/Articles/Errors-Exchanges-Conditions/Quote-Conditions.html). ask\_size: type: integer description: The last NBBO ask size. ask\_exchange: type: integer description: The last NBBO ask \[exchange\](/Articles/Errors-Exchanges-Conditions/Exchanges.html). ask: type: number description: The last NBBO ask price. ask\_condition: type: integer description: The last NBBO ask \[condition\](/Articles/Errors-Exchanges-Conditions/Quote-Conditions.html). example: "symbol,expiration,strike,right,created,last\_trade,open,high,low,close,volume,count,bid\_size,bid\_exchange,bid,bid\_condition,ask\_size,ask\_exchange,ask,ask\_condition\\r\\ \\nAAPL,2024-11-15,170.000,CALL,2024-11-04T17:16:56.205,2024-11-04T15:48:12.005,52.54,52.75,52.40,52.40,10,3,70,60,52.05,50,15,47,52.45,50\\r\\ \\n" application/json: schema: &schema\_option\_history\_eod type: array items: \*items\_option\_history\_eod example: | { "response": \[ { "contract": {"symbol":"AAPL","strike":170.000,"right":"CALL","expiration":"2024-11-15"}, "data": \[ {"ask\_size":15,"last\_trade":"2024-11-04T15:48:12.005","created":"2024-11-04T17:16:56.205","ask\_condition":50,"count":3,"volume":10,"high":52.75,"low":52.40,"bid\_size":70,"ask\_exchange":47,"bid\_exchange":60,"ask":52.45,"bid":52.05,"bid\_condition":50,"close":52.40,"open":52.54} \] } \] } application/x-ndjson: schema: \*schema\_option\_history\_eod example: '{"symbol":"AAPL","ask\_size":15,"last\_trade":"2024-11-04T15:48:12.005","created":"2024-11-04T17:16:56.205","ask\_condition":50,"strike":170.000,"count":3,"right":"CALL","volume":10,"high":52.75,"low":52.40,"bid\_size":70,"ask\_exchange":47,"bid\_exchange":60,"ask":52.45,"expiration":"2024-11-15","bid":52.05,"bid\_condition":50,"close":52.40,"open":52.54}' /option/history/ohlc: x-min-subscription: value x-history-access: true get: summary: Open High Low Close operationId: option\_history\_ohlc tags: - Option - History description: | - Aggregated OHLC bars that use \[SIP rules\](/Articles/Data-And-Requests/OHLC-EOD.html) for each bar. - Time timestamp of the bar represents the opening time of the bar. For a trade to be part of the bar: \`\`bar timestamp\`\` <= \`\`trade time\`\` < \`\`bar timestamp + interval\`\`. x-sample-urls: - url: http://localhost:25503/v3/option/history/ohlc?symbol=AAPL&expiration=20231103&strike=170.000&right=call&date=20231103&interval=1m description: "Returns OHLC for an option contract" - url: http://localhost:25503/v3/option/history/ohlc?symbol=AAPL&expiration=20231103&strike=170.000&right=call&date=20231103&interval=1m&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/date" - $ref: "#/components/parameters/single\_symbol" - $ref: "#/components/parameters/expiration\_no\_star" - $ref: "#/components/parameters/strike" - $ref: "#/components/parameters/right" - $ref: "#/components/parameters/interval" - $ref: "#/components/parameters/start\_time" - $ref: "#/components/parameters/end\_time" - $ref: "#/components/parameters/strike\_range" # - $ref: "#/components/parameters/max\_dte" expiration=\* not yet supported in v3 - $ref: "#/components/parameters/format" responses: '200': description: Returns OHLC for an option contract content: text/csv: schema: type: array items: &items\_option\_history\_ohlc type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. open: type: number description: The opening trade price. high: type: number description: The highest traded price. low: type: number description: The lowest traded price. close: type: number description: The closing traded price. volume: type: integer description: The amount of contracts / shares traded. count: type: integer description: The amount of trades. vwap: type: number description: The volume weighted average price of the trading session. example: "symbol,expiration,strike,right,timestamp,open,high,low,close,volume,count,vwap\\r\\nAAPL,2023-11-03,170.000,CALL,2023-11-03T09:30:00,4.48,7.05,3.60,4.00,147,24,4.39\\r\\ \\nAAPL,2023-11-03,170.000,CALL,2023-11-03T09:31:00,3.85,4.65,3.65,4.65,39,19,4.31\\r\\nAAPL,2023-11-03,170.000,CALL,2023-11-03T09:32:00,4.75,5.20,4.65,5.00,45,14,4.45\\r\\ \\nAAPL,2023-11-03,170.000,CALL,2023-11-03T09:33:00,4.95,5.05,4.48,4.49,142,23,4.53\\r\\nAAPL,2023-11-03,170.000,CALL,2023-11-03T09:34:00,4.50,5.05,4.50,4.73,29,11,4.56\\r\\ \\n" application/json: schema: &schema\_option\_history\_ohlc type: array items: \*items\_option\_history\_ohlc example: | { "response": \[ { "contract": {"symbol":"AAPL","strike":170.000,"right":"CALL","expiration":"2023-11-03"}, "data": \[ {"volume":147,"high":7.05,"low":3.60,"vwap":4.39,"count":24,"close":4.00,"open":4.48,"timestamp":"2023-11-03T09:30:00"}, {"volume":39,"high":4.65,"low":3.65,"vwap":4.31,"count":19,"close":4.65,"open":3.85,"timestamp":"2023-11-03T09:31:00"}, {"volume":45,"high":5.20,"low":4.65,"vwap":4.45,"count":14,"close":5.00,"open":4.75,"timestamp":"2023-11-03T09:32:00"}, {"volume":142,"high":5.05,"low":4.48,"vwap":4.53,"count":23,"close":4.49,"open":4.95,"timestamp":"2023-11-03T09:33:00"}, {"volume":29,"high":5.05,"low":4.50,"vwap":4.56,"count":11,"close":4.73,"open":4.50,"timestamp":"2023-11-03T09:34:00"} \] } \] } application/x-ndjson: schema: \*schema\_option\_history\_ohlc example: '{"volume":147,"symbol":"AAPL","high":7.05,"low":3.60,"strike":170.000,"vwap":4.39,"count":24,"expiration":"2023-11-03","right":"CALL","close":4.00,"open":4.48,"timestamp":"2023-11-03T09:30:00"} {"volume":39,"symbol":"AAPL","high":4.65,"low":3.65,"strike":170.000,"vwap":4.31,"count":19,"expiration":"2023-11-03","right":"CALL","close":4.65,"open":3.85,"timestamp":"2023-11-03T09:31:00"} {"volume":45,"symbol":"AAPL","high":5.20,"low":4.65,"strike":170.000,"vwap":4.45,"count":14,"expiration":"2023-11-03","right":"CALL","close":5.00,"open":4.75,"timestamp":"2023-11-03T09:32:00"} {"volume":142,"symbol":"AAPL","high":5.05,"low":4.48,"strike":170.000,"vwap":4.53,"count":23,"expiration":"2023-11-03","right":"CALL","close":4.49,"open":4.95,"timestamp":"2023-11-03T09:33:00"} {"volume":29,"symbol":"AAPL","high":5.05,"low":4.50,"strike":170.000,"vwap":4.56,"count":11,"expiration":"2023-11-03","right":"CALL","close":4.73,"open":4.50,"timestamp":"2023-11-03T09:34:00"}' /option/history/trade: x-min-subscription: standard x-history-access: true get: summary: Trade operationId: option\_history\_trade tags: - Option - History description: | - Returns every trade reported by \[OPRA\](/Articles/Data-And-Requests/The-SIPs.html). - Trade condition mappings can be found \[here\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html). - Extended trade conditions are not reported by \[OPRA\](/Articles/Data-And-Requests/The-SIPs.html) for options, so they can be ignored. x-sample-urls: - url: http://localhost:25503/v3/option/history/trade?symbol=AAPL&expiration=20241108&strike=220.000&right=call&date=20241104 description: "Returns every trade for an option contract" - url: http://localhost:25503/v3/option/history/trade?symbol=AAPL&expiration=\*&date=20241104 description: "Returns every trade for all option contracts" - url: http://localhost:25503/v3/option/history/trade?symbol=AAPL&expiration=\*&date=20241104&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/date" - $ref: "#/components/parameters/single\_symbol" - $ref: "#/components/parameters/expiration" - $ref: "#/components/parameters/strike" - $ref: "#/components/parameters/right" - $ref: "#/components/parameters/start\_time" - $ref: "#/components/parameters/end\_time" - $ref: "#/components/parameters/max\_dte" - $ref: "#/components/parameters/strike\_range" # - $ref: "#/components/parameters/interval" # NOT CURRENTLY SUPPORTED IN v2 - $ref: "#/components/parameters/format" responses: '200': description: Returns every trade for an option contract content: text/csv: schema: type: array items: &items\_option\_history\_trade type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. sequence: type: integer description: The exchange \[sequence\](/Articles/Data-And-Requests/Making-Requests.html#trade-sequences). ext\_condition1: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext\_condition2: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext\_condition3: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext\_condition4: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. condition: type: integer description: The trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html). size: type: integer description: The amount of contracts / shares traded. exchange: type: integer description: The \[exchange\](/Articles/Errors-Exchanges-Conditions/Exchanges.html) the trade was executed. price: type: number description: The trade price. example: "symbol,expiration,strike,right,timestamp,sequence,ext\_condition1,ext\_condition2,ext\_condition3,ext\_condition4,condition,size,exchange,price\\r\\ \\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:30:00.471,18902138,255,255,255,255,130,2,22,3.90\\r\\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:30:01.626,19368856,255,255,255,255,130,1,6,4.25\\r\\ \\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:30:01.698,19403970,255,255,255,255,130,1,6,4.22\\r\\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:30:02.064,19598457,255,255,255,255,18,1,5,4.15\\r\\ \\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:30:02.064,19598464,255,255,255,255,18,1,5,4.15\\r\\n" application/json: schema: &schema\_option\_history\_trade type: array items: \*items\_option\_history\_trade example: | { "response": \[ { "contract": {"symbol":"AAPL","strike":220.000,"right":"CALL","expiration":"2024-11-08"}, "data": \[ {"sequence":18902138,"condition":130,"size":2,"price":3.90,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":255,"exchange":22,"ext\_condition3":255,"timestamp":"2024-11-04T09:30:00.471"}, {"sequence":19368856,"condition":130,"size":1,"price":4.25,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":255,"exchange":6,"ext\_condition3":255,"timestamp":"2024-11-04T09:30:01.626"}, {"sequence":19403970,"condition":130,"size":1,"price":4.22,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":255,"exchange":6,"ext\_condition3":255,"timestamp":"2024-11-04T09:30:01.698"}, {"sequence":19598457,"condition":18,"size":1,"price":4.15,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":255,"exchange":5,"ext\_condition3":255,"timestamp":"2024-11-04T09:30:02.064"}, {"sequence":19598464,"condition":18,"size":1,"price":4.15,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":255,"exchange":5,"ext\_condition3":255,"timestamp":"2024-11-04T09:30:02.064"} \] } \] } application/x-ndjson: schema: \*schema\_option\_history\_trade example: '{"symbol":"AAPL","strike":220.000,"right":"CALL","sequence":18902138,"condition":130,"size":2,"price":3.90,"ext\_condition2":255,"ext\_condition1":255,"expiration":"2024-11-08","ext\_condition4":255,"exchange":22,"ext\_condition3":255,"timestamp":"2024-11-04T09:30:00.471"} {"symbol":"AAPL","strike":220.000,"right":"CALL","sequence":19368856,"condition":130,"size":1,"price":4.25,"ext\_condition2":255,"ext\_condition1":255,"expiration":"2024-11-08","ext\_condition4":255,"exchange":6,"ext\_condition3":255,"timestamp":"2024-11-04T09:30:01.626"} {"symbol":"AAPL","strike":220.000,"right":"CALL","sequence":19403970,"condition":130,"size":1,"price":4.22,"ext\_condition2":255,"ext\_condition1":255,"expiration":"2024-11-08","ext\_condition4":255,"exchange":6,"ext\_condition3":255,"timestamp":"2024-11-04T09:30:01.698"} {"symbol":"AAPL","strike":220.000,"right":"CALL","sequence":19598457,"condition":18,"size":1,"price":4.15,"ext\_condition2":255,"ext\_condition1":255,"expiration":"2024-11-08","ext\_condition4":255,"exchange":5,"ext\_condition3":255,"timestamp":"2024-11-04T09:30:02.064"} {"symbol":"AAPL","strike":220.000,"right":"CALL","sequence":19598464,"condition":18,"size":1,"price":4.15,"ext\_condition2":255,"ext\_condition1":255,"expiration":"2024-11-08","ext\_condition4":255,"exchange":5,"ext\_condition3":255,"timestamp":"2024-11-04T09:30:02.064"}' /option/history/quote: x-min-subscription: value x-history-access: true get: summary: Quote operationId: option\_history\_quote tags: - Option - History description: | - Returns every NBBO quote reported by \[OPRA\](/Articles/Data-And-Requests/The-SIPs.html). - If the \`\`interval\`\` parameter is specified, the quote for each interval represents the last quote at the interval's timestamp. x-sample-urls: - url: http://localhost:25503/v3/option/history/quote?symbol=AAPL&expiration=20241108&strike=220.000&right=call&date=20241104&interval=1m description: "Returns every quote for an option contract" - url: http://localhost:25503/v3/option/history/quote?symbol=AAPL&expiration=\*&date=20241104&interval=1m description: "Returns every quote for all option contracts" - url: http://localhost:25503/v3/option/history/quote?symbol=AAPL&expiration=\*&date=20241104&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/date" - $ref: "#/components/parameters/single\_symbol" - $ref: "#/components/parameters/expiration" - $ref: "#/components/parameters/strike" - $ref: "#/components/parameters/right" - $ref: "#/components/parameters/start\_time" - $ref: "#/components/parameters/end\_time" - $ref: "#/components/parameters/interval" - $ref: "#/components/parameters/max\_dte" - $ref: "#/components/parameters/strike\_range" - $ref: "#/components/parameters/format" responses: '200': description: Returns every quote for an option contract content: text/csv: schema: type: array items: &items\_option\_history\_quote type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. bid\_size: type: integer description: The last NBBO bid size. bid\_exchange: type: integer description: The last NBBO bid \[exchange\](/Articles/Errors-Exchanges-Conditions/Exchanges.html). bid: type: number description: The last NBBO bid price. bid\_condition: type: integer description: The last NBBO bid \[condition\](/Articles/Errors-Exchanges-Conditions/Quote-Conditions.html). ask\_size: type: integer description: The last NBBO ask size. ask\_exchange: type: integer description: The last NBBO ask \[exchange\](/Articles/Errors-Exchanges-Conditions/Exchanges.html). ask: type: number description: The last NBBO ask price. ask\_condition: type: integer description: The last NBBO ask \[condition\](/Articles/Errors-Exchanges-Conditions/Quote-Conditions.html). example: "symbol,expiration,strike,right,timestamp,bid\_size,bid\_exchange,bid,bid\_condition,ask\_size,ask\_exchange,ask,ask\_condition\\r\\ \\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:30:00,0,42,0.00,50,0,42,0.00,50\\r\\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:31:00,598,5,4.55,50,424,9,4.70,50\\r\\ \\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:32:00,58,46,4.30,50,221,11,4.40,50\\r\\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:33:00,394,43,3.90,50,45,47,4.00,50\\r\\ \\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:34:00,194,11,4.15,50,121,11,4.30,50\\r\\n" application/json: schema: &schema\_option\_history\_quote type: array items: \*items\_option\_history\_quote example: | { "response": \[ { "contract": {"symbol":"AAPL","strike":220.000,"right":"CALL","expiration":"2024-11-08"}, "data": \[ {"ask\_size":0,"ask\_condition":50,"bid\_size":0,"ask\_exchange":42,"bid\_exchange":42,"ask":0.00,"bid":0.00,"bid\_condition":50,"timestamp":"2024-11-04T09:30:00"}, {"ask\_size":424,"ask\_condition":50,"bid\_size":598,"ask\_exchange":9,"bid\_exchange":5,"ask":4.70,"bid":4.55,"bid\_condition":50,"timestamp":"2024-11-04T09:31:00"}, {"ask\_size":221,"ask\_condition":50,"bid\_size":58,"ask\_exchange":11,"bid\_exchange":46,"ask":4.40,"bid":4.30,"bid\_condition":50,"timestamp":"2024-11-04T09:32:00"}, {"ask\_size":45,"ask\_condition":50,"bid\_size":394,"ask\_exchange":47,"bid\_exchange":43,"ask":4.00,"bid":3.90,"bid\_condition":50,"timestamp":"2024-11-04T09:33:00"}, {"ask\_size":121,"ask\_condition":50,"bid\_size":194,"ask\_exchange":11,"bid\_exchange":11,"ask":4.30,"bid":4.15,"bid\_condition":50,"timestamp":"2024-11-04T09:34:00"} \] } \] } application/x-ndjson: schema: \*schema\_option\_history\_quote example: '{"symbol":"AAPL","ask\_size":0,"ask\_condition":50,"strike":220.000,"right":"CALL","bid\_size":0,"ask\_exchange":42,"bid\_exchange":42,"ask":0.00,"expiration":"2024-11-08","bid":0.00,"bid\_condition":50,"timestamp":"2024-11-04T09:30:00"} {"symbol":"AAPL","ask\_size":424,"ask\_condition":50,"strike":220.000,"right":"CALL","bid\_size":598,"ask\_exchange":9,"bid\_exchange":5,"ask":4.70,"expiration":"2024-11-08","bid":4.55,"bid\_condition":50,"timestamp":"2024-11-04T09:31:00"} {"symbol":"AAPL","ask\_size":221,"ask\_condition":50,"strike":220.000,"right":"CALL","bid\_size":58,"ask\_exchange":11,"bid\_exchange":46,"ask":4.40,"expiration":"2024-11-08","bid":4.30,"bid\_condition":50,"timestamp":"2024-11-04T09:32:00"} {"symbol":"AAPL","ask\_size":45,"ask\_condition":50,"strike":220.000,"right":"CALL","bid\_size":394,"ask\_exchange":47,"bid\_exchange":43,"ask":4.00,"expiration":"2024-11-08","bid":3.90,"bid\_condition":50,"timestamp":"2024-11-04T09:33:00"} {"symbol":"AAPL","ask\_size":121,"ask\_condition":50,"strike":220.000,"right":"CALL","bid\_size":194,"ask\_exchange":11,"bid\_exchange":11,"ask":4.30,"expiration":"2024-11-08","bid":4.15,"bid\_condition":50,"timestamp":"2024-11-04T09:34:00"}' /option/history/trade\_quote: x-min-subscription: standard x-history-access: true get: summary: Trade Quote operationId: option\_history\_trade\_quote tags: - Option - History description: | - Returns every \[trade\](/operations/option\_history\_trade.html) reported by \[OPRA\](/Articles/Data-And-Requests/The-SIPs.html) paired with the last NBBO quote reported by \[OPRA\](/Articles/Data-And-Requests/The-SIPs.html) at the time of trade. - A quote is matched with a trade if its timestamp \`\`<=\`\` the trade timestamp. - To match trades with quotes timestamps that are \`\`<\`\` the trade timestamp, specify the \`\`exclusive\`\`parameter to \`\`true\`\`. After thorough testing, we have determined that using \`\`exclusive=true\`\` might yield better results for various applications. x-sample-urls: - url: http://localhost:25503/v3/option/history/trade\_quote?symbol=AAPL&expiration=20241108&strike=220.000&right=call&date=20241104 description: "Returns every trade quote for an option contract" - url: http://localhost:25503/v3/option/history/trade\_quote?symbol=AAPL&expiration=\*&date=20241104 description: "Returns every trade quote for all option contracts" - url: http://localhost:25503/v3/option/history/trade\_quote?symbol=AAPL&expiration=\*&date=20241104&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/date" - $ref: "#/components/parameters/single\_symbol" - $ref: "#/components/parameters/expiration" - $ref: "#/components/parameters/strike" - $ref: "#/components/parameters/right" - $ref: "#/components/parameters/start\_time" - $ref: "#/components/parameters/end\_time" - $ref: "#/components/parameters/exclusive" - $ref: "#/components/parameters/max\_dte" - $ref: "#/components/parameters/strike\_range" - $ref: "#/components/parameters/format" responses: '200': description: Returns every trade quote for an option contract content: text/csv: schema: type: array items: &items\_option\_history\_trade\_quote type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. trade\_timestamp: type: string format: date-time description: The trade date formated as YYYY-MM-DDTHH:mm:ss.SSS format. quote\_timestamp: type: string format: date-time description: The quote date formated as YYYY-MM-DDTHH:mm:ss.SSS format. sequence: type: integer description: The exchange \[sequence\](/Articles/Data-And-Requests/Making-Requests.html#trade-sequences). ext\_condition1: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext\_condition2: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext\_condition3: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext\_condition4: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. condition: type: integer description: The trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html). size: type: integer description: The amount of contracts / shares traded. exchange: type: integer description: The \[exchange\](/Articles/Errors-Exchanges-Conditions/Exchanges.html) the trade was executed. price: type: number description: The trade price. bid\_size: type: integer description: The last NBBO bid size. bid\_exchange: type: integer description: The last NBBO bid \[exchange\](/Articles/Errors-Exchanges-Conditions/Exchanges.html). bid: type: number description: The last NBBO bid price. bid\_condition: type: integer description: The last NBBO bid \[condition\](/Articles/Errors-Exchanges-Conditions/Quote-Conditions.html). ask\_size: type: integer description: The last NBBO ask size. ask\_exchange: type: integer description: The last NBBO ask \[exchange\](/Articles/Errors-Exchanges-Conditions/Exchanges.html). ask: type: number description: The last NBBO ask price. ask\_condition: type: integer description: The last NBBO ask \[condition\](/Articles/Errors-Exchanges-Conditions/Quote-Conditions.html). example: "symbol,expiration,strike,right,trade\_timestamp,quote\_timestamp,sequence,ext\_condition1,ext\_condition2,ext\_condition3,ext\_condition4,condition,size,exchange,price,bid\_size,bid\_exchange,bid,bid\_condition,ask\_size,ask\_exchange,ask,ask\_condition\\r\\ \\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:30:00.471,2024-11-04T09:30:00.396,18902138,255,255,255,255,130,2,22,3.90,14,47,3.90,50,14,47,4.05,50\\r\\ \\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:30:01.626,2024-11-04T09:30:01.594,19368856,255,255,255,255,130,1,6,4.25,93,76,4.15,50,35,73,4.30,50\\r\\ \\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:30:01.698,2024-11-04T09:30:01.643,19403970,255,255,255,255,130,1,6,4.22,59,69,4.15,50,59,69,4.30,50\\r\\ \\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:30:02.064,2024-11-04T09:30:02.039,19598457,255,255,255,255,18,1,5,4.15,31,69,4.15,50,81,11,4.30,50\\r\\ \\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:30:02.064,2024-11-04T09:30:02.039,19598464,255,255,255,255,18,1,5,4.15,31,69,4.15,50,81,11,4.30,50\\r\\ \\n" application/json: schema: &schema\_option\_history\_trade\_quote type: array items: \*items\_option\_history\_trade\_quote example: | { "response": \[ { "contract": {"symbol":"AAPL","strike":220.000,"right":"CALL","expiration":"2024-11-08"}, "data": \[ {"ask\_size":14,"trade\_timestamp":"2024-11-04T09:30:00.471","ask\_condition":50,"sequence":18902138,"condition":130,"size":2,"bid\_size":14,"ask\_exchange":47,"price":3.90,"ext\_condition2":255,"bid\_exchange":47,"ask":4.05,"quote\_timestamp":"2024-11-04T09:30:00.396","ext\_condition1":255,"ext\_condition4":255,"exchange":22,"ext\_condition3":255,"bid":3.90,"bid\_condition":50}, {"ask\_size":35,"trade\_timestamp":"2024-11-04T09:30:01.626","ask\_condition":50,"sequence":19368856,"condition":130,"size":1,"bid\_size":93,"ask\_exchange":73,"price":4.25,"ext\_condition2":255,"bid\_exchange":76,"ask":4.30,"quote\_timestamp":"2024-11-04T09:30:01.594","ext\_condition1":255,"ext\_condition4":255,"exchange":6,"ext\_condition3":255,"bid":4.15,"bid\_condition":50}, {"ask\_size":59,"trade\_timestamp":"2024-11-04T09:30:01.698","ask\_condition":50,"sequence":19403970,"condition":130,"size":1,"bid\_size":59,"ask\_exchange":69,"price":4.22,"ext\_condition2":255,"bid\_exchange":69,"ask":4.30,"quote\_timestamp":"2024-11-04T09:30:01.643","ext\_condition1":255,"ext\_condition4":255,"exchange":6,"ext\_condition3":255,"bid":4.15,"bid\_condition":50}, {"ask\_size":81,"trade\_timestamp":"2024-11-04T09:30:02.064","ask\_condition":50,"sequence":19598457,"condition":18,"size":1,"bid\_size":31,"ask\_exchange":11,"price":4.15,"ext\_condition2":255,"bid\_exchange":69,"ask":4.30,"quote\_timestamp":"2024-11-04T09:30:02.039","ext\_condition1":255,"ext\_condition4":255,"exchange":5,"ext\_condition3":255,"bid":4.15,"bid\_condition":50}, {"ask\_size":81,"trade\_timestamp":"2024-11-04T09:30:02.064","ask\_condition":50,"sequence":19598464,"condition":18,"size":1,"bid\_size":31,"ask\_exchange":11,"price":4.15,"ext\_condition2":255,"bid\_exchange":69,"ask":4.30,"quote\_timestamp":"2024-11-04T09:30:02.039","ext\_condition1":255,"ext\_condition4":255,"exchange":5,"ext\_condition3":255,"bid":4.15,"bid\_condition":50} \] } \] } application/x-ndjson: schema: \*schema\_option\_history\_trade\_quote example: '{"symbol":"AAPL","ask\_size":14,"trade\_timestamp":"2024-11-04T09:30:00.471","ask\_condition":50,"strike":220.000,"right":"CALL","sequence":18902138,"condition":130,"size":2,"bid\_size":14,"ask\_exchange":47,"price":3.90,"ext\_condition2":255,"bid\_exchange":47,"ask":4.05,"quote\_timestamp":"2024-11-04T09:30:00.396","ext\_condition1":255,"expiration":"2024-11-08","ext\_condition4":255,"exchange":22,"ext\_condition3":255,"bid":3.90,"bid\_condition":50} {"symbol":"AAPL","ask\_size":35,"trade\_timestamp":"2024-11-04T09:30:01.626","ask\_condition":50,"strike":220.000,"right":"CALL","sequence":19368856,"condition":130,"size":1,"bid\_size":93,"ask\_exchange":73,"price":4.25,"ext\_condition2":255,"bid\_exchange":76,"ask":4.30,"quote\_timestamp":"2024-11-04T09:30:01.594","ext\_condition1":255,"expiration":"2024-11-08","ext\_condition4":255,"exchange":6,"ext\_condition3":255,"bid":4.15,"bid\_condition":50} {"symbol":"AAPL","ask\_size":59,"trade\_timestamp":"2024-11-04T09:30:01.698","ask\_condition":50,"strike":220.000,"right":"CALL","sequence":19403970,"condition":130,"size":1,"bid\_size":59,"ask\_exchange":69,"price":4.22,"ext\_condition2":255,"bid\_exchange":69,"ask":4.30,"quote\_timestamp":"2024-11-04T09:30:01.643","ext\_condition1":255,"expiration":"2024-11-08","ext\_condition4":255,"exchange":6,"ext\_condition3":255,"bid":4.15,"bid\_condition":50} {"symbol":"AAPL","ask\_size":81,"trade\_timestamp":"2024-11-04T09:30:02.064","ask\_condition":50,"strike":220.000,"right":"CALL","sequence":19598457,"condition":18,"size":1,"bid\_size":31,"ask\_exchange":11,"price":4.15,"ext\_condition2":255,"bid\_exchange":69,"ask":4.30,"quote\_timestamp":"2024-11-04T09:30:02.039","ext\_condition1":255,"expiration":"2024-11-08","ext\_condition4":255,"exchange":5,"ext\_condition3":255,"bid":4.15,"bid\_condition":50} {"symbol":"AAPL","ask\_size":81,"trade\_timestamp":"2024-11-04T09:30:02.064","ask\_condition":50,"strike":220.000,"right":"CALL","sequence":19598464,"condition":18,"size":1,"bid\_size":31,"ask\_exchange":11,"price":4.15,"ext\_condition2":255,"bid\_exchange":69,"ask":4.30,"quote\_timestamp":"2024-11-04T09:30:02.039","ext\_condition1":255,"expiration":"2024-11-08","ext\_condition4":255,"exchange":5,"ext\_condition3":255,"bid":4.15,"bid\_condition":50}' /option/history/open\_interest: x-min-subscription: value x-history-access: true get: summary: Open Interest operationId: option\_history\_open\_interest tags: - Option - History description: | - Open Interest is normally reported once per day by \[OPRA\](/Articles/Data-And-Requests/The-SIPs.html) at approximately 06:30 ET. - A new open interest message might not be sent by \[OPRA\](/Articles/Data-And-Requests/The-SIPs.html) if there is no open interest for the option contract. - The reported open interest represents the open interest at the end of the previous trading day. x-sample-urls: - url: http://localhost:25503/v3/option/history/open\_interest?symbol=AAPL&expiration=20241108&strike=220.000&right=call&date=20241104 description: "Returns open interest for an option contract" - url: http://localhost:25503/v3/option/history/open\_interest?symbol=AAPL&expiration=\*&date=20241104 description: "Returns open interest for all option contracts" - url: http://localhost:25503/v3/option/history/open\_interest?symbol=AAPL&expiration=\*&date=20241104&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/date" - $ref: "#/components/parameters/single\_symbol" - $ref: "#/components/parameters/expiration" - $ref: "#/components/parameters/strike" - $ref: "#/components/parameters/right" - $ref: "#/components/parameters/max\_dte" - $ref: "#/components/parameters/strike\_range" - $ref: "#/components/parameters/format" responses: '200': description: Returns open interest for an option contract content: text/csv: schema: type: array items: &items\_option\_history\_open\_interest type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. open\_interest: type: integer description: The total amount of outstanding contracts. example: "symbol,expiration,strike,right,timestamp,open\_interest\\r\\nAAPL,2024-11-08,220.000,CALL,2024-11-04T06:30:04,2732\\r\\ \\n" application/json: schema: &schema\_option\_history\_open\_interest type: array items: \*items\_option\_history\_open\_interest example: | { "response": \[ { "contract": {"symbol":"AAPL","strike":220.000,"right":"CALL","expiration":"2024-11-08"}, "data": \[ {"open\_interest":2732,"timestamp":"2024-11-04T06:30:04"} \] } \] } application/x-ndjson: schema: \*schema\_option\_history\_open\_interest example: '{"symbol":"AAPL","strike":220.000,"open\_interest":2732,"expiration":"2024-11-08","right":"CALL","timestamp":"2024-11-04T06:30:04"}' /option/history/greeks/eod: x-min-subscription: standard x-history-access: true get: summary: End of Day Greeks operationId: option\_history\_greeks\_eod tags: - Option - History description: | - Returns the data for all contracts that share the same provided symbol and expiration. - Uses Theta Data's EOD reports that get generated at 17:15 ET each day. The closing option price and closing underlying price are used for the greeks calculation. - \*\*Set \`expiration\` to \`\`\*\`\` if you want to retrieve data for every option that shares the same \`\`symbol\`\`. (note: Any \`\`expiration=\*\`\` must be requested day by day)\*\* > The quote fields (bid / ask info) may not be available prior to 2023-12-01. We are working to expose this over the coming months. Obtaining the quote at the end of the day requires much more processing than the trades, so we initially generated our history for trades. x-sample-urls: - url: http://localhost:25503/v3/option/history/greeks/eod?symbol=AAPL&expiration=20241108&strike=220.000&right=call&start\_date=20241104&end\_date=20241104 description: "Returns EOD report for an option contract" - url: http://localhost:25503/v3/option/history/greeks/eod?symbol=AAPL&expiration=\*&start\_date=20241104&end\_date=20241104 description: "Returns EOD report for all option contracts" - url: http://localhost:25503/v3/option/history/greeks/eod?symbol=AAPL&expiration=\*&start\_date=20241104&end\_date=20241104&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/single\_symbol" - $ref: "#/components/parameters/expiration" - $ref: "#/components/parameters/strike" - $ref: "#/components/parameters/right" - $ref: "#/components/parameters/start\_date" - $ref: "#/components/parameters/end\_date" - $ref: "#/components/parameters/annual\_dividend" - $ref: "#/components/parameters/rate\_type" - $ref: "#/components/parameters/rate\_value" - $ref: "#/components/parameters/greeks\_version" - $ref: "#/components/parameters/underlyer\_use\_nbbo" - $ref: "#/components/parameters/max\_dte" - $ref: "#/components/parameters/strike\_range" - $ref: "#/components/parameters/format" responses: '200': description: Returns EOD report for an option contract content: text/csv: schema: type: array items: &items\_option\_history\_greeks\_eod type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. open: type: number description: The opening trade price. high: type: number description: The highest traded price. low: type: number description: The lowest traded price. close: type: number description: The closing traded price. volume: type: integer description: The amount of contracts / shares traded. count: type: integer description: The amount of trades. bid\_size: type: integer description: The last NBBO bid size. bid\_exchange: type: integer description: The last NBBO bid \[exchange\](/Articles/Errors-Exchanges-Conditions/Exchanges.html). bid: type: number description: The last NBBO bid price. bid\_condition: type: integer description: The last NBBO bid \[condition\](/Articles/Errors-Exchanges-Conditions/Quote-Conditions.html). ask\_size: type: integer description: The last NBBO ask size. ask\_exchange: type: integer description: The last NBBO ask \[exchange\](/Articles/Errors-Exchanges-Conditions/Exchanges.html). ask: type: number description: The last NBBO ask price. ask\_condition: type: integer description: The last NBBO ask \[condition\](/Articles/Errors-Exchanges-Conditions/Quote-Conditions.html). delta: type: number description: The delta. theta: type: string description: The Theta. vega: type: number description: The vega. rho: type: number description: The rho. epsilon: type: string description: The epsilon. lambda: type: number description: The lambda. gamma: type: number description: The gamma. vanna: type: string description: The vanna. charm: type: number description: The charm. vomma: type: number description: The vomma. veta: type: number description: The veta. vera: type: number description: The vera. speed: type: number description: The speed. zomma: type: number description: The zomma. color: type: string description: The color. ultima: type: string description: The ultima. d1: type: number description: The d1. d2: type: number description: The d2. dual\_delta: type: string description: The dual delta. dual\_gamma: type: number description: The dual gamma. implied\_vol: type: number description: The implied volatiltiy calculated using the trade price. iv\_error: type: number description: 'IV Error: the value of the option calculated using the implied volatiltiy divided by the actual value reported in the quote. This value will increase as the strike price recedes from the underlying price.' underlying\_timestamp: type: string format: date-time description: The underlying date formated as YYYY-MM-DDTHH:mm:ss.SSS format. underlying\_price: type: number description: The midpoint of the underlying at the time of the option trade. example: "symbol,expiration,strike,right,timestamp,open,high,low,close,volume,count,bid\_size,bid\_exchange,bid,bid\_condition,ask\_size,ask\_exchange,ask,ask\_condition,delta,theta,vega,rho,epsilon,lambda,gamma,vanna,charm,vomma,veta,vera,speed,zomma,color,ultima,d1,d2,dual\_delta,dual\_gamma,implied\_vol,iv\_error,underlying\_timestamp,underlying\_price\\r\\ \\nAAPL,2024-11-08,220.000,CALL,2024-11-04T15:59:59.828,3.90,4.85,3.35,4.15,7425,1511,9,11,4.10,50,12,5,4.25,50,0.6083,-0.3892,8.9221,1.4334,-1.4791,32.3623,0.0495,-0.2765,3.6779,1.7667,0.0149,0.0000,0.0000,0.0000,-0.0163,-15.6407,0.2750,0.2401,-0.5945,0.0000,0.3334,0.0001,2024-11-04T17:15:28.71,221.870\\r\\ \\n" application/json: schema: &schema\_option\_history\_greeks\_eod type: array items: \*items\_option\_history\_greeks\_eod example: | { "response": \[ { "contract": {"symbol":"AAPL","strike":220.000,"right":"CALL","expiration":"2024-11-08"}, "data": \[ {"ask\_size":12,"dual\_delta":-0.5945,"color":-0.0163,"zomma":0.0000,"delta":0.6083,"implied\_vol":0.3334,"theta":-0.3892,"d1":0.2750,"speed":0.0000,"d2":0.2401,"epsilon":-1.4791,"high":4.85,"lambda":32.3623,"low":3.35,"ask\_exchange":5,"bid\_exchange":11,"vomma":1.7667,"bid\_condition":50,"underlying\_timestamp":"2024-11-04T17:15:28.71","close":4.15,"timestamp":"2024-11-04T15:59:59.828","underlying\_price":221.870,"ask\_condition":50,"count":1511,"vera":0.0000,"veta":0.0149,"iv\_error":0.0001,"ultima":-15.6407,"volume":7425,"charm":3.6779,"bid\_size":9,"ask":4.25,"rho":1.4334,"vanna":-0.2765,"dual\_gamma":0.0000,"bid":4.10,"open":3.90,"vega":8.9221,"gamma":0.0495} \] } \] } application/x-ndjson: schema: \*schema\_option\_history\_greeks\_eod example: '{"symbol":"AAPL","ask\_size":12,"dual\_delta":-0.5945,"color":-0.0163,"zomma":0.0000,"delta":0.6083,"implied\_vol":0.3334,"theta":-0.3892,"d1":0.2750,"speed":0.0000,"d2":0.2401,"epsilon":-1.4791,"high":4.85,"lambda":32.3623,"low":3.35,"ask\_exchange":5,"bid\_exchange":11,"vomma":1.7667,"bid\_condition":50,"underlying\_timestamp":"2024-11-04T17:15:28.71","close":4.15,"timestamp":"2024-11-04T15:59:59.828","underlying\_price":221.870,"ask\_condition":50,"strike":220.000,"count":1511,"vera":0.0000,"right":"CALL","veta":0.0149,"iv\_error":0.0001,"ultima":-15.6407,"volume":7425,"charm":3.6779,"bid\_size":9,"ask":4.25,"rho":1.4334,"expiration":"2024-11-08","vanna":-0.2765,"dual\_gamma":0.0000,"bid":4.10,"open":3.90,"vega":8.9221,"gamma":0.0495}' /option/history/greeks/all: x-min-subscription: professional x-history-access: true get: summary: All Greeks operationId: option\_history\_greeks\_all tags: - Option - History description: | - Returns the data for all contracts that share the same provided symbol and expiration. - Calculated using the option and underlying midpoint price. If an interval size is specified (\*highly recommended\*), the option quote used in the calculation follows the same rules as the \[quote\](/operations/option\_history\_quote.html) endpoint. - The underlying price represents whatever the last underlying price was at the \`\`timestamp\`\` field. You can read more about how Theta Data calculates greeks \[here\](/Articles/Data-And-Requests/Option-Greeks.html). x-sample-urls: - url: http://localhost:25503/v3/option/history/greeks/all?symbol=AAPL&expiration=20241108&date=20241104&interval=10m description: "Returns all greeks for an option contract" - url: http://localhost:25503/v3/option/history/greeks/all?symbol=AAPL&expiration=20241108&date=20241104&interval=10m&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/date" - $ref: "#/components/parameters/single\_symbol" - $ref: "#/components/parameters/expiration\_no\_star" - $ref: "#/components/parameters/strike" - $ref: "#/components/parameters/right" - $ref: "#/components/parameters/start\_time" - $ref: "#/components/parameters/end\_time" - $ref: "#/components/parameters/interval" - $ref: "#/components/parameters/annual\_dividend" - $ref: "#/components/parameters/rate\_type" - $ref: "#/components/parameters/rate\_value" - $ref: "#/components/parameters/greeks\_version" - $ref: "#/components/parameters/strike\_range" # - $ref: "#/components/parameters/max\_dte" expiration=\* not yet supported in v3 - $ref: "#/components/parameters/format" responses: '200': description: Returns all greeks for an option contract content: text/csv: schema: type: array items: &items\_option\_history\_greeks\_all type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. bid: type: number description: The last NBBO bid price. ask: type: number description: The last NBBO ask price. delta: type: number description: The delta. theta: type: number description: The Theta. vega: type: number description: The vega. rho: type: number description: The rho. epsilon: type: number description: The epsilon. lambda: type: number description: The lambda. gamma: type: number description: The gamma. vanna: type: number description: The vanna. charm: type: number description: The charm. vomma: type: number description: The vomma. veta: type: number description: The veta. vera: type: number description: The vera. speed: type: number description: The speed. zomma: type: number description: The zomma. color: type: number description: The color. ultima: type: number description: The ultima. d1: type: string description: The d1. d2: type: string description: The d2. dual\_delta: type: number description: The dual delta. dual\_gamma: type: number description: The dual gamma. implied\_vol: type: number description: The implied volatiltiy calculated using the trade price. iv\_error: type: number description: 'IV Error: the value of the option calculated using the implied volatiltiy divided by the actual value reported in the quote. This value will increase as the strike price recedes from the underlying price.' underlying\_timestamp: type: string format: date-time description: The underlying date formated as YYYY-MM-DDTHH:mm:ss.SSS format. underlying\_price: type: number description: The midpoint of the underlying at the time of the option trade. example: "symbol,expiration,strike,right,timestamp,bid,ask,delta,theta,vega,rho,epsilon,lambda,gamma,vanna,charm,vomma,veta,vera,speed,zomma,color,ultima,d1,d2,dual\_delta,dual\_gamma,implied\_vol,iv\_error,underlying\_timestamp,underlying\_price\\r\\ \\nAAPL,2024-11-08,262.500,CALL,2024-11-04T09:30:00,0.00,0.00,0.0000,0.0000,0.0000,0.0000,0.0000,261.9304,0.0000,0.0000,0.0000,0.0000,0.0000,0.0000,0.0000,0.0000,0.0000,0.0001,-6.5422,-6.5683,0.0000,0.0000,0.2500,100.0000,2024-11-04T09:30:00,221.00\\r\\ \\nAAPL,2024-11-08,262.500,CALL,2024-11-04T09:40:00,0.00,0.02,0.0026,-0.0138,0.1873,0.0062,-0.0063,55.3974,0.0005,0.0393,-1.0623,2.5389,0.0136,0.0000,0.0000,0.0000,-0.0005,21.4427,-2.7911,-2.8526,-0.0021,0.0000,0.5874,0.0455,2024-11-04T09:40:00,220.56\\r\\ \\nAAPL,2024-11-08,262.500,CALL,2024-11-04T09:50:00,0.00,0.02,0.0025,-0.0130,0.1807,0.0059,-0.0060,56.7822,0.0005,0.0388,-1.0265,2.5262,0.0133,0.0000,0.0000,0.0000,-0.0005,22.1272,-2.8050,-2.8652,-0.0020,0.0000,0.5749,-0.0199,2024-11-04T09:50:00,221.20\\r\\ \\nAAPL,2024-11-08,262.500,CALL,2024-11-04T10:00:00,0.00,0.02,0.0025,-0.0129,0.1825,0.0060,-0.0061,57.9900,0.0006,0.0399,-1.0319,2.6034,0.0136,0.0000,0.0000,0.0000,-0.0005,23.2345,-2.8027,-2.8616,-0.0021,0.0000,0.5625,-0.0299,2024-11-04T10:00:00,222.06\\r\\ \\nAAPL,2024-11-08,262.500,CALL,2024-11-04T10:10:00,0.00,0.01,0.0000,0.0000,0.0000,0.0000,0.0000,254.5285,0.0000,0.0000,0.0000,0.0000,0.0000,0.0000,0.0000,0.0000,0.0000,0.0004,-6.3404,-6.3666,0.0000,0.0000,0.2500,100.0000,2024-11-04T10:10:00,222.17\\r\\ \\n" application/json: schema: &schema\_option\_history\_greeks\_all type: array items: \*items\_option\_history\_greeks\_all example: | { "response": \[ { "contract": {"symbol":"AAPL","strike":262.500,"right":"CALL","expiration":"2024-11-08"}, "data": \[ {"dual\_delta":0.0000,"color":0.0000,"zomma":0.0000,"delta":0.0000,"implied\_vol":0.2500,"theta":0.0000,"d1":-6.5422,"speed":0.0000,"d2":-6.5683,"epsilon":0.0000,"lambda":261.9304,"vomma":0.0000,"underlying\_timestamp":"2024-11-04T09:30:00","timestamp":"2024-11-04T09:30:00","underlying\_price":221.00,"vera":0.0000,"veta":0.0000,"iv\_error":100.0000,"ultima":0.0001,"charm":0.0000,"ask":0.00,"rho":0.0000,"vanna":0.0000,"dual\_gamma":0.0000,"bid":0.00,"vega":0.0000,"gamma":0.0000}, {"dual\_delta":-0.0021,"color":-0.0005,"zomma":0.0000,"delta":0.0026,"implied\_vol":0.5874,"theta":-0.0138,"d1":-2.7911,"speed":0.0000,"d2":-2.8526,"epsilon":-0.0063,"lambda":55.3974,"vomma":2.5389,"underlying\_timestamp":"2024-11-04T09:40:00","timestamp":"2024-11-04T09:40:00","underlying\_price":220.56,"vera":0.0000,"veta":0.0136,"iv\_error":0.0455,"ultima":21.4427,"charm":-1.0623,"ask":0.02,"rho":0.0062,"vanna":0.0393,"dual\_gamma":0.0000,"bid":0.00,"vega":0.1873,"gamma":0.0005}, {"dual\_delta":-0.0020,"color":-0.0005,"zomma":0.0000,"delta":0.0025,"implied\_vol":0.5749,"theta":-0.0130,"d1":-2.8050,"speed":0.0000,"d2":-2.8652,"epsilon":-0.0060,"lambda":56.7822,"vomma":2.5262,"underlying\_timestamp":"2024-11-04T09:50:00","timestamp":"2024-11-04T09:50:00","underlying\_price":221.20,"vera":0.0000,"veta":0.0133,"iv\_error":-0.0199,"ultima":22.1272,"charm":-1.0265,"ask":0.02,"rho":0.0059,"vanna":0.0388,"dual\_gamma":0.0000,"bid":0.00,"vega":0.1807,"gamma":0.0005}, {"dual\_delta":-0.0021,"color":-0.0005,"zomma":0.0000,"delta":0.0025,"implied\_vol":0.5625,"theta":-0.0129,"d1":-2.8027,"speed":0.0000,"d2":-2.8616,"epsilon":-0.0061,"lambda":57.9900,"vomma":2.6034,"underlying\_timestamp":"2024-11-04T10:00:00","timestamp":"2024-11-04T10:00:00","underlying\_price":222.06,"vera":0.0000,"veta":0.0136,"iv\_error":-0.0299,"ultima":23.2345,"charm":-1.0319,"ask":0.02,"rho":0.0060,"vanna":0.0399,"dual\_gamma":0.0000,"bid":0.00,"vega":0.1825,"gamma":0.0006}, {"dual\_delta":0.0000,"color":0.0000,"zomma":0.0000,"delta":0.0000,"implied\_vol":0.2500,"theta":0.0000,"d1":-6.3404,"speed":0.0000,"d2":-6.3666,"epsilon":0.0000,"lambda":254.5285,"vomma":0.0000,"underlying\_timestamp":"2024-11-04T10:10:00","timestamp":"2024-11-04T10:10:00","underlying\_price":222.17,"vera":0.0000,"veta":0.0000,"iv\_error":100.0000,"ultima":0.0004,"charm":0.0000,"ask":0.01,"rho":0.0000,"vanna":0.0000,"dual\_gamma":0.0000,"bid":0.00,"vega":0.0000,"gamma":0.0000} \] } \] } application/x-ndjson: schema: \*schema\_option\_history\_greeks\_all example: '{"symbol":"AAPL","dual\_delta":0.0000,"color":0.0000,"zomma":0.0000,"delta":0.0000,"implied\_vol":0.2500,"theta":0.0000,"d1":-6.5422,"speed":0.0000,"d2":-6.5683,"epsilon":0.0000,"lambda":261.9304,"vomma":0.0000,"underlying\_timestamp":"2024-11-04T09:30:00","timestamp":"2024-11-04T09:30:00","underlying\_price":221.00,"strike":262.500,"vera":0.0000,"right":"CALL","veta":0.0000,"iv\_error":100.0000,"ultima":0.0001,"charm":0.0000,"ask":0.00,"rho":0.0000,"expiration":"2024-11-08","vanna":0.0000,"dual\_gamma":0.0000,"bid":0.00,"vega":0.0000,"gamma":0.0000} {"symbol":"AAPL","dual\_delta":-0.0021,"color":-0.0005,"zomma":0.0000,"delta":0.0026,"implied\_vol":0.5874,"theta":-0.0138,"d1":-2.7911,"speed":0.0000,"d2":-2.8526,"epsilon":-0.0063,"lambda":55.3974,"vomma":2.5389,"underlying\_timestamp":"2024-11-04T09:40:00","timestamp":"2024-11-04T09:40:00","underlying\_price":220.56,"strike":262.500,"vera":0.0000,"right":"CALL","veta":0.0136,"iv\_error":0.0455,"ultima":21.4427,"charm":-1.0623,"ask":0.02,"rho":0.0062,"expiration":"2024-11-08","vanna":0.0393,"dual\_gamma":0.0000,"bid":0.00,"vega":0.1873,"gamma":0.0005} {"symbol":"AAPL","dual\_delta":-0.0020,"color":-0.0005,"zomma":0.0000,"delta":0.0025,"implied\_vol":0.5749,"theta":-0.0130,"d1":-2.8050,"speed":0.0000,"d2":-2.8652,"epsilon":-0.0060,"lambda":56.7822,"vomma":2.5262,"underlying\_timestamp":"2024-11-04T09:50:00","timestamp":"2024-11-04T09:50:00","underlying\_price":221.20,"strike":262.500,"vera":0.0000,"right":"CALL","veta":0.0133,"iv\_error":-0.0199,"ultima":22.1272,"charm":-1.0265,"ask":0.02,"rho":0.0059,"expiration":"2024-11-08","vanna":0.0388,"dual\_gamma":0.0000,"bid":0.00,"vega":0.1807,"gamma":0.0005} {"symbol":"AAPL","dual\_delta":-0.0021,"color":-0.0005,"zomma":0.0000,"delta":0.0025,"implied\_vol":0.5625,"theta":-0.0129,"d1":-2.8027,"speed":0.0000,"d2":-2.8616,"epsilon":-0.0061,"lambda":57.9900,"vomma":2.6034,"underlying\_timestamp":"2024-11-04T10:00:00","timestamp":"2024-11-04T10:00:00","underlying\_price":222.06,"strike":262.500,"vera":0.0000,"right":"CALL","veta":0.0136,"iv\_error":-0.0299,"ultima":23.2345,"charm":-1.0319,"ask":0.02,"rho":0.0060,"expiration":"2024-11-08","vanna":0.0399,"dual\_gamma":0.0000,"bid":0.00,"vega":0.1825,"gamma":0.0006} {"symbol":"AAPL","dual\_delta":0.0000,"color":0.0000,"zomma":0.0000,"delta":0.0000,"implied\_vol":0.2500,"theta":0.0000,"d1":-6.3404,"speed":0.0000,"d2":-6.3666,"epsilon":0.0000,"lambda":254.5285,"vomma":0.0000,"underlying\_timestamp":"2024-11-04T10:10:00","timestamp":"2024-11-04T10:10:00","underlying\_price":222.17,"strike":262.500,"vera":0.0000,"right":"CALL","veta":0.0000,"iv\_error":100.0000,"ultima":0.0004,"charm":0.0000,"ask":0.01,"rho":0.0000,"expiration":"2024-11-08","vanna":0.0000,"dual\_gamma":0.0000,"bid":0.00,"vega":0.0000,"gamma":0.0000}' /option/history/trade\_greeks/all: x-min-subscription: professional x-history-access: true get: summary: All Trade Greeks operationId: option\_history\_trade\_greeks\_all tags: - Option - History description: | - Returns the data for all contracts that share the same provided symbol and expiration. - Calculates greeks for every trade reported by \[OPRA\](/Articles/Data-And-Requests/The-SIPs.html). - The underlying price represents whatever the last underlying price was at the \`\`timestamp\`\` field. You can read more about how Theta Data calculates greeks \[here\](/Articles/Data-And-Requests/Option-Greeks.html). x-sample-urls: - url: http://localhost:25503/v3/option/history/trade\_greeks/all?symbol=AAPL&expiration=20231117&date=20231110 description: "Returns all trade greeks for an option contract" - url: http://localhost:25503/v3/option/history/trade\_greeks/all?symbol=AAPL&expiration=\*&date=20231110 description: "Returns all trade greeks for an full chain of option contracts" - url: http://localhost:25503/v3/option/history/trade\_greeks/all?symbol=AAPL&expiration=\*&date=20231110&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/date" - $ref: "#/components/parameters/single\_symbol" - $ref: "#/components/parameters/expiration" - $ref: "#/components/parameters/strike" - $ref: "#/components/parameters/right" - $ref: "#/components/parameters/start\_time" - $ref: "#/components/parameters/end\_time" - $ref: "#/components/parameters/annual\_dividend" - $ref: "#/components/parameters/rate\_type" - $ref: "#/components/parameters/rate\_value" - $ref: "#/components/parameters/greeks\_version" - $ref: "#/components/parameters/max\_dte" - $ref: "#/components/parameters/strike\_range" - $ref: "#/components/parameters/format" responses: '200': description: Returns all trade greeks for an option contract content: text/csv: schema: type: array items: &items\_option\_history\_trade\_greeks\_all type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. sequence: type: string description: The exchange \[sequence\](/Articles/Data-And-Requests/Making-Requests.html#trade-sequences). ext\_condition1: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext\_condition2: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext\_condition3: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext\_condition4: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. condition: type: integer description: The trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html). size: type: integer description: The amount of contracts / shares traded. exchange: type: integer description: The \[exchange\](/Articles/Errors-Exchanges-Conditions/Exchanges.html) the trade was executed. price: type: number description: The trade price. delta: type: number description: The delta. theta: type: string description: The Theta. vega: type: number description: The vega. rho: type: number description: The rho. epsilon: type: string description: The epsilon. lambda: type: number description: The lambda. gamma: type: number description: The gamma. vanna: type: number description: The vanna. charm: type: string description: The charm. vomma: type: number description: The vomma. veta: type: number description: The veta. vera: type: number description: The vera. speed: type: number description: The speed. zomma: type: number description: The zomma. color: type: string description: The color. ultima: type: string description: The ultima. d1: type: string description: The d1. d2: type: string description: The d2. dual\_delta: type: string description: The dual delta. dual\_gamma: type: number description: The dual gamma. implied\_vol: type: number description: The implied volatiltiy calculated using the trade price. iv\_error: type: string description: 'IV Error: the value of the option calculated using the implied volatiltiy divided by the actual value reported in the quote. This value will increase as the strike price recedes from the underlying price.' underlying\_timestamp: type: string format: date-time description: The underlying date formated as YYYY-MM-DDTHH:mm:ss.SSS format. underlying\_price: type: number description: The midpoint of the underlying at the time of the option trade. example: "symbol,expiration,strike,right,timestamp,sequence,ext\_condition1,ext\_condition2,ext\_condition3,ext\_condition4,condition,size,exchange,price,delta,theta,vega,rho,epsilon,lambda,gamma,vanna,charm,vomma,veta,vera,speed,zomma,color,ultima,d1,d2,dual\_delta,dual\_gamma,implied\_vol,iv\_error,underlying\_timestamp,underlying\_price\\r\\ \\nAAPL,2023-11-17,187.500,CALL,2023-11-10T09:30:00.004,-1391330475,255,255,255,255,18,1,9,0.59,0.2289,-0.1031,7.7122,0.7960,-0.8073,71.4109,0.0674,1.3174,-6.7146,24.9086,0.3553,0.0000,0.0000,0.0000,-0.0129,-100.0000,-0.7424,-0.7668,-0.2213,0.0000,0.1762,-0.0008,2023-11-10T09:30:00,183.89\\r\\ \\nAAPL,2023-11-17,187.500,CALL,2023-11-10T09:30:00.154,-1391317465,255,255,255,255,18,1,47,0.59,0.2289,-0.1031,7.7122,0.7960,-0.8073,71.4109,0.0674,1.3174,-6.7146,24.9086,0.3553,0.0000,0.0000,0.0000,-0.0129,-100.0000,-0.7424,-0.7668,-0.2213,0.0000,0.1762,-0.0008,2023-11-10T09:30:00,183.89\\r\\ \\nAAPL,2023-11-17,187.500,CALL,2023-11-10T09:30:00.22,-1391313694,255,255,255,255,18,8,6,0.52,0.2162,-0.0947,7.4656,0.7526,-0.7625,76.6064,0.0689,1.4186,-6.8508,28.3594,0.3755,0.0000,0.0000,0.0000,-0.0118,-100.0000,-0.7849,-0.8081,-0.2093,0.0000,0.1669,-0.0018,2023-11-10T09:30:00,183.89\\r\\ \\nAAPL,2023-11-17,187.500,CALL,2023-11-10T09:30:00.221,-1391313652,255,255,255,255,130,1,6,0.57,0.2256,-0.1009,7.6504,0.7849,-0.7958,72.7109,0.0678,1.3432,-6.7516,25.7650,0.3605,0.0000,0.0000,0.0000,-0.0126,-100.0000,-0.7531,-0.7772,-0.2182,0.0000,0.1738,0.0012,2023-11-10T09:30:00,183.89\\r\\ \\nAAPL,2023-11-17,187.500,CALL,2023-11-10T09:30:00.452,-1391297309,255,255,255,255,18,6,31,0.60,0.2308,-0.1044,7.7484,0.8025,-0.8140,70.6522,0.0672,1.3022,-6.6920,24.4114,0.3523,0.0000,0.0000,0.0000,-0.0130,-100.0000,-0.7360,-0.7607,-0.2231,0.0000,0.1777,0.0013,2023-11-10T09:30:00,183.89\\r\\ \\n" application/json: schema: &schema\_option\_history\_trade\_greeks\_all type: array items: \*items\_option\_history\_trade\_greeks\_all example: | { "response": \[ { "contract": {"symbol":"AAPL","strike":187.500,"right":"CALL","expiration":"2023-11-17"}, "data": \[ {"dual\_delta":-0.2213,"color":-0.0129,"zomma":0.0000,"delta":0.2289,"implied\_vol":0.1762,"theta":-0.1031,"d1":-0.7424,"speed":0.0000,"d2":-0.7668,"epsilon":-0.8073,"lambda":71.4109,"price":0.59,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":255,"vomma":24.9086,"ext\_condition3":255,"underlying\_timestamp":"2023-11-10T09:30:00","timestamp":"2023-11-10T09:30:00.004","underlying\_price":183.89,"vera":0.0000,"veta":0.3553,"iv\_error":-0.0008,"ultima":-100.0000,"sequence":-1391330475,"condition":18,"size":1,"charm":-6.7146,"rho":0.7960,"exchange":9,"vanna":1.3174,"dual\_gamma":0.0000,"vega":7.7122,"gamma":0.0674}, {"dual\_delta":-0.2213,"color":-0.0129,"zomma":0.0000,"delta":0.2289,"implied\_vol":0.1762,"theta":-0.1031,"d1":-0.7424,"speed":0.0000,"d2":-0.7668,"epsilon":-0.8073,"lambda":71.4109,"price":0.59,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":255,"vomma":24.9086,"ext\_condition3":255,"underlying\_timestamp":"2023-11-10T09:30:00","timestamp":"2023-11-10T09:30:00.154","underlying\_price":183.89,"vera":0.0000,"veta":0.3553,"iv\_error":-0.0008,"ultima":-100.0000,"sequence":-1391317465,"condition":18,"size":1,"charm":-6.7146,"rho":0.7960,"exchange":47,"vanna":1.3174,"dual\_gamma":0.0000,"vega":7.7122,"gamma":0.0674}, {"dual\_delta":-0.2093,"color":-0.0118,"zomma":0.0000,"delta":0.2162,"implied\_vol":0.1669,"theta":-0.0947,"d1":-0.7849,"speed":0.0000,"d2":-0.8081,"epsilon":-0.7625,"lambda":76.6064,"price":0.52,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":255,"vomma":28.3594,"ext\_condition3":255,"underlying\_timestamp":"2023-11-10T09:30:00","timestamp":"2023-11-10T09:30:00.22","underlying\_price":183.89,"vera":0.0000,"veta":0.3755,"iv\_error":-0.0018,"ultima":-100.0000,"sequence":-1391313694,"condition":18,"size":8,"charm":-6.8508,"rho":0.7526,"exchange":6,"vanna":1.4186,"dual\_gamma":0.0000,"vega":7.4656,"gamma":0.0689}, {"dual\_delta":-0.2182,"color":-0.0126,"zomma":0.0000,"delta":0.2256,"implied\_vol":0.1738,"theta":-0.1009,"d1":-0.7531,"speed":0.0000,"d2":-0.7772,"epsilon":-0.7958,"lambda":72.7109,"price":0.57,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":255,"vomma":25.7650,"ext\_condition3":255,"underlying\_timestamp":"2023-11-10T09:30:00","timestamp":"2023-11-10T09:30:00.221","underlying\_price":183.89,"vera":0.0000,"veta":0.3605,"iv\_error":0.0012,"ultima":-100.0000,"sequence":-1391313652,"condition":130,"size":1,"charm":-6.7516,"rho":0.7849,"exchange":6,"vanna":1.3432,"dual\_gamma":0.0000,"vega":7.6504,"gamma":0.0678}, {"dual\_delta":-0.2231,"color":-0.0130,"zomma":0.0000,"delta":0.2308,"implied\_vol":0.1777,"theta":-0.1044,"d1":-0.7360,"speed":0.0000,"d2":-0.7607,"epsilon":-0.8140,"lambda":70.6522,"price":0.60,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":255,"vomma":24.4114,"ext\_condition3":255,"underlying\_timestamp":"2023-11-10T09:30:00","timestamp":"2023-11-10T09:30:00.452","underlying\_price":183.89,"vera":0.0000,"veta":0.3523,"iv\_error":0.0013,"ultima":-100.0000,"sequence":-1391297309,"condition":18,"size":6,"charm":-6.6920,"rho":0.8025,"exchange":31,"vanna":1.3022,"dual\_gamma":0.0000,"vega":7.7484,"gamma":0.0672} \] } \] } application/x-ndjson: schema: \*schema\_option\_history\_trade\_greeks\_all example: '{"symbol":"AAPL","dual\_delta":-0.2213,"color":-0.0129,"zomma":0.0000,"delta":0.2289,"implied\_vol":0.1762,"theta":-0.1031,"d1":-0.7424,"speed":0.0000,"d2":-0.7668,"epsilon":-0.8073,"lambda":71.4109,"price":0.59,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":255,"vomma":24.9086,"ext\_condition3":255,"underlying\_timestamp":"2023-11-10T09:30:00","timestamp":"2023-11-10T09:30:00.004","underlying\_price":183.89,"strike":187.500,"vera":0.0000,"right":"CALL","veta":0.3553,"iv\_error":-0.0008,"ultima":-100.0000,"sequence":-1391330475,"condition":18,"size":1,"charm":-6.7146,"rho":0.7960,"expiration":"2023-11-17","exchange":9,"vanna":1.3174,"dual\_gamma":0.0000,"vega":7.7122,"gamma":0.0674} {"symbol":"AAPL","dual\_delta":-0.2213,"color":-0.0129,"zomma":0.0000,"delta":0.2289,"implied\_vol":0.1762,"theta":-0.1031,"d1":-0.7424,"speed":0.0000,"d2":-0.7668,"epsilon":-0.8073,"lambda":71.4109,"price":0.59,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":255,"vomma":24.9086,"ext\_condition3":255,"underlying\_timestamp":"2023-11-10T09:30:00","timestamp":"2023-11-10T09:30:00.154","underlying\_price":183.89,"strike":187.500,"vera":0.0000,"right":"CALL","veta":0.3553,"iv\_error":-0.0008,"ultima":-100.0000,"sequence":-1391317465,"condition":18,"size":1,"charm":-6.7146,"rho":0.7960,"expiration":"2023-11-17","exchange":47,"vanna":1.3174,"dual\_gamma":0.0000,"vega":7.7122,"gamma":0.0674} {"symbol":"AAPL","dual\_delta":-0.2093,"color":-0.0118,"zomma":0.0000,"delta":0.2162,"implied\_vol":0.1669,"theta":-0.0947,"d1":-0.7849,"speed":0.0000,"d2":-0.8081,"epsilon":-0.7625,"lambda":76.6064,"price":0.52,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":255,"vomma":28.3594,"ext\_condition3":255,"underlying\_timestamp":"2023-11-10T09:30:00","timestamp":"2023-11-10T09:30:00.22","underlying\_price":183.89,"strike":187.500,"vera":0.0000,"right":"CALL","veta":0.3755,"iv\_error":-0.0018,"ultima":-100.0000,"sequence":-1391313694,"condition":18,"size":8,"charm":-6.8508,"rho":0.7526,"expiration":"2023-11-17","exchange":6,"vanna":1.4186,"dual\_gamma":0.0000,"vega":7.4656,"gamma":0.0689} {"symbol":"AAPL","dual\_delta":-0.2182,"color":-0.0126,"zomma":0.0000,"delta":0.2256,"implied\_vol":0.1738,"theta":-0.1009,"d1":-0.7531,"speed":0.0000,"d2":-0.7772,"epsilon":-0.7958,"lambda":72.7109,"price":0.57,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":255,"vomma":25.7650,"ext\_condition3":255,"underlying\_timestamp":"2023-11-10T09:30:00","timestamp":"2023-11-10T09:30:00.221","underlying\_price":183.89,"strike":187.500,"vera":0.0000,"right":"CALL","veta":0.3605,"iv\_error":0.0012,"ultima":-100.0000,"sequence":-1391313652,"condition":130,"size":1,"charm":-6.7516,"rho":0.7849,"expiration":"2023-11-17","exchange":6,"vanna":1.3432,"dual\_gamma":0.0000,"vega":7.6504,"gamma":0.0678} {"symbol":"AAPL","dual\_delta":-0.2231,"color":-0.0130,"zomma":0.0000,"delta":0.2308,"implied\_vol":0.1777,"theta":-0.1044,"d1":-0.7360,"speed":0.0000,"d2":-0.7607,"epsilon":-0.8140,"lambda":70.6522,"price":0.60,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":255,"vomma":24.4114,"ext\_condition3":255,"underlying\_timestamp":"2023-11-10T09:30:00","timestamp":"2023-11-10T09:30:00.452","underlying\_price":183.89,"strike":187.500,"vera":0.0000,"right":"CALL","veta":0.3523,"iv\_error":0.0013,"ultima":-100.0000,"sequence":-1391297309,"condition":18,"size":6,"charm":-6.6920,"rho":0.8025,"expiration":"2023-11-17","exchange":31,"vanna":1.3022,"dual\_gamma":0.0000,"vega":7.7484,"gamma":0.0672}' /option/history/greeks/first\_order: x-min-subscription: standard x-history-access: true get: summary: First Order Greeks operationId: option\_history\_greeks\_first\_order tags: - Option - History description: | - Returns the data for all contracts that share the same provided symbol and expiration. - Calculated using the option and underlying midpoint price. If an interval size is specified (\*highly recommended\*), the option quote used in the calculation follows the same rules as the \[quote\](/operations/option\_history\_quote.html) endpoint. - The underlying price represents whatever the last underlying price was at the \`\`timestamp\`\` field. You can read more about how Theta Data calculates greeks \[here\](/Articles/Data-And-Requests/Option-Greeks.html). x-sample-urls: - url: http://localhost:25503/v3/option/history/greeks/first\_order?symbol=AAPL&expiration=20241108&date=20241104&interval=5m description: "Returns first order greeks for an option contract" - url: http://localhost:25503/v3/option/history/greeks/first\_order?symbol=AAPL&expiration=20241108&date=20241104&interval=5m&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/date" - $ref: "#/components/parameters/single\_symbol" - $ref: "#/components/parameters/expiration\_no\_star" - $ref: "#/components/parameters/strike" - $ref: "#/components/parameters/right" - $ref: "#/components/parameters/start\_time" - $ref: "#/components/parameters/end\_time" - $ref: "#/components/parameters/interval" - $ref: "#/components/parameters/annual\_dividend" - $ref: "#/components/parameters/rate\_type" - $ref: "#/components/parameters/rate\_value" - $ref: "#/components/parameters/greeks\_version" - $ref: "#/components/parameters/strike\_range" # - $ref: "#/components/parameters/max\_dte" expiration=\* not yet supported in v3 - $ref: "#/components/parameters/format" responses: '200': description: Returns first order greeks for an option contract content: text/csv: schema: type: array items: &items\_option\_history\_greeks\_first\_order type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. bid: type: number description: The last NBBO bid price. ask: type: number description: The last NBBO ask price. delta: type: number description: The delta. theta: type: number description: The Theta. vega: type: number description: The vega. rho: type: number description: The rho. epsilon: type: number description: The epsilon. lambda: type: number description: The lambda. implied\_vol: type: number description: The implied volatiltiy calculated using the trade price. iv\_error: type: number description: 'IV Error: the value of the option calculated using the implied volatiltiy divided by the actual value reported in the quote. This value will increase as the strike price recedes from the underlying price.' underlying\_timestamp: type: string format: date-time description: The underlying date formated as YYYY-MM-DDTHH:mm:ss.SSS format. underlying\_price: type: number description: The midpoint of the underlying at the time of the option trade. example: "symbol,expiration,strike,right,timestamp,bid,ask,delta,theta,vega,rho,epsilon,lambda,implied\_vol,iv\_error,underlying\_timestamp,underlying\_price\\r\\ \\nAAPL,2024-11-08,262.500,CALL,2024-11-04T09:30:00,0.00,0.00,0.0000,0.0000,0.0000,0.0000,0.0000,261.9304,0.2500,100.0000,2024-11-04T09:30:00,221.00\\r\\ \\nAAPL,2024-11-08,262.500,CALL,2024-11-04T09:35:00,0.00,0.02,0.0026,-0.0141,0.1913,0.0063,-0.0064,55.2930,0.5874,0.0721,2024-11-04T09:35:00,220.66\\r\\ \\nAAPL,2024-11-08,262.500,CALL,2024-11-04T09:40:00,0.00,0.02,0.0026,-0.0138,0.1873,0.0062,-0.0063,55.3974,0.5874,0.0455,2024-11-04T09:40:00,220.56\\r\\ \\nAAPL,2024-11-08,262.500,CALL,2024-11-04T09:45:00,0.00,0.02,0.0025,-0.0133,0.1832,0.0060,-0.0061,56.1024,0.5812,0.0075,2024-11-04T09:45:00,220.86\\r\\ \\nAAPL,2024-11-08,262.500,CALL,2024-11-04T09:50:00,0.00,0.02,0.0025,-0.0130,0.1807,0.0059,-0.0060,56.7822,0.5749,-0.0199,2024-11-04T09:50:00,221.20\\r\\ \\n" application/json: schema: &schema\_option\_history\_greeks\_first\_order type: array items: \*items\_option\_history\_greeks\_first\_order example: | { "response": \[ { "contract": {"symbol":"AAPL","strike":262.500,"right":"CALL","expiration":"2024-11-08"}, "data": \[ {"underlying\_price":221.00,"delta":0.0000,"implied\_vol":0.2500,"theta":0.0000,"iv\_error":100.0000,"epsilon":0.0000,"lambda":261.9304,"ask":0.00,"rho":0.0000,"bid":0.00,"underlying\_timestamp":"2024-11-04T09:30:00","vega":0.0000,"timestamp":"2024-11-04T09:30:00"}, {"underlying\_price":220.66,"delta":0.0026,"implied\_vol":0.5874,"theta":-0.0141,"iv\_error":0.0721,"epsilon":-0.0064,"lambda":55.2930,"ask":0.02,"rho":0.0063,"bid":0.00,"underlying\_timestamp":"2024-11-04T09:35:00","vega":0.1913,"timestamp":"2024-11-04T09:35:00"}, {"underlying\_price":220.56,"delta":0.0026,"implied\_vol":0.5874,"theta":-0.0138,"iv\_error":0.0455,"epsilon":-0.0063,"lambda":55.3974,"ask":0.02,"rho":0.0062,"bid":0.00,"underlying\_timestamp":"2024-11-04T09:40:00","vega":0.1873,"timestamp":"2024-11-04T09:40:00"}, {"underlying\_price":220.86,"delta":0.0025,"implied\_vol":0.5812,"theta":-0.0133,"iv\_error":0.0075,"epsilon":-0.0061,"lambda":56.1024,"ask":0.02,"rho":0.0060,"bid":0.00,"underlying\_timestamp":"2024-11-04T09:45:00","vega":0.1832,"timestamp":"2024-11-04T09:45:00"}, {"underlying\_price":221.20,"delta":0.0025,"implied\_vol":0.5749,"theta":-0.0130,"iv\_error":-0.0199,"epsilon":-0.0060,"lambda":56.7822,"ask":0.02,"rho":0.0059,"bid":0.00,"underlying\_timestamp":"2024-11-04T09:50:00","vega":0.1807,"timestamp":"2024-11-04T09:50:00"} \] } \] } application/x-ndjson: schema: \*schema\_option\_history\_greeks\_first\_order example: '{"symbol":"AAPL","underlying\_price":221.00,"strike":262.500,"delta":0.0000,"right":"CALL","implied\_vol":0.2500,"theta":0.0000,"iv\_error":100.0000,"epsilon":0.0000,"lambda":261.9304,"ask":0.00,"rho":0.0000,"expiration":"2024-11-08","bid":0.00,"underlying\_timestamp":"2024-11-04T09:30:00","vega":0.0000,"timestamp":"2024-11-04T09:30:00"} {"symbol":"AAPL","underlying\_price":220.66,"strike":262.500,"delta":0.0026,"right":"CALL","implied\_vol":0.5874,"theta":-0.0141,"iv\_error":0.0721,"epsilon":-0.0064,"lambda":55.2930,"ask":0.02,"rho":0.0063,"expiration":"2024-11-08","bid":0.00,"underlying\_timestamp":"2024-11-04T09:35:00","vega":0.1913,"timestamp":"2024-11-04T09:35:00"} {"symbol":"AAPL","underlying\_price":220.56,"strike":262.500,"delta":0.0026,"right":"CALL","implied\_vol":0.5874,"theta":-0.0138,"iv\_error":0.0455,"epsilon":-0.0063,"lambda":55.3974,"ask":0.02,"rho":0.0062,"expiration":"2024-11-08","bid":0.00,"underlying\_timestamp":"2024-11-04T09:40:00","vega":0.1873,"timestamp":"2024-11-04T09:40:00"} {"symbol":"AAPL","underlying\_price":220.86,"strike":262.500,"delta":0.0025,"right":"CALL","implied\_vol":0.5812,"theta":-0.0133,"iv\_error":0.0075,"epsilon":-0.0061,"lambda":56.1024,"ask":0.02,"rho":0.0060,"expiration":"2024-11-08","bid":0.00,"underlying\_timestamp":"2024-11-04T09:45:00","vega":0.1832,"timestamp":"2024-11-04T09:45:00"} {"symbol":"AAPL","underlying\_price":221.20,"strike":262.500,"delta":0.0025,"right":"CALL","implied\_vol":0.5749,"theta":-0.0130,"iv\_error":-0.0199,"epsilon":-0.0060,"lambda":56.7822,"ask":0.02,"rho":0.0059,"expiration":"2024-11-08","bid":0.00,"underlying\_timestamp":"2024-11-04T09:50:00","vega":0.1807,"timestamp":"2024-11-04T09:50:00"}' /option/history/trade\_greeks/first\_order: x-min-subscription: professional x-history-access: true get: summary: First Order Trade Greeks operationId: option\_history\_trade\_greeks\_first\_order tags: - Option - History description: | - Returns the data for all contracts that share the same provided symbol and expiration. - Calculates greeks for every trade reported by \[OPRA\](/Articles/Data-And-Requests/The-SIPs.html). - The underlying price represents whatever the last underlying price was at the \`\`timestamp\`\` field. You can read more about how Theta Data calculates greeks \[here\](/Articles/Data-And-Requests/Option-Greeks.html). x-sample-urls: - url: http://localhost:25503/v3/option/history/trade\_greeks/first\_order?symbol=AAPL&expiration=20241108&date=20241104 description: "Returns first order trade greeks for an option contract" - url: http://localhost:25503/v3/option/history/trade\_greeks/first\_order?symbol=AAPL&expiration=\*&date=20241104 description: "Returns first order trade greeks for an full chain of option contracts" - url: http://localhost:25503/v3/option/history/trade\_greeks/first\_order?symbol=AAPL&expiration=\*&date=20241104&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/date" - $ref: "#/components/parameters/single\_symbol" - $ref: "#/components/parameters/expiration" - $ref: "#/components/parameters/strike" - $ref: "#/components/parameters/right" - $ref: "#/components/parameters/start\_time" - $ref: "#/components/parameters/end\_time" - $ref: "#/components/parameters/annual\_dividend" - $ref: "#/components/parameters/rate\_type" - $ref: "#/components/parameters/rate\_value" - $ref: "#/components/parameters/greeks\_version" - $ref: "#/components/parameters/max\_dte" - $ref: "#/components/parameters/strike\_range" - $ref: "#/components/parameters/format" responses: '200': description: Returns first order trade greeks for an option contract content: text/csv: schema: type: array items: &items\_option\_history\_trade\_greeks\_first\_order type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. sequence: type: integer description: The exchange \[sequence\](/Articles/Data-And-Requests/Making-Requests.html#trade-sequences). ext\_condition1: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext\_condition2: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext\_condition3: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext\_condition4: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. condition: type: integer description: The trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html). size: type: integer description: The amount of contracts / shares traded. exchange: type: integer description: The \[exchange\](/Articles/Errors-Exchanges-Conditions/Exchanges.html) the trade was executed. price: type: number description: The trade price. delta: type: number description: The delta. theta: type: string description: The Theta. vega: type: number description: The vega. rho: type: number description: The rho. epsilon: type: string description: The epsilon. lambda: type: number description: The lambda. implied\_vol: type: number description: The implied volatiltiy calculated using the trade price. iv\_error: type: number description: 'IV Error: the value of the option calculated using the implied volatiltiy divided by the actual value reported in the quote. This value will increase as the strike price recedes from the underlying price.' underlying\_timestamp: type: string format: date-time description: The underlying date formated as YYYY-MM-DDTHH:mm:ss.SSS format. underlying\_price: type: number description: The midpoint of the underlying at the time of the option trade. example: "symbol,expiration,strike,right,timestamp,sequence,ext\_condition1,ext\_condition2,ext\_condition3,ext\_condition4,condition,size,exchange,price,delta,theta,vega,rho,epsilon,lambda,implied\_vol,iv\_error,underlying\_timestamp,underlying\_price\\r\\ \\nAAPL,2024-11-08,262.500,CALL,2024-11-04T09:53:54.069,156249981,255,255,255,255,125,1,9,0.01,0.0025,-0.0134,0.1858,0.0061,-0.0062,56.6408,0.5749,0.0132,2024-11-04T09:53:54,221.33\\r\\ \\nAAPL,2024-11-08,140.000,CALL,2024-11-04T11:47:14.764,546105677,255,255,255,255,131,2,5,81.32,0.9976,-0.0520,0.1690,1.5274,-2.4186,2.7139,1.5937,0.0000,2024-11-04T11:47:14,221.22\\r\\ \\nAAPL,2024-11-08,140.000,CALL,2024-11-04T11:47:56.669,548097371,255,255,255,255,130,3,7,81.16,1.0000,0.0000,0.0000,0.0000,0.0000,0.0000,0.0000,0.0011,2024-11-04T11:47:56,221.18\\r\\ \\nAAPL,2024-11-08,140.000,CALL,2024-11-04T11:48:03.852,548397162,255,255,255,255,130,3,6,81.26,0.9976,-0.0522,0.1697,1.5274,-2.4179,2.7152,1.5937,0.0000,2024-11-04T11:48:03,221.16\\r\\ \\nAAPL,2024-11-08,140.000,CALL,2024-11-04T11:48:51.11,550463381,255,255,255,255,131,1,5,81.27,0.9993,-0.0279,0.0544,1.5317,-2.4223,2.7198,1.3968,0.0000,2024-11-04T11:48:51,221.19\\r\\ \\n" application/json: schema: &schema\_option\_history\_trade\_greeks\_first\_order type: array items: \*items\_option\_history\_trade\_greeks\_first\_order example: | { "response": \[ { "contract": {"symbol":"AAPL","strike":262.500,"right":"CALL","expiration":"2024-11-08"}, "data": \[ {"underlying\_price":221.33,"delta":0.0025,"implied\_vol":0.5749,"theta":-0.0134,"iv\_error":0.0132,"epsilon":-0.0062,"sequence":156249981,"condition":125,"lambda":56.6408,"size":1,"price":0.01,"ext\_condition2":255,"rho":0.0061,"ext\_condition1":255,"ext\_condition4":255,"exchange":9,"ext\_condition3":255,"underlying\_timestamp":"2024-11-04T09:53:54","vega":0.1858,"timestamp":"2024-11-04T09:53:54.069"} \] }, { "contract": {"symbol":"AAPL","strike":140.000,"right":"CALL","expiration":"2024-11-08"}, "data": \[ {"underlying\_price":221.22,"delta":0.9976,"implied\_vol":1.5937,"theta":-0.0520,"iv\_error":0.0000,"epsilon":-2.4186,"sequence":546105677,"condition":131,"lambda":2.7139,"size":2,"price":81.32,"ext\_condition2":255,"rho":1.5274,"ext\_condition1":255,"ext\_condition4":255,"exchange":5,"ext\_condition3":255,"underlying\_timestamp":"2024-11-04T11:47:14","vega":0.1690,"timestamp":"2024-11-04T11:47:14.764"}, {"underlying\_price":221.18,"delta":1.0000,"implied\_vol":0.0000,"theta":0.0000,"iv\_error":0.0011,"epsilon":0.0000,"sequence":548097371,"condition":130,"lambda":0.0000,"size":3,"price":81.16,"ext\_condition2":255,"rho":0.0000,"ext\_condition1":255,"ext\_condition4":255,"exchange":7,"ext\_condition3":255,"underlying\_timestamp":"2024-11-04T11:47:56","vega":0.0000,"timestamp":"2024-11-04T11:47:56.669"}, {"underlying\_price":221.16,"delta":0.9976,"implied\_vol":1.5937,"theta":-0.0522,"iv\_error":0.0000,"epsilon":-2.4179,"sequence":548397162,"condition":130,"lambda":2.7152,"size":3,"price":81.26,"ext\_condition2":255,"rho":1.5274,"ext\_condition1":255,"ext\_condition4":255,"exchange":6,"ext\_condition3":255,"underlying\_timestamp":"2024-11-04T11:48:03","vega":0.1697,"timestamp":"2024-11-04T11:48:03.852"}, {"underlying\_price":221.19,"delta":0.9993,"implied\_vol":1.3968,"theta":-0.0279,"iv\_error":0.0000,"epsilon":-2.4223,"sequence":550463381,"condition":131,"lambda":2.7198,"size":1,"price":81.27,"ext\_condition2":255,"rho":1.5317,"ext\_condition1":255,"ext\_condition4":255,"exchange":5,"ext\_condition3":255,"underlying\_timestamp":"2024-11-04T11:48:51","vega":0.0544,"timestamp":"2024-11-04T11:48:51.11"} \] } \] } application/x-ndjson: schema: \*schema\_option\_history\_trade\_greeks\_first\_order example: '{"symbol":"AAPL","underlying\_price":221.33,"strike":262.500,"delta":0.0025,"right":"CALL","implied\_vol":0.5749,"theta":-0.0134,"iv\_error":0.0132,"epsilon":-0.0062,"sequence":156249981,"condition":125,"lambda":56.6408,"size":1,"price":0.01,"ext\_condition2":255,"rho":0.0061,"ext\_condition1":255,"expiration":"2024-11-08","ext\_condition4":255,"exchange":9,"ext\_condition3":255,"underlying\_timestamp":"2024-11-04T09:53:54","vega":0.1858,"timestamp":"2024-11-04T09:53:54.069"} {"symbol":"AAPL","underlying\_price":221.22,"strike":140.000,"delta":0.9976,"right":"CALL","implied\_vol":1.5937,"theta":-0.0520,"iv\_error":0.0000,"epsilon":-2.4186,"sequence":546105677,"condition":131,"lambda":2.7139,"size":2,"price":81.32,"ext\_condition2":255,"rho":1.5274,"ext\_condition1":255,"expiration":"2024-11-08","ext\_condition4":255,"exchange":5,"ext\_condition3":255,"underlying\_timestamp":"2024-11-04T11:47:14","vega":0.1690,"timestamp":"2024-11-04T11:47:14.764"} {"symbol":"AAPL","underlying\_price":221.18,"strike":140.000,"delta":1.0000,"right":"CALL","implied\_vol":0.0000,"theta":0.0000,"iv\_error":0.0011,"epsilon":0.0000,"sequence":548097371,"condition":130,"lambda":0.0000,"size":3,"price":81.16,"ext\_condition2":255,"rho":0.0000,"ext\_condition1":255,"expiration":"2024-11-08","ext\_condition4":255,"exchange":7,"ext\_condition3":255,"underlying\_timestamp":"2024-11-04T11:47:56","vega":0.0000,"timestamp":"2024-11-04T11:47:56.669"} {"symbol":"AAPL","underlying\_price":221.16,"strike":140.000,"delta":0.9976,"right":"CALL","implied\_vol":1.5937,"theta":-0.0522,"iv\_error":0.0000,"epsilon":-2.4179,"sequence":548397162,"condition":130,"lambda":2.7152,"size":3,"price":81.26,"ext\_condition2":255,"rho":1.5274,"ext\_condition1":255,"expiration":"2024-11-08","ext\_condition4":255,"exchange":6,"ext\_condition3":255,"underlying\_timestamp":"2024-11-04T11:48:03","vega":0.1697,"timestamp":"2024-11-04T11:48:03.852"} {"symbol":"AAPL","underlying\_price":221.19,"strike":140.000,"delta":0.9993,"right":"CALL","implied\_vol":1.3968,"theta":-0.0279,"iv\_error":0.0000,"epsilon":-2.4223,"sequence":550463381,"condition":131,"lambda":2.7198,"size":1,"price":81.27,"ext\_condition2":255,"rho":1.5317,"ext\_condition1":255,"expiration":"2024-11-08","ext\_condition4":255,"exchange":5,"ext\_condition3":255,"underlying\_timestamp":"2024-11-04T11:48:51","vega":0.0544,"timestamp":"2024-11-04T11:48:51.11"}' /option/history/greeks/second\_order: x-min-subscription: professional x-history-access: true get: summary: Second Order Greeks operationId: option\_history\_greeks\_second\_order tags: - Option - History description: | - Returns the data for all contracts that share the same provided symbol and expiration. - Calculated using the option and underlying midpoint price. If an interval size is specified (\*highly recommended\*), the option quote used in the calculation follows the same rules as the \[quote\](/operations/option\_history\_quote.html) endpoint. - The underlying price represents whatever the last underlying price was at the \`\`timestamp\`\` field. You can read more about how Theta Data calculates greeks \[here\](/Articles/Data-And-Requests/Option-Greeks.html). x-sample-urls: - url: http://localhost:25503/v3/option/history/greeks/second\_order?symbol=AAPL&expiration=20241108&date=20241104&interval=1h description: "Returns second order greeks for an option contract" - url: http://localhost:25503/v3/option/history/greeks/second\_order?symbol=AAPL&expiration=20241108&date=20241104&interval=1h&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/date" - $ref: "#/components/parameters/single\_symbol" - $ref: "#/components/parameters/expiration\_no\_star" - $ref: "#/components/parameters/strike" - $ref: "#/components/parameters/right" - $ref: "#/components/parameters/start\_time" - $ref: "#/components/parameters/end\_time" - $ref: "#/components/parameters/interval" - $ref: "#/components/parameters/annual\_dividend" - $ref: "#/components/parameters/rate\_type" - $ref: "#/components/parameters/rate\_value" - $ref: "#/components/parameters/greeks\_version" - $ref: "#/components/parameters/strike\_range" # - $ref: "#/components/parameters/max\_dte" expiration=\* not yet supported in v3 - $ref: "#/components/parameters/format" responses: '200': description: Returns second order greeks for an option contract content: text/csv: schema: type: array items: &items\_option\_history\_greeks\_second\_order type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. bid: type: number description: The last NBBO bid price. ask: type: number description: The last NBBO ask price. gamma: type: number description: The gamma. vanna: type: number description: The vanna. charm: type: number description: The charm. vomma: type: number description: The vomma. veta: type: number description: The veta. implied\_vol: type: number description: The implied volatiltiy calculated using the trade price. iv\_error: type: number description: 'IV Error: the value of the option calculated using the implied volatiltiy divided by the actual value reported in the quote. This value will increase as the strike price recedes from the underlying price.' underlying\_timestamp: type: string format: date-time description: The underlying date formated as YYYY-MM-DDTHH:mm:ss.SSS format. underlying\_price: type: number description: The midpoint of the underlying at the time of the option trade. example: "symbol,expiration,strike,right,timestamp,bid,ask,gamma,vanna,charm,vomma,veta,implied\_vol,iv\_error,underlying\_timestamp,underlying\_price\\r\\ \\nAAPL,2024-11-08,262.500,CALL,2024-11-04T09:30:00,0.00,0.00,0.0000,0.0000,0.0000,0.0000,0.0000,0.2500,100.0000,2024-11-04T09:30:00,221.00\\r\\ \\nAAPL,2024-11-08,262.500,CALL,2024-11-04T10:30:00,0.00,0.01,0.0000,0.0000,0.0000,0.0000,0.0000,0.2500,100.0000,2024-11-04T10:30:00,221.73\\r\\ \\nAAPL,2024-11-08,262.500,CALL,2024-11-04T11:30:00,0.00,0.01,0.0000,0.0000,0.0000,0.0000,0.0000,0.2500,100.0000,2024-11-04T11:30:00,221.49\\r\\ \\nAAPL,2024-11-08,262.500,CALL,2024-11-04T12:30:00,0.00,0.01,0.0000,0.0000,0.0000,0.0000,0.0000,0.2500,100.0000,2024-11-04T12:30:00,221.11\\r\\ \\nAAPL,2024-11-08,262.500,CALL,2024-11-04T13:30:00,0.00,0.01,0.0000,0.0000,0.0000,0.0000,0.0000,0.2500,100.0000,2024-11-04T13:30:00,222.03\\r\\ \\n" application/json: schema: &schema\_option\_history\_greeks\_second\_order type: array items: \*items\_option\_history\_greeks\_second\_order example: | { "response": \[ { "contract": {"symbol":"AAPL","strike":262.500,"right":"CALL","expiration":"2024-11-08"}, "data": \[ {"underlying\_price":221.00,"veta":0.0000,"implied\_vol":0.2500,"iv\_error":100.0000,"charm":0.0000,"ask":0.00,"vanna":0.0000,"vomma":0.0000,"bid":0.00,"underlying\_timestamp":"2024-11-04T09:30:00","gamma":0.0000,"timestamp":"2024-11-04T09:30:00"}, {"underlying\_price":221.73,"veta":0.0000,"implied\_vol":0.2500,"iv\_error":100.0000,"charm":0.0000,"ask":0.01,"vanna":0.0000,"vomma":0.0000,"bid":0.00,"underlying\_timestamp":"2024-11-04T10:30:00","gamma":0.0000,"timestamp":"2024-11-04T10:30:00"}, {"underlying\_price":221.49,"veta":0.0000,"implied\_vol":0.2500,"iv\_error":100.0000,"charm":0.0000,"ask":0.01,"vanna":0.0000,"vomma":0.0000,"bid":0.00,"underlying\_timestamp":"2024-11-04T11:30:00","gamma":0.0000,"timestamp":"2024-11-04T11:30:00"}, {"underlying\_price":221.11,"veta":0.0000,"implied\_vol":0.2500,"iv\_error":100.0000,"charm":0.0000,"ask":0.01,"vanna":0.0000,"vomma":0.0000,"bid":0.00,"underlying\_timestamp":"2024-11-04T12:30:00","gamma":0.0000,"timestamp":"2024-11-04T12:30:00"}, {"underlying\_price":222.03,"veta":0.0000,"implied\_vol":0.2500,"iv\_error":100.0000,"charm":0.0000,"ask":0.01,"vanna":0.0000,"vomma":0.0000,"bid":0.00,"underlying\_timestamp":"2024-11-04T13:30:00","gamma":0.0000,"timestamp":"2024-11-04T13:30:00"} \] } \] } application/x-ndjson: schema: \*schema\_option\_history\_greeks\_second\_order example: '{"symbol":"AAPL","underlying\_price":221.00,"strike":262.500,"right":"CALL","veta":0.0000,"implied\_vol":0.2500,"iv\_error":100.0000,"charm":0.0000,"ask":0.00,"expiration":"2024-11-08","vanna":0.0000,"vomma":0.0000,"bid":0.00,"underlying\_timestamp":"2024-11-04T09:30:00","gamma":0.0000,"timestamp":"2024-11-04T09:30:00"} {"symbol":"AAPL","underlying\_price":221.73,"strike":262.500,"right":"CALL","veta":0.0000,"implied\_vol":0.2500,"iv\_error":100.0000,"charm":0.0000,"ask":0.01,"expiration":"2024-11-08","vanna":0.0000,"vomma":0.0000,"bid":0.00,"underlying\_timestamp":"2024-11-04T10:30:00","gamma":0.0000,"timestamp":"2024-11-04T10:30:00"} {"symbol":"AAPL","underlying\_price":221.49,"strike":262.500,"right":"CALL","veta":0.0000,"implied\_vol":0.2500,"iv\_error":100.0000,"charm":0.0000,"ask":0.01,"expiration":"2024-11-08","vanna":0.0000,"vomma":0.0000,"bid":0.00,"underlying\_timestamp":"2024-11-04T11:30:00","gamma":0.0000,"timestamp":"2024-11-04T11:30:00"} {"symbol":"AAPL","underlying\_price":221.11,"strike":262.500,"right":"CALL","veta":0.0000,"implied\_vol":0.2500,"iv\_error":100.0000,"charm":0.0000,"ask":0.01,"expiration":"2024-11-08","vanna":0.0000,"vomma":0.0000,"bid":0.00,"underlying\_timestamp":"2024-11-04T12:30:00","gamma":0.0000,"timestamp":"2024-11-04T12:30:00"} {"symbol":"AAPL","underlying\_price":222.03,"strike":262.500,"right":"CALL","veta":0.0000,"implied\_vol":0.2500,"iv\_error":100.0000,"charm":0.0000,"ask":0.01,"expiration":"2024-11-08","vanna":0.0000,"vomma":0.0000,"bid":0.00,"underlying\_timestamp":"2024-11-04T13:30:00","gamma":0.0000,"timestamp":"2024-11-04T13:30:00"}' /option/history/trade\_greeks/second\_order: x-min-subscription: professional x-history-access: true get: summary: Second Order Trade Greeks operationId: option\_history\_trade\_greeks\_second\_order tags: - Option - History description: | - Returns the data for all contracts that share the same provided symbol and expiration. - Calculates greeks for every trade reported by \[OPRA\](/Articles/Data-And-Requests/The-SIPs.html). - The underlying price represents whatever the last underlying price was at the \`\`timestamp\`\` field. You can read more about how Theta Data calculates greeks \[here\](/Articles/Data-And-Requests/Option-Greeks.html). x-sample-urls: - url: http://localhost:25503/v3/option/history/trade\_greeks/second\_order?symbol=AAPL&expiration=20241108&date=20241104 description: "Returns second order trade greeks for an option contract" - url: http://localhost:25503/v3/option/history/trade\_greeks/second\_order?symbol=AAPL&expiration=\*&date=20241104 description: "Returns second order trade greeks for an full chain of option contracts" - url: http://localhost:25503/v3/option/history/trade\_greeks/second\_order?symbol=AAPL&expiration=\*&date=20241104&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/date" - $ref: "#/components/parameters/single\_symbol" - $ref: "#/components/parameters/expiration" - $ref: "#/components/parameters/strike" - $ref: "#/components/parameters/right" - $ref: "#/components/parameters/start\_time" - $ref: "#/components/parameters/end\_time" - $ref: "#/components/parameters/annual\_dividend" - $ref: "#/components/parameters/rate\_type" - $ref: "#/components/parameters/rate\_value" - $ref: "#/components/parameters/greeks\_version" - $ref: "#/components/parameters/max\_dte" - $ref: "#/components/parameters/strike\_range" - $ref: "#/components/parameters/format" responses: '200': description: Returns second order trade greeks for an option contract content: text/csv: schema: type: array items: &items\_option\_history\_trade\_greeks\_second\_order type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. sequence: type: integer description: The exchange \[sequence\](/Articles/Data-And-Requests/Making-Requests.html#trade-sequences). ext\_condition1: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext\_condition2: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext\_condition3: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext\_condition4: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. condition: type: integer description: The trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html). size: type: integer description: The amount of contracts / shares traded. exchange: type: integer description: The \[exchange\](/Articles/Errors-Exchanges-Conditions/Exchanges.html) the trade was executed. price: type: number description: The trade price. gamma: type: number description: The gamma. vanna: type: number description: The vanna. charm: type: string description: The charm. vomma: type: number description: The vomma. veta: type: number description: The veta. implied\_vol: type: number description: The implied volatiltiy calculated using the trade price. iv\_error: type: number description: 'IV Error: the value of the option calculated using the implied volatiltiy divided by the actual value reported in the quote. This value will increase as the strike price recedes from the underlying price.' underlying\_timestamp: type: string format: date-time description: The underlying date formated as YYYY-MM-DDTHH:mm:ss.SSS format. underlying\_price: type: number description: The midpoint of the underlying at the time of the option trade. example: "symbol,expiration,strike,right,timestamp,sequence,ext\_condition1,ext\_condition2,ext\_condition3,ext\_condition4,condition,size,exchange,price,gamma,vanna,charm,vomma,veta,implied\_vol,iv\_error,underlying\_timestamp,underlying\_price\\r\\ \\nAAPL,2024-11-08,262.500,CALL,2024-11-04T09:53:54.069,156249981,255,255,255,255,125,1,9,0.01,0.0006,0.0398,-1.0514,2.5798,0.0137,0.5749,0.0132,2024-11-04T09:53:54,221.33\\r\\ \\nAAPL,2024-11-08,140.000,CALL,2024-11-04T11:47:14.764,546105677,255,255,255,255,131,2,5,81.32,0.0001,-0.0121,0.8843,0.7986,0.0063,1.5937,0.0000,2024-11-04T11:47:14,221.22\\r\\ \\nAAPL,2024-11-08,140.000,CALL,2024-11-04T11:47:56.669,548097371,255,255,255,255,130,3,7,81.16,0.0000,0.0000,0.0000,0.0000,0.0000,0.0000,0.0011,2024-11-04T11:47:56,221.18\\r\\ \\nAAPL,2024-11-08,140.000,CALL,2024-11-04T11:48:03.852,548397162,255,255,255,255,130,3,6,81.26,0.0001,-0.0122,0.8879,0.8011,0.0064,1.5937,0.0000,2024-11-04T11:48:03,221.16\\r\\ \\nAAPL,2024-11-08,140.000,CALL,2024-11-04T11:48:51.11,550463381,255,255,255,255,131,1,5,81.27,0.0000,-0.0051,0.3271,0.3817,0.0025,1.3968,0.0000,2024-11-04T11:48:51,221.19\\r\\ \\n" application/json: schema: &schema\_option\_history\_trade\_greeks\_second\_order type: array items: \*items\_option\_history\_trade\_greeks\_second\_order example: | { "response": \[ { "contract": {"symbol":"AAPL","strike":262.500,"right":"CALL","expiration":"2024-11-08"}, "data": \[ {"underlying\_price":221.33,"veta":0.0137,"implied\_vol":0.5749,"iv\_error":0.0132,"sequence":156249981,"condition":125,"size":1,"charm":-1.0514,"price":0.01,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":255,"exchange":9,"vanna":0.0398,"vomma":2.5798,"ext\_condition3":255,"underlying\_timestamp":"2024-11-04T09:53:54","gamma":0.0006,"timestamp":"2024-11-04T09:53:54.069"} \] }, { "contract": {"symbol":"AAPL","strike":140.000,"right":"CALL","expiration":"2024-11-08"}, "data": \[ {"underlying\_price":221.22,"veta":0.0063,"implied\_vol":1.5937,"iv\_error":0.0000,"sequence":546105677,"condition":131,"size":2,"charm":0.8843,"price":81.32,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":255,"exchange":5,"vanna":-0.0121,"vomma":0.7986,"ext\_condition3":255,"underlying\_timestamp":"2024-11-04T11:47:14","gamma":0.0001,"timestamp":"2024-11-04T11:47:14.764"}, {"underlying\_price":221.18,"veta":0.0000,"implied\_vol":0.0000,"iv\_error":0.0011,"sequence":548097371,"condition":130,"size":3,"charm":0.0000,"price":81.16,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":255,"exchange":7,"vanna":0.0000,"vomma":0.0000,"ext\_condition3":255,"underlying\_timestamp":"2024-11-04T11:47:56","gamma":0.0000,"timestamp":"2024-11-04T11:47:56.669"}, {"underlying\_price":221.16,"veta":0.0064,"implied\_vol":1.5937,"iv\_error":0.0000,"sequence":548397162,"condition":130,"size":3,"charm":0.8879,"price":81.26,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":255,"exchange":6,"vanna":-0.0122,"vomma":0.8011,"ext\_condition3":255,"underlying\_timestamp":"2024-11-04T11:48:03","gamma":0.0001,"timestamp":"2024-11-04T11:48:03.852"}, {"underlying\_price":221.19,"veta":0.0025,"implied\_vol":1.3968,"iv\_error":0.0000,"sequence":550463381,"condition":131,"size":1,"charm":0.3271,"price":81.27,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":255,"exchange":5,"vanna":-0.0051,"vomma":0.3817,"ext\_condition3":255,"underlying\_timestamp":"2024-11-04T11:48:51","gamma":0.0000,"timestamp":"2024-11-04T11:48:51.11"} \] } \] } application/x-ndjson: schema: \*schema\_option\_history\_trade\_greeks\_second\_order example: '{"symbol":"AAPL","underlying\_price":221.33,"strike":262.500,"right":"CALL","veta":0.0137,"implied\_vol":0.5749,"iv\_error":0.0132,"sequence":156249981,"condition":125,"size":1,"charm":-1.0514,"price":0.01,"ext\_condition2":255,"ext\_condition1":255,"expiration":"2024-11-08","ext\_condition4":255,"exchange":9,"vanna":0.0398,"vomma":2.5798,"ext\_condition3":255,"underlying\_timestamp":"2024-11-04T09:53:54","gamma":0.0006,"timestamp":"2024-11-04T09:53:54.069"} {"symbol":"AAPL","underlying\_price":221.22,"strike":140.000,"right":"CALL","veta":0.0063,"implied\_vol":1.5937,"iv\_error":0.0000,"sequence":546105677,"condition":131,"size":2,"charm":0.8843,"price":81.32,"ext\_condition2":255,"ext\_condition1":255,"expiration":"2024-11-08","ext\_condition4":255,"exchange":5,"vanna":-0.0121,"vomma":0.7986,"ext\_condition3":255,"underlying\_timestamp":"2024-11-04T11:47:14","gamma":0.0001,"timestamp":"2024-11-04T11:47:14.764"} {"symbol":"AAPL","underlying\_price":221.18,"strike":140.000,"right":"CALL","veta":0.0000,"implied\_vol":0.0000,"iv\_error":0.0011,"sequence":548097371,"condition":130,"size":3,"charm":0.0000,"price":81.16,"ext\_condition2":255,"ext\_condition1":255,"expiration":"2024-11-08","ext\_condition4":255,"exchange":7,"vanna":0.0000,"vomma":0.0000,"ext\_condition3":255,"underlying\_timestamp":"2024-11-04T11:47:56","gamma":0.0000,"timestamp":"2024-11-04T11:47:56.669"} {"symbol":"AAPL","underlying\_price":221.16,"strike":140.000,"right":"CALL","veta":0.0064,"implied\_vol":1.5937,"iv\_error":0.0000,"sequence":548397162,"condition":130,"size":3,"charm":0.8879,"price":81.26,"ext\_condition2":255,"ext\_condition1":255,"expiration":"2024-11-08","ext\_condition4":255,"exchange":6,"vanna":-0.0122,"vomma":0.8011,"ext\_condition3":255,"underlying\_timestamp":"2024-11-04T11:48:03","gamma":0.0001,"timestamp":"2024-11-04T11:48:03.852"} {"symbol":"AAPL","underlying\_price":221.19,"strike":140.000,"right":"CALL","veta":0.0025,"implied\_vol":1.3968,"iv\_error":0.0000,"sequence":550463381,"condition":131,"size":1,"charm":0.3271,"price":81.27,"ext\_condition2":255,"ext\_condition1":255,"expiration":"2024-11-08","ext\_condition4":255,"exchange":5,"vanna":-0.0051,"vomma":0.3817,"ext\_condition3":255,"underlying\_timestamp":"2024-11-04T11:48:51","gamma":0.0000,"timestamp":"2024-11-04T11:48:51.11"}' /option/history/greeks/third\_order: x-min-subscription: professional x-history-access: true get: summary: Third Order Greeks operationId: option\_history\_greeks\_third\_order tags: - Option - History description: | - Returns the data for all contracts that share the same provided symbol and expiration. - Calculated using the option and underlying midpoint price. If an interval size is specified (\*highly recommended\*), the option quote used in the calculation follows the same rules as the \[quote\](/operations/option\_history\_quote.html) endpoint. - The underlying price represents whatever the last underlying price was at the \`\`timestamp\`\` field. You can read more about how Theta Data calculates greeks \[here\](/Articles/Data-And-Requests/Option-Greeks.html). x-sample-urls: - url: http://localhost:25503/v3/option/history/greeks/third\_order?symbol=AAPL&expiration=20241108&date=20241104&interval=1h description: "Returns third order greeks for an option contract" - url: http://localhost:25503/v3/option/history/greeks/third\_order?symbol=AAPL&expiration=20241108&date=20241104&interval=1h&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/date" - $ref: "#/components/parameters/single\_symbol" - $ref: "#/components/parameters/expiration\_no\_star" - $ref: "#/components/parameters/strike" - $ref: "#/components/parameters/right" - $ref: "#/components/parameters/start\_time" - $ref: "#/components/parameters/end\_time" - $ref: "#/components/parameters/interval" - $ref: "#/components/parameters/annual\_dividend" - $ref: "#/components/parameters/rate\_type" - $ref: "#/components/parameters/rate\_value" - $ref: "#/components/parameters/greeks\_version" - $ref: "#/components/parameters/strike\_range" # - $ref: "#/components/parameters/max\_dte" expiration=\* not yet supported in v3 - $ref: "#/components/parameters/format" responses: '200': description: Returns third order greeks for an option contract content: text/csv: schema: type: array items: &items\_option\_history\_greeks\_third\_order type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. bid: type: number description: The last NBBO bid price. ask: type: number description: The last NBBO ask price. speed: type: number description: The speed. zomma: type: number description: The zomma. color: type: number description: The color. ultima: type: number description: The ultima. implied\_vol: type: number description: The implied volatiltiy calculated using the trade price. iv\_error: type: number description: 'IV Error: the value of the option calculated using the implied volatiltiy divided by the actual value reported in the quote. This value will increase as the strike price recedes from the underlying price.' underlying\_timestamp: type: string format: date-time description: The underlying date formated as YYYY-MM-DDTHH:mm:ss.SSS format. underlying\_price: type: number description: The midpoint of the underlying at the time of the option trade. example: "symbol,expiration,strike,right,timestamp,bid,ask,speed,zomma,color,ultima,implied\_vol,iv\_error,underlying\_timestamp,underlying\_price\\r\\ \\nAAPL,2024-11-08,262.500,CALL,2024-11-04T09:30:00,0.00,0.00,0.0000,0.0000,0.0000,0.0001,0.2500,100.0000,2024-11-04T09:30:00,221.00\\r\\ \\nAAPL,2024-11-08,262.500,CALL,2024-11-04T10:30:00,0.00,0.01,0.0000,0.0000,0.0000,0.0002,0.2500,100.0000,2024-11-04T10:30:00,221.73\\r\\ \\nAAPL,2024-11-08,262.500,CALL,2024-11-04T11:30:00,0.00,0.01,0.0000,0.0000,0.0000,0.0002,0.2500,100.0000,2024-11-04T11:30:00,221.49\\r\\ \\nAAPL,2024-11-08,262.500,CALL,2024-11-04T12:30:00,0.00,0.01,0.0000,0.0000,0.0000,0.0001,0.2500,100.0000,2024-11-04T12:30:00,221.11\\r\\ \\nAAPL,2024-11-08,262.500,CALL,2024-11-04T13:30:00,0.00,0.01,0.0000,0.0000,0.0000,0.0003,0.2500,100.0000,2024-11-04T13:30:00,222.03\\r\\ \\n" application/json: schema: &schema\_option\_history\_greeks\_third\_order type: array items: \*items\_option\_history\_greeks\_third\_order example: | { "response": \[ { "contract": {"symbol":"AAPL","strike":262.500,"right":"CALL","expiration":"2024-11-08"}, "data": \[ {"underlying\_price":221.00,"color":0.0000,"zomma":0.0000,"implied\_vol":0.2500,"iv\_error":100.0000,"speed":0.0000,"ultima":0.0001,"ask":0.00,"bid":0.00,"underlying\_timestamp":"2024-11-04T09:30:00","timestamp":"2024-11-04T09:30:00"}, {"underlying\_price":221.73,"color":0.0000,"zomma":0.0000,"implied\_vol":0.2500,"iv\_error":100.0000,"speed":0.0000,"ultima":0.0002,"ask":0.01,"bid":0.00,"underlying\_timestamp":"2024-11-04T10:30:00","timestamp":"2024-11-04T10:30:00"}, {"underlying\_price":221.49,"color":0.0000,"zomma":0.0000,"implied\_vol":0.2500,"iv\_error":100.0000,"speed":0.0000,"ultima":0.0002,"ask":0.01,"bid":0.00,"underlying\_timestamp":"2024-11-04T11:30:00","timestamp":"2024-11-04T11:30:00"}, {"underlying\_price":221.11,"color":0.0000,"zomma":0.0000,"implied\_vol":0.2500,"iv\_error":100.0000,"speed":0.0000,"ultima":0.0001,"ask":0.01,"bid":0.00,"underlying\_timestamp":"2024-11-04T12:30:00","timestamp":"2024-11-04T12:30:00"}, {"underlying\_price":222.03,"color":0.0000,"zomma":0.0000,"implied\_vol":0.2500,"iv\_error":100.0000,"speed":0.0000,"ultima":0.0003,"ask":0.01,"bid":0.00,"underlying\_timestamp":"2024-11-04T13:30:00","timestamp":"2024-11-04T13:30:00"} \] } \] } application/x-ndjson: schema: \*schema\_option\_history\_greeks\_third\_order example: '{"symbol":"AAPL","underlying\_price":221.00,"color":0.0000,"strike":262.500,"zomma":0.0000,"right":"CALL","implied\_vol":0.2500,"iv\_error":100.0000,"speed":0.0000,"ultima":0.0001,"ask":0.00,"expiration":"2024-11-08","bid":0.00,"underlying\_timestamp":"2024-11-04T09:30:00","timestamp":"2024-11-04T09:30:00"} {"symbol":"AAPL","underlying\_price":221.73,"color":0.0000,"strike":262.500,"zomma":0.0000,"right":"CALL","implied\_vol":0.2500,"iv\_error":100.0000,"speed":0.0000,"ultima":0.0002,"ask":0.01,"expiration":"2024-11-08","bid":0.00,"underlying\_timestamp":"2024-11-04T10:30:00","timestamp":"2024-11-04T10:30:00"} {"symbol":"AAPL","underlying\_price":221.49,"color":0.0000,"strike":262.500,"zomma":0.0000,"right":"CALL","implied\_vol":0.2500,"iv\_error":100.0000,"speed":0.0000,"ultima":0.0002,"ask":0.01,"expiration":"2024-11-08","bid":0.00,"underlying\_timestamp":"2024-11-04T11:30:00","timestamp":"2024-11-04T11:30:00"} {"symbol":"AAPL","underlying\_price":221.11,"color":0.0000,"strike":262.500,"zomma":0.0000,"right":"CALL","implied\_vol":0.2500,"iv\_error":100.0000,"speed":0.0000,"ultima":0.0001,"ask":0.01,"expiration":"2024-11-08","bid":0.00,"underlying\_timestamp":"2024-11-04T12:30:00","timestamp":"2024-11-04T12:30:00"} {"symbol":"AAPL","underlying\_price":222.03,"color":0.0000,"strike":262.500,"zomma":0.0000,"right":"CALL","implied\_vol":0.2500,"iv\_error":100.0000,"speed":0.0000,"ultima":0.0003,"ask":0.01,"expiration":"2024-11-08","bid":0.00,"underlying\_timestamp":"2024-11-04T13:30:00","timestamp":"2024-11-04T13:30:00"}' /option/history/trade\_greeks/third\_order: x-min-subscription: professional x-history-access: true get: summary: Third Order Trade Greeks operationId: option\_history\_trade\_greeks\_third\_order tags: - Option - History description: | - Returns the data for all contracts that share the same provided symbol and expiration. - Calculates greeks for every trade reported by \[OPRA\](/Articles/Data-And-Requests/The-SIPs.html). - The underlying price represents whatever the last underlying price was at the \`\`timestamp\`\` field. You can read more about how Theta Data calculates greeks \[here\](/Articles/Data-And-Requests/Option-Greeks.html). x-sample-urls: - url: http://localhost:25503/v3/option/history/trade\_greeks/third\_order?symbol=AAPL&expiration=20241108&date=20241104 description: "Returns third order trade greeks for an option contract" - url: http://localhost:25503/v3/option/history/trade\_greeks/third\_order?symbol=AAPL&expiration=\*&date=20241104 description: "Returns third order trade greeks for an full chain of option contracts" - url: http://localhost:25503/v3/option/history/trade\_greeks/third\_order?symbol=AAPL&expiration=\*&date=20241104&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/date" - $ref: "#/components/parameters/single\_symbol" - $ref: "#/components/parameters/expiration" - $ref: "#/components/parameters/strike" - $ref: "#/components/parameters/right" - $ref: "#/components/parameters/start\_time" - $ref: "#/components/parameters/end\_time" - $ref: "#/components/parameters/annual\_dividend" - $ref: "#/components/parameters/rate\_type" - $ref: "#/components/parameters/rate\_value" - $ref: "#/components/parameters/greeks\_version" - $ref: "#/components/parameters/max\_dte" - $ref: "#/components/parameters/strike\_range" - $ref: "#/components/parameters/format" responses: '200': description: Returns third order trade greeks for an option contract content: text/csv: schema: type: array items: &items\_option\_history\_trade\_greeks\_third\_order type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. sequence: type: integer description: The exchange \[sequence\](/Articles/Data-And-Requests/Making-Requests.html#trade-sequences). ext\_condition1: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext\_condition2: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext\_condition3: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext\_condition4: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. condition: type: integer description: The trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html). size: type: integer description: The amount of contracts / shares traded. exchange: type: integer description: The \[exchange\](/Articles/Errors-Exchanges-Conditions/Exchanges.html) the trade was executed. price: type: number description: The trade price. speed: type: number description: The speed. zomma: type: number description: The zomma. color: type: string description: The color. ultima: type: number description: The ultima. implied\_vol: type: number description: The implied volatiltiy calculated using the trade price. iv\_error: type: number description: 'IV Error: the value of the option calculated using the implied volatiltiy divided by the actual value reported in the quote. This value will increase as the strike price recedes from the underlying price.' underlying\_timestamp: type: string format: date-time description: The underlying date formated as YYYY-MM-DDTHH:mm:ss.SSS format. underlying\_price: type: number description: The midpoint of the underlying at the time of the option trade. example: "symbol,expiration,strike,right,timestamp,sequence,ext\_condition1,ext\_condition2,ext\_condition3,ext\_condition4,condition,size,exchange,price,speed,zomma,color,ultima,implied\_vol,iv\_error,underlying\_timestamp,underlying\_price\\r\\ \\nAAPL,2024-11-08,262.500,CALL,2024-11-04T09:53:54.069,156249981,255,255,255,255,125,1,9,0.01,0.0000,0.0000,-0.0005,22.3494,0.5749,0.0132,2024-11-04T09:53:54,221.33\\r\\ \\nAAPL,2024-11-08,140.000,CALL,2024-11-04T11:47:14.764,546105677,255,255,255,255,131,2,5,81.32,0.0000,0.0000,-0.0013,2.2683,1.5937,0.0000,2024-11-04T11:47:14,221.22\\r\\ \\nAAPL,2024-11-08,140.000,CALL,2024-11-04T11:47:56.669,548097371,255,255,255,255,130,3,7,81.16,0.0000,0.0000,0.0000,0.0000,0.0000,0.0011,2024-11-04T11:47:56,221.18\\r\\ \\nAAPL,2024-11-08,140.000,CALL,2024-11-04T11:48:03.852,548397162,255,255,255,255,130,3,6,81.26,0.0000,0.0000,-0.0013,2.2709,1.5937,0.0000,2024-11-04T11:48:03,221.16\\r\\ \\nAAPL,2024-11-08,140.000,CALL,2024-11-04T11:48:51.11,550463381,255,255,255,255,131,1,5,81.27,0.0000,0.0000,-0.0003,1.8578,1.3968,0.0000,2024-11-04T11:48:51,221.19\\r\\ \\n" application/json: schema: &schema\_option\_history\_trade\_greeks\_third\_order type: array items: \*items\_option\_history\_trade\_greeks\_third\_order example: | { "response": \[ { "contract": {"symbol":"AAPL","strike":262.500,"right":"CALL","expiration":"2024-11-08"}, "data": \[ {"underlying\_price":221.33,"color":-0.0005,"zomma":0.0000,"implied\_vol":0.5749,"iv\_error":0.0132,"speed":0.0000,"ultima":22.3494,"sequence":156249981,"condition":125,"size":1,"price":0.01,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":255,"exchange":9,"ext\_condition3":255,"underlying\_timestamp":"2024-11-04T09:53:54","timestamp":"2024-11-04T09:53:54.069"} \] }, { "contract": {"symbol":"AAPL","strike":140.000,"right":"CALL","expiration":"2024-11-08"}, "data": \[ {"underlying\_price":221.22,"color":-0.0013,"zomma":0.0000,"implied\_vol":1.5937,"iv\_error":0.0000,"speed":0.0000,"ultima":2.2683,"sequence":546105677,"condition":131,"size":2,"price":81.32,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":255,"exchange":5,"ext\_condition3":255,"underlying\_timestamp":"2024-11-04T11:47:14","timestamp":"2024-11-04T11:47:14.764"}, {"underlying\_price":221.18,"color":0.0000,"zomma":0.0000,"implied\_vol":0.0000,"iv\_error":0.0011,"speed":0.0000,"ultima":0.0000,"sequence":548097371,"condition":130,"size":3,"price":81.16,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":255,"exchange":7,"ext\_condition3":255,"underlying\_timestamp":"2024-11-04T11:47:56","timestamp":"2024-11-04T11:47:56.669"}, {"underlying\_price":221.16,"color":-0.0013,"zomma":0.0000,"implied\_vol":1.5937,"iv\_error":0.0000,"speed":0.0000,"ultima":2.2709,"sequence":548397162,"condition":130,"size":3,"price":81.26,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":255,"exchange":6,"ext\_condition3":255,"underlying\_timestamp":"2024-11-04T11:48:03","timestamp":"2024-11-04T11:48:03.852"}, {"underlying\_price":221.19,"color":-0.0003,"zomma":0.0000,"implied\_vol":1.3968,"iv\_error":0.0000,"speed":0.0000,"ultima":1.8578,"sequence":550463381,"condition":131,"size":1,"price":81.27,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":255,"exchange":5,"ext\_condition3":255,"underlying\_timestamp":"2024-11-04T11:48:51","timestamp":"2024-11-04T11:48:51.11"} \] } \] } application/x-ndjson: schema: \*schema\_option\_history\_trade\_greeks\_third\_order example: '{"symbol":"AAPL","underlying\_price":221.33,"color":-0.0005,"strike":262.500,"zomma":0.0000,"right":"CALL","implied\_vol":0.5749,"iv\_error":0.0132,"speed":0.0000,"ultima":22.3494,"sequence":156249981,"condition":125,"size":1,"price":0.01,"ext\_condition2":255,"ext\_condition1":255,"expiration":"2024-11-08","ext\_condition4":255,"exchange":9,"ext\_condition3":255,"underlying\_timestamp":"2024-11-04T09:53:54","timestamp":"2024-11-04T09:53:54.069"} {"symbol":"AAPL","underlying\_price":221.22,"color":-0.0013,"strike":140.000,"zomma":0.0000,"right":"CALL","implied\_vol":1.5937,"iv\_error":0.0000,"speed":0.0000,"ultima":2.2683,"sequence":546105677,"condition":131,"size":2,"price":81.32,"ext\_condition2":255,"ext\_condition1":255,"expiration":"2024-11-08","ext\_condition4":255,"exchange":5,"ext\_condition3":255,"underlying\_timestamp":"2024-11-04T11:47:14","timestamp":"2024-11-04T11:47:14.764"} {"symbol":"AAPL","underlying\_price":221.18,"color":0.0000,"strike":140.000,"zomma":0.0000,"right":"CALL","implied\_vol":0.0000,"iv\_error":0.0011,"speed":0.0000,"ultima":0.0000,"sequence":548097371,"condition":130,"size":3,"price":81.16,"ext\_condition2":255,"ext\_condition1":255,"expiration":"2024-11-08","ext\_condition4":255,"exchange":7,"ext\_condition3":255,"underlying\_timestamp":"2024-11-04T11:47:56","timestamp":"2024-11-04T11:47:56.669"} {"symbol":"AAPL","underlying\_price":221.16,"color":-0.0013,"strike":140.000,"zomma":0.0000,"right":"CALL","implied\_vol":1.5937,"iv\_error":0.0000,"speed":0.0000,"ultima":2.2709,"sequence":548397162,"condition":130,"size":3,"price":81.26,"ext\_condition2":255,"ext\_condition1":255,"expiration":"2024-11-08","ext\_condition4":255,"exchange":6,"ext\_condition3":255,"underlying\_timestamp":"2024-11-04T11:48:03","timestamp":"2024-11-04T11:48:03.852"} {"symbol":"AAPL","underlying\_price":221.19,"color":-0.0003,"strike":140.000,"zomma":0.0000,"right":"CALL","implied\_vol":1.3968,"iv\_error":0.0000,"speed":0.0000,"ultima":1.8578,"sequence":550463381,"condition":131,"size":1,"price":81.27,"ext\_condition2":255,"ext\_condition1":255,"expiration":"2024-11-08","ext\_condition4":255,"exchange":5,"ext\_condition3":255,"underlying\_timestamp":"2024-11-04T11:48:51","timestamp":"2024-11-04T11:48:51.11"}' /option/history/greeks/implied\_volatility: x-min-subscription: standard x-history-access: true get: summary: Implied Volatility operationId: option\_history\_greeks\_implied\_volatility tags: - Option - History description: | - Returns implied volatilies calculated using the national best bid, mid, and ask price of the option respectively. - The underlying price represents whatever the last underlying price was at the \`\`timestamp\`\` field. You can read more about how Theta Data calculates greeks \[here\](/Articles/Data-And-Requests/Option-Greeks.html). x-sample-urls: - url: http://localhost:25503/v3/option/history/greeks/implied\_volatility?symbol=AAPL&expiration=20241108&strike=220.000&right=call&date=20241104&interval=5m description: "Returns 5m interval implied volatility for an option contract" - url: http://localhost:25503/v3/option/history/greeks/implied\_volatility?symbol=AAPL&expiration=20241108&strike=220.000&right=call&date=20241104&interval=5m&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/date" - $ref: "#/components/parameters/single\_symbol" - $ref: "#/components/parameters/expiration\_no\_star" - $ref: "#/components/parameters/strike" - $ref: "#/components/parameters/right" - $ref: "#/components/parameters/start\_time" - $ref: "#/components/parameters/end\_time" - $ref: "#/components/parameters/interval" - $ref: "#/components/parameters/annual\_dividend" - $ref: "#/components/parameters/rate\_type" - $ref: "#/components/parameters/rate\_value" - $ref: "#/components/parameters/greeks\_version" - $ref: "#/components/parameters/strike\_range" # - $ref: "#/components/parameters/max\_dte" expiration=\* not yet supported in v3 - $ref: "#/components/parameters/format" responses: '200': description: Returns 5m interval implied volatility for an option contract content: text/csv: schema: type: array items: &items\_option\_history\_greeks\_implied\_volatility type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. bid: type: number description: The last NBBO bid price. bid\_implied\_vol: type: number description: The implied volatiltiy calculated using the bid price. midpoint: type: number description: The midpoint calculated by averaging the bid & ask prices. implied\_vol: type: number description: The implied volatiltiy calculated using the trade price. ask: type: number description: The last NBBO ask price. ask\_implied\_vol: type: number description: The implied volatiltiy calculated using the ask price. iv\_error: type: number description: 'IV Error: the value of the option calculated using the implied volatiltiy divided by the actual value reported in the quote. This value will increase as the strike price recedes from the underlying price.' underlying\_timestamp: type: string format: date-time description: The underlying date formated as YYYY-MM-DDTHH:mm:ss.SSS format. underlying\_price: type: number description: The midpoint of the underlying at the time of the option trade. example: "symbol,expiration,strike,right,timestamp,bid,bid\_implied\_vol,midpoint,implied\_vol,ask,ask\_implied\_vol,iv\_error,underlying\_timestamp,underlying\_price\\r\\ \\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:30:00,0.00,0.0000,0.00,0.0000,0.00,0.0000,100.0000,2024-11-04T09:30:00,221.00\\r\\ \\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:35:00,3.75,0.3640,3.80,0.3693,3.85,0.3747,0.0000,2024-11-04T09:35:00,220.66\\r\\ \\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:40:00,3.70,0.3643,3.75,0.3698,3.80,0.3752,0.0000,2024-11-04T09:40:00,220.56\\r\\ \\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:45:00,3.75,0.3518,3.80,0.3574,3.85,0.3627,0.0000,2024-11-04T09:45:00,220.86\\r\\ \\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:50:00,3.85,0.3417,3.90,0.3474,3.95,0.3527,0.0000,2024-11-04T09:50:00,221.20\\r\\ \\n" application/json: schema: &schema\_option\_history\_greeks\_implied\_volatility type: array items: \*items\_option\_history\_greeks\_implied\_volatility example: | { "response": \[ { "contract": {"symbol":"AAPL","strike":220.000,"right":"CALL","expiration":"2024-11-08"}, "data": \[ {"underlying\_price":221.00,"implied\_vol":0.0000,"iv\_error":100.0000,"bid\_implied\_vol":0.0000,"ask":0.00,"midpoint":0.00,"ask\_implied\_vol":0.0000,"bid":0.00,"underlying\_timestamp":"2024-11-04T09:30:00","timestamp":"2024-11-04T09:30:00"}, {"underlying\_price":220.66,"implied\_vol":0.3693,"iv\_error":0.0000,"bid\_implied\_vol":0.3640,"ask":3.85,"midpoint":3.80,"ask\_implied\_vol":0.3747,"bid":3.75,"underlying\_timestamp":"2024-11-04T09:35:00","timestamp":"2024-11-04T09:35:00"}, {"underlying\_price":220.56,"implied\_vol":0.3698,"iv\_error":0.0000,"bid\_implied\_vol":0.3643,"ask":3.80,"midpoint":3.75,"ask\_implied\_vol":0.3752,"bid":3.70,"underlying\_timestamp":"2024-11-04T09:40:00","timestamp":"2024-11-04T09:40:00"}, {"underlying\_price":220.86,"implied\_vol":0.3574,"iv\_error":0.0000,"bid\_implied\_vol":0.3518,"ask":3.85,"midpoint":3.80,"ask\_implied\_vol":0.3627,"bid":3.75,"underlying\_timestamp":"2024-11-04T09:45:00","timestamp":"2024-11-04T09:45:00"}, {"underlying\_price":221.20,"implied\_vol":0.3474,"iv\_error":0.0000,"bid\_implied\_vol":0.3417,"ask":3.95,"midpoint":3.90,"ask\_implied\_vol":0.3527,"bid":3.85,"underlying\_timestamp":"2024-11-04T09:50:00","timestamp":"2024-11-04T09:50:00"} \] } \] } application/x-ndjson: schema: \*schema\_option\_history\_greeks\_implied\_volatility example: '{"symbol":"AAPL","underlying\_price":221.00,"strike":220.000,"right":"CALL","implied\_vol":0.0000,"iv\_error":100.0000,"bid\_implied\_vol":0.0000,"ask":0.00,"midpoint":0.00,"expiration":"2024-11-08","ask\_implied\_vol":0.0000,"bid":0.00,"underlying\_timestamp":"2024-11-04T09:30:00","timestamp":"2024-11-04T09:30:00"} {"symbol":"AAPL","underlying\_price":220.66,"strike":220.000,"right":"CALL","implied\_vol":0.3693,"iv\_error":0.0000,"bid\_implied\_vol":0.3640,"ask":3.85,"midpoint":3.80,"expiration":"2024-11-08","ask\_implied\_vol":0.3747,"bid":3.75,"underlying\_timestamp":"2024-11-04T09:35:00","timestamp":"2024-11-04T09:35:00"} {"symbol":"AAPL","underlying\_price":220.56,"strike":220.000,"right":"CALL","implied\_vol":0.3698,"iv\_error":0.0000,"bid\_implied\_vol":0.3643,"ask":3.80,"midpoint":3.75,"expiration":"2024-11-08","ask\_implied\_vol":0.3752,"bid":3.70,"underlying\_timestamp":"2024-11-04T09:40:00","timestamp":"2024-11-04T09:40:00"} {"symbol":"AAPL","underlying\_price":220.86,"strike":220.000,"right":"CALL","implied\_vol":0.3574,"iv\_error":0.0000,"bid\_implied\_vol":0.3518,"ask":3.85,"midpoint":3.80,"expiration":"2024-11-08","ask\_implied\_vol":0.3627,"bid":3.75,"underlying\_timestamp":"2024-11-04T09:45:00","timestamp":"2024-11-04T09:45:00"} {"symbol":"AAPL","underlying\_price":221.20,"strike":220.000,"right":"CALL","implied\_vol":0.3474,"iv\_error":0.0000,"bid\_implied\_vol":0.3417,"ask":3.95,"midpoint":3.90,"expiration":"2024-11-08","ask\_implied\_vol":0.3527,"bid":3.85,"underlying\_timestamp":"2024-11-04T09:50:00","timestamp":"2024-11-04T09:50:00"}' /option/history/trade\_greeks/implied\_volatility: x-min-subscription: professional x-history-access: true get: summary: Trade Implied Volatility operationId: option\_history\_trade\_greeks\_implied\_volatility tags: - Option - History description: | - Returns implied volatilies calculated using the trade reported by \[OPRA\](/Articles/Data-And-Requests/The-SIPs.html). - The underlying price represents whatever the last underlying price was at the \`\`timestamp\`\` field. You can read more about how Theta Data calculates greeks \[here\](/Articles/Data-And-Requests/Option-Greeks.html). x-sample-urls: - url: http://localhost:25503/v3/option/history/trade\_greeks/implied\_volatility?symbol=AAPL&expiration=20241108&strike=220.000&right=call&date=20241104 description: "Returns implied volatility for an option contract" - url: http://localhost:25503/v3/option/history/trade\_greeks/implied\_volatility?symbol=AAPL&expiration=20241108&strike=220.000&right=call&date=20241104&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/date" - $ref: "#/components/parameters/single\_symbol" - $ref: "#/components/parameters/expiration" - $ref: "#/components/parameters/strike" - $ref: "#/components/parameters/right" - $ref: "#/components/parameters/start\_time" - $ref: "#/components/parameters/end\_time" - $ref: "#/components/parameters/annual\_dividend" - $ref: "#/components/parameters/rate\_type" - $ref: "#/components/parameters/rate\_value" - $ref: "#/components/parameters/greeks\_version" - $ref: "#/components/parameters/max\_dte" - $ref: "#/components/parameters/strike\_range" - $ref: "#/components/parameters/format" responses: '200': description: Returns implied volatility for an option contract content: text/csv: schema: type: array items: &items\_option\_history\_trade\_greeks\_implied\_volatility type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. sequence: type: integer description: The exchange \[sequence\](/Articles/Data-And-Requests/Making-Requests.html#trade-sequences). ext\_condition1: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext\_condition2: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext\_condition3: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext\_condition4: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. condition: type: integer description: The trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html). size: type: integer description: The amount of contracts / shares traded. exchange: type: integer description: The \[exchange\](/Articles/Errors-Exchanges-Conditions/Exchanges.html) the trade was executed. price: type: number description: The trade price. implied\_vol: type: number description: The implied volatiltiy calculated using the trade price. iv\_error: type: number description: 'IV Error: the value of the option calculated using the implied volatiltiy divided by the actual value reported in the quote. This value will increase as the strike price recedes from the underlying price.' underlying\_timestamp: type: string format: date-time description: The underlying date formated as YYYY-MM-DDTHH:mm:ss.SSS format. underlying\_price: type: number description: The midpoint of the underlying at the time of the option trade. example: "symbol,expiration,strike,right,timestamp,sequence,ext\_condition1,ext\_condition2,ext\_condition3,ext\_condition4,condition,size,exchange,price,implied\_vol,iv\_error,underlying\_timestamp,underlying\_price\\r\\ \\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:30:00.471,18902138,255,255,255,255,130,2,22,3.90,0.3598,0.0002,2024-11-04T09:30:00,221.00\\r\\ \\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:30:01.626,19368856,255,255,255,255,130,1,6,4.25,0.3876,0.0000,2024-11-04T09:30:01,221.17\\r\\ \\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:30:01.698,19403970,255,255,255,255,130,1,6,4.22,0.3842,-0.0002,2024-11-04T09:30:01,221.17\\r\\ \\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:30:02.064,19598457,255,255,255,255,18,1,5,4.15,0.3640,-0.0001,2024-11-04T09:30:02,221.37\\r\\ \\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:30:02.064,19598464,255,255,255,255,18,1,5,4.15,0.3640,-0.0001,2024-11-04T09:30:02,221.37\\r\\ \\n" application/json: schema: &schema\_option\_history\_trade\_greeks\_implied\_volatility type: array items: \*items\_option\_history\_trade\_greeks\_implied\_volatility example: | { "response": \[ { "contract": {"symbol":"AAPL","strike":220.000,"right":"CALL","expiration":"2024-11-08"}, "data": \[ {"underlying\_price":221.00,"implied\_vol":0.3598,"iv\_error":0.0002,"sequence":18902138,"condition":130,"size":2,"price":3.90,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":255,"exchange":22,"ext\_condition3":255,"underlying\_timestamp":"2024-11-04T09:30:00","timestamp":"2024-11-04T09:30:00.471"}, {"underlying\_price":221.17,"implied\_vol":0.3876,"iv\_error":0.0000,"sequence":19368856,"condition":130,"size":1,"price":4.25,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":255,"exchange":6,"ext\_condition3":255,"underlying\_timestamp":"2024-11-04T09:30:01","timestamp":"2024-11-04T09:30:01.626"}, {"underlying\_price":221.17,"implied\_vol":0.3842,"iv\_error":-0.0002,"sequence":19403970,"condition":130,"size":1,"price":4.22,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":255,"exchange":6,"ext\_condition3":255,"underlying\_timestamp":"2024-11-04T09:30:01","timestamp":"2024-11-04T09:30:01.698"}, {"underlying\_price":221.37,"implied\_vol":0.3640,"iv\_error":-0.0001,"sequence":19598457,"condition":18,"size":1,"price":4.15,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":255,"exchange":5,"ext\_condition3":255,"underlying\_timestamp":"2024-11-04T09:30:02","timestamp":"2024-11-04T09:30:02.064"}, {"underlying\_price":221.37,"implied\_vol":0.3640,"iv\_error":-0.0001,"sequence":19598464,"condition":18,"size":1,"price":4.15,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":255,"exchange":5,"ext\_condition3":255,"underlying\_timestamp":"2024-11-04T09:30:02","timestamp":"2024-11-04T09:30:02.064"} \] } \] } application/x-ndjson: schema: \*schema\_option\_history\_trade\_greeks\_implied\_volatility example: '{"symbol":"AAPL","underlying\_price":221.00,"strike":220.000,"right":"CALL","implied\_vol":0.3598,"iv\_error":0.0002,"sequence":18902138,"condition":130,"size":2,"price":3.90,"ext\_condition2":255,"ext\_condition1":255,"expiration":"2024-11-08","ext\_condition4":255,"exchange":22,"ext\_condition3":255,"underlying\_timestamp":"2024-11-04T09:30:00","timestamp":"2024-11-04T09:30:00.471"} {"symbol":"AAPL","underlying\_price":221.17,"strike":220.000,"right":"CALL","implied\_vol":0.3876,"iv\_error":0.0000,"sequence":19368856,"condition":130,"size":1,"price":4.25,"ext\_condition2":255,"ext\_condition1":255,"expiration":"2024-11-08","ext\_condition4":255,"exchange":6,"ext\_condition3":255,"underlying\_timestamp":"2024-11-04T09:30:01","timestamp":"2024-11-04T09:30:01.626"} {"symbol":"AAPL","underlying\_price":221.17,"strike":220.000,"right":"CALL","implied\_vol":0.3842,"iv\_error":-0.0002,"sequence":19403970,"condition":130,"size":1,"price":4.22,"ext\_condition2":255,"ext\_condition1":255,"expiration":"2024-11-08","ext\_condition4":255,"exchange":6,"ext\_condition3":255,"underlying\_timestamp":"2024-11-04T09:30:01","timestamp":"2024-11-04T09:30:01.698"} {"symbol":"AAPL","underlying\_price":221.37,"strike":220.000,"right":"CALL","implied\_vol":0.3640,"iv\_error":-0.0001,"sequence":19598457,"condition":18,"size":1,"price":4.15,"ext\_condition2":255,"ext\_condition1":255,"expiration":"2024-11-08","ext\_condition4":255,"exchange":5,"ext\_condition3":255,"underlying\_timestamp":"2024-11-04T09:30:02","timestamp":"2024-11-04T09:30:02.064"} {"symbol":"AAPL","underlying\_price":221.37,"strike":220.000,"right":"CALL","implied\_vol":0.3640,"iv\_error":-0.0001,"sequence":19598464,"condition":18,"size":1,"price":4.15,"ext\_condition2":255,"ext\_condition1":255,"expiration":"2024-11-08","ext\_condition4":255,"exchange":5,"ext\_condition3":255,"underlying\_timestamp":"2024-11-04T09:30:02","timestamp":"2024-11-04T09:30:02.064"}' /option/at\_time/trade: x-min-subscription: standard x-history-access: true get: summary: Trade operationId: option\_at\_time\_trade tags: - Option - At-Time description: | - Returns the last trade reported by \[OPRA\](/Articles/Data-And-Requests/The-SIPs.html) at a specified millisecond of the day. - Trade condition mappings can be found \[here\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html). - Extended trade conditions are not reported by \[OPRA\](/Articles/Data-And-Requests/The-SIPs.html) for options, so they can be ignored. - The \`\`time\_of\_day\`\`parameter represents the 00:00:00.000 ET that the trade should be provided for. x-sample-urls: - url: http://localhost:25503/v3/option/at\_time/trade?symbol=AAPL&expiration=20241108&strike=220.000&right=call&start\_date=20241104&end\_date=20241104&time\_of\_day=09:30:01.000 description: "Returns the last trade for an option contract" - url: http://localhost:25503/v3/option/at\_time/trade?symbol=AAPL&expiration=20241108&strike=220.000&right=call&start\_date=20241104&end\_date=20241104&time\_of\_day=09:30:01.000&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/single\_symbol" - $ref: "#/components/parameters/start\_date" - $ref: "#/components/parameters/end\_date" - $ref: "#/components/parameters/time\_of\_day" - $ref: "#/components/parameters/expiration" - $ref: "#/components/parameters/strike" - $ref: "#/components/parameters/right" - $ref: "#/components/parameters/max\_dte" - $ref: "#/components/parameters/strike\_range" - $ref: "#/components/parameters/format" responses: '200': description: Returns the last trade for an option contract content: text/csv: schema: type: array items: &items\_option\_at\_time\_trade type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. sequence: type: integer description: The exchange \[sequence\](/Articles/Data-And-Requests/Making-Requests.html#trade-sequences). ext\_condition1: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext\_condition2: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext\_condition3: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext\_condition4: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. condition: type: integer description: The trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html). size: type: integer description: The amount of contracts / shares traded. exchange: type: integer description: The \[exchange\](/Articles/Errors-Exchanges-Conditions/Exchanges.html) the trade was executed. price: type: number description: The trade price. example: "symbol,expiration,strike,right,timestamp,sequence,ext\_condition1,ext\_condition2,ext\_condition3,ext\_condition4,condition,size,exchange,price\\r\\ \\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:30:00.471,18902138,255,255,255,255,130,2,22,3.90\\r\\n" application/json: schema: &schema\_option\_at\_time\_trade type: array items: \*items\_option\_at\_time\_trade example: | { "response": \[ { "contract": {"symbol":"AAPL","strike":220.000,"right":"CALL","expiration":"2024-11-08"}, "data": \[ {"sequence":18902138,"condition":130,"size":2,"price":3.90,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":255,"exchange":22,"ext\_condition3":255,"timestamp":"2024-11-04T09:30:00.471"} \] } \] } application/x-ndjson: schema: \*schema\_option\_at\_time\_trade example: '{"symbol":"AAPL","strike":220.000,"right":"CALL","sequence":18902138,"condition":130,"size":2,"price":3.90,"ext\_condition2":255,"ext\_condition1":255,"expiration":"2024-11-08","ext\_condition4":255,"exchange":22,"ext\_condition3":255,"timestamp":"2024-11-04T09:30:00.471"}' /option/at\_time/quote: x-min-subscription: value x-history-access: true get: summary: Quote operationId: option\_at\_time\_quote tags: - Option - At-Time description: | - Returns the last NBBO quote reported by \[OPRA\](/Articles/Data-And-Requests/The-SIPs.html) at a specified millisecond of the day. - The \`\`time\_of\_day\`\`parameter represents the 00:00:00.000 ET that the quote should be provided for. x-sample-urls: - url: http://localhost:25503/v3/option/at\_time/quote?symbol=AAPL&expiration=20241108&strike=220.000&right=call&start\_date=20241104&end\_date=20241104&time\_of\_day=09:30:01.000 description: "Returns the last quote for an option contract" - url: http://localhost:25503/v3/option/at\_time/quote?symbol=AAPL&expiration=20241108&strike=220.000&right=call&start\_date=20241104&end\_date=20241104&time\_of\_day=09:30:01.000&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/single\_symbol" - $ref: "#/components/parameters/start\_date" - $ref: "#/components/parameters/end\_date" - $ref: "#/components/parameters/time\_of\_day" - $ref: "#/components/parameters/expiration" - $ref: "#/components/parameters/strike" - $ref: "#/components/parameters/right" - $ref: "#/components/parameters/max\_dte" - $ref: "#/components/parameters/strike\_range" - $ref: "#/components/parameters/format" responses: '200': description: Returns the last quote for an option contract content: text/csv: schema: type: array items: &items\_option\_at\_time\_quote type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. bid\_size: type: integer description: The last NBBO bid size. bid\_exchange: type: integer description: The last NBBO bid \[exchange\](/Articles/Errors-Exchanges-Conditions/Exchanges.html). bid: type: number description: The last NBBO bid price. bid\_condition: type: integer description: The last NBBO bid \[condition\](/Articles/Errors-Exchanges-Conditions/Quote-Conditions.html). ask\_size: type: integer description: The last NBBO ask size. ask\_exchange: type: integer description: The last NBBO ask \[exchange\](/Articles/Errors-Exchanges-Conditions/Exchanges.html). ask: type: number description: The last NBBO ask price. ask\_condition: type: integer description: The last NBBO ask \[condition\](/Articles/Errors-Exchanges-Conditions/Quote-Conditions.html). example: "symbol,expiration,strike,right,timestamp,bid\_size,bid\_exchange,bid,bid\_condition,ask\_size,ask\_exchange,ask,ask\_condition\\r\\ \\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:30:00.91,129,69,3.95,50,14,47,4.10,50\\r\\n" application/json: schema: &schema\_option\_at\_time\_quote type: array items: \*items\_option\_at\_time\_quote example: | { "response": \[ { "contract": {"symbol":"AAPL","strike":220.000,"right":"CALL","expiration":"2024-11-08"}, "data": \[ {"ask\_size":14,"ask\_condition":50,"bid\_size":129,"ask\_exchange":47,"bid\_exchange":69,"ask":4.10,"bid":3.95,"bid\_condition":50,"timestamp":"2024-11-04T09:30:00.91"} \] } \] } application/x-ndjson: schema: \*schema\_option\_at\_time\_quote example: '{"symbol":"AAPL","ask\_size":14,"ask\_condition":50,"strike":220.000,"right":"CALL","bid\_size":129,"ask\_exchange":47,"bid\_exchange":69,"ask":4.10,"expiration":"2024-11-08","bid":3.95,"bid\_condition":50,"timestamp":"2024-11-04T09:30:00.91"}' # # INDEX ENDPOINTS # /index/list/symbols: x-min-subscription: free get: summary: Symbols operationId: index\_list\_symbols tags: - Index - List description: | A symbol can be defined as a unique identifier for a stock / underlying asset. Common terms also include: root, ticker, and underlying. This endpoint returns all traded symbols for options. This endpoint is updated overnight. x-sample-urls: - url: http://localhost:25503/v3/index/list/symbols description: "List all symbols for indices" - url: http://localhost:25503/v3/index/list/symbols?format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/format" responses: '200': description: List all symbols for indices content: text/csv: schema: type: array items: &items\_index\_list\_symbols type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. example: "symbol\\r\\nAASGI\\r\\nAASUS\\r\\nACNAC\\r\\nACNIT\\r\\nACNRE\\r\\n" application/json: schema: &schema\_index\_list\_symbols type: array items: \*items\_index\_list\_symbols example: | { "response": \[ {"symbol":"AASGI"}, {"symbol":"AASUS"}, {"symbol":"ACNAC"}, {"symbol":"ACNIT"}, {"symbol":"ACNRE"} \] } application/x-ndjson: schema: \*schema\_index\_list\_symbols example: '{"symbol":"AASGI"} {"symbol":"AASUS"} {"symbol":"ACNAC"} {"symbol":"ACNIT"} {"symbol":"ACNRE"}' /index/list/dates: x-min-subscription: free get: summary: Dates operationId: index\_list\_dates tags: - Index - List description: | Lists all dates of data that are available for a index with a given request type and symbol. This endpoint is updated overnight. x-sample-urls: - url: http://localhost:25503/v3/index/list/dates?symbol=SPX description: "List all dates for a index for a given symbol" - url: http://localhost:25503/v3/index/list/dates?symbol=SPX&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/multi\_symbol" - $ref: "#/components/parameters/format" responses: '200': description: List all dates for a index for a given symbol content: text/csv: schema: type: array items: &items\_index\_list\_dates type: object properties: date: type: string format: date description: The date formated as YYYY-MM-DD. example: "date\\r\\n2023-04-17\\r\\n2023-04-18\\r\\n2023-04-19\\r\\n2023-04-20\\r\\n2023-04-21\\r\\n" application/json: schema: &schema\_index\_list\_dates type: array items: \*items\_index\_list\_dates example: | { "response": \[ {"date":"2023-04-17"}, {"date":"2023-04-18"}, {"date":"2023-04-19"}, {"date":"2023-04-20"}, {"date":"2023-04-21"} \] } application/x-ndjson: schema: \*schema\_index\_list\_dates example: '{"date":"2023-04-17"} {"date":"2023-04-18"} {"date":"2023-04-19"} {"date":"2023-04-20"} {"date":"2023-04-21"}' /index/snapshot/ohlc: x-min-subscription: standard get: summary: Open High Low Close operationId: index\_snapshot\_ohlc tags: - Index - Snapshot description: | - Retrieves the real-time current day OHLC. - \[Exchanges\](/Articles/Data-And-Requests/The-SIPs.html) typically generate a price report every second for popular indices like SPX. x-sample-urls: - url: http://localhost:25503/v3/index/snapshot/ohlc?symbol=SPX description: "Returns OHLC for a given index price change" - url: http://localhost:25503/v3/index/snapshot/ohlc?symbol=SPX&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/multi\_symbol" - $ref: "#/components/parameters/format" responses: '200': description: Returns OHLC for a given index price change content: text/csv: schema: type: array items: &items\_index\_snapshot\_ohlc type: object properties: timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. open: type: number description: The opening trade price. high: type: number description: The highest traded price. low: type: number description: The lowest traded price. close: type: number description: The closing traded price. volume: type: integer description: The amount of contracts / shares traded. count: type: integer description: The amount of trades. example: "timestamp,symbol,open,high,low,close,volume,count\\r\\n2025-08-20T16:02:06,SPX,6406.62,6408.40,6343.86,6395.78,0,0\\r\\ \\n" application/json: schema: &schema\_index\_snapshot\_ohlc type: array items: \*items\_index\_snapshot\_ohlc example: | { "response": \[ {"volume":0,"symbol":"SPX","high":6408.40,"low":6343.86,"count":0,"close":6395.78,"open":6406.62,"timestamp":"2025-08-20T16:02:06"} \] } application/x-ndjson: schema: \*schema\_index\_snapshot\_ohlc example: '{"volume":0,"symbol":"SPX","high":6408.40,"low":6343.86,"count":0,"close":6395.78,"open":6406.62,"timestamp":"2025-08-20T16:02:06"}' /index/snapshot/price: x-min-subscription: standard get: summary: Price operationId: index\_snapshot\_price tags: - Index - Snapshot description: | - Retrieves a real-time last index price. - \[Exchanges\](/Articles/Data-And-Requests/The-SIPs.html) typically generate a price report every second for popular indices like SPX. x-sample-urls: - url: http://localhost:25503/v3/index/snapshot/price?symbol=SPX description: "Returns last index price" - url: http://localhost:25503/v3/index/snapshot/price?symbol=SPX&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/multi\_symbol" - $ref: "#/components/parameters/format" responses: '200': description: Returns last index price content: text/csv: schema: type: array items: &items\_index\_snapshot\_price type: object properties: timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. price: type: number description: The trade price. example: "timestamp,symbol,price\\r\\n2025-08-20T16:02:06,SPX,6395.78\\r\\n" application/json: schema: &schema\_index\_snapshot\_price type: array items: \*items\_index\_snapshot\_price example: | { "response": \[ {"symbol":"SPX","price":6395.78,"timestamp":"2025-08-20T16:02:06"} \] } application/x-ndjson: schema: \*schema\_index\_snapshot\_price example: '{"symbol":"SPX","price":6395.78,"timestamp":"2025-08-20T16:02:06"}' /index/history/eod: x-min-subscription: free x-history-access: true get: summary: End of Day operationId: index\_history\_eod tags: - Index - History description: | - Since \[the indices feeds\](/Articles/Data-And-Requests/The-SIPs.html) do not provide a national EOD report, Theta Data generates a national EOD report at 17:15 each day. x-sample-urls: - url: http://localhost:25503/v3/index/history/eod?symbol=SPX&start\_date=20241104&end\_date=20241108 description: "Returns EOD report for a given symbol between specified dates (inclusive)" - url: http://localhost:25503/v3/index/history/eod?symbol=SPX&start\_date=20241104&end\_date=20241108&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/single\_symbol" - $ref: "#/components/parameters/start\_date" - $ref: "#/components/parameters/end\_date" - $ref: "#/components/parameters/format" responses: '200': description: Returns EOD report for a given symbol between specified dates (inclusive) content: text/csv: schema: type: array items: &items\_index\_history\_eod type: object properties: created: type: string format: date-time description: The date formated as YYYY-MM-DDTHH:mm:ss.SSS format. last\_trade: type: string format: date-time description: The last trade date formated as YYYY-MM-DDTHH:mm:ss.SSS format. open: type: number description: The opening trade price. high: type: number description: The highest traded price. low: type: number description: The lowest traded price. close: type: number description: The closing traded price. volume: type: integer description: The amount of contracts / shares traded. count: type: integer description: The amount of trades. bid\_size: type: integer description: The last NBBO bid size. bid\_exchange: type: integer description: The last NBBO bid \[exchange\](/Articles/Errors-Exchanges-Conditions/Exchanges.html). bid: type: number description: The last NBBO bid price. bid\_condition: type: integer description: The last NBBO bid \[condition\](/Articles/Errors-Exchanges-Conditions/Quote-Conditions.html). ask\_size: type: integer description: The last NBBO ask size. ask\_exchange: type: integer description: The last NBBO ask \[exchange\](/Articles/Errors-Exchanges-Conditions/Exchanges.html). ask: type: number description: The last NBBO ask price. ask\_condition: type: integer description: The last NBBO ask \[condition\](/Articles/Errors-Exchanges-Conditions/Quote-Conditions.html). example: "created,last\_trade,open,high,low,close,volume,count,bid\_size,bid\_exchange,bid,bid\_condition,ask\_size,ask\_exchange,ask,ask\_condition\\r\\ \\n2024-11-04T17:19:50.198,2024-11-04T16:03:03,5725.15,5741.43,5696.51,5712.69,0,0,0,0,0.00,0,0,0,0.00,0\\r\\n\\ 2024-11-05T17:15:03.061,2024-11-05T16:02:30,5722.43,5783.44,5722.10,5782.76,0,0,0,0,0.00,0,0,0,0.00,0\\r\\n\\ 2024-11-06T17:16:28.297,2024-11-06T16:01:37,5864.89,5936.14,5864.89,5929.04,0,0,0,0,0.00,0,0,0,0.00,0\\r\\n\\ 2024-11-07T17:17:17.218,2024-11-07T16:02:49,5947.21,5983.84,5947.21,5973.10,0,0,0,0,0.00,0,0,0,0.00,0\\r\\n\\ 2024-11-08T17:21:08.187,2024-11-08T16:01:15,5976.76,6012.45,5976.76,5995.54,0,0,0,0,0.00,0,0,0,0.00,0\\r\\n" application/json: schema: &schema\_index\_history\_eod type: array items: \*items\_index\_history\_eod example: | { "response": \[ {"ask\_size":0,"last\_trade":"2024-11-04T16:03:03","created":"2024-11-04T17:19:50.198","ask\_condition":0,"count":0,"volume":0,"high":5741.43,"low":5696.51,"bid\_size":0,"ask\_exchange":0,"bid\_exchange":0,"ask":0.00,"bid":0.00,"bid\_condition":0,"close":5712.69,"open":5725.15}, {"ask\_size":0,"last\_trade":"2024-11-05T16:02:30","created":"2024-11-05T17:15:03.061","ask\_condition":0,"count":0,"volume":0,"high":5783.44,"low":5722.10,"bid\_size":0,"ask\_exchange":0,"bid\_exchange":0,"ask":0.00,"bid":0.00,"bid\_condition":0,"close":5782.76,"open":5722.43}, {"ask\_size":0,"last\_trade":"2024-11-06T16:01:37","created":"2024-11-06T17:16:28.297","ask\_condition":0,"count":0,"volume":0,"high":5936.14,"low":5864.89,"bid\_size":0,"ask\_exchange":0,"bid\_exchange":0,"ask":0.00,"bid":0.00,"bid\_condition":0,"close":5929.04,"open":5864.89}, {"ask\_size":0,"last\_trade":"2024-11-07T16:02:49","created":"2024-11-07T17:17:17.218","ask\_condition":0,"count":0,"volume":0,"high":5983.84,"low":5947.21,"bid\_size":0,"ask\_exchange":0,"bid\_exchange":0,"ask":0.00,"bid":0.00,"bid\_condition":0,"close":5973.10,"open":5947.21}, {"ask\_size":0,"last\_trade":"2024-11-08T16:01:15","created":"2024-11-08T17:21:08.187","ask\_condition":0,"count":0,"volume":0,"high":6012.45,"low":5976.76,"bid\_size":0,"ask\_exchange":0,"bid\_exchange":0,"ask":0.00,"bid":0.00,"bid\_condition":0,"close":5995.54,"open":5976.76} \] } application/x-ndjson: schema: \*schema\_index\_history\_eod example: '{"ask\_size":0,"last\_trade":"2024-11-04T16:03:03","created":"2024-11-04T17:19:50.198","ask\_condition":0,"count":0,"volume":0,"high":5741.43,"low":5696.51,"bid\_size":0,"ask\_exchange":0,"bid\_exchange":0,"ask":0.00,"bid":0.00,"bid\_condition":0,"close":5712.69,"open":5725.15} {"ask\_size":0,"last\_trade":"2024-11-05T16:02:30","created":"2024-11-05T17:15:03.061","ask\_condition":0,"count":0,"volume":0,"high":5783.44,"low":5722.10,"bid\_size":0,"ask\_exchange":0,"bid\_exchange":0,"ask":0.00,"bid":0.00,"bid\_condition":0,"close":5782.76,"open":5722.43} {"ask\_size":0,"last\_trade":"2024-11-06T16:01:37","created":"2024-11-06T17:16:28.297","ask\_condition":0,"count":0,"volume":0,"high":5936.14,"low":5864.89,"bid\_size":0,"ask\_exchange":0,"bid\_exchange":0,"ask":0.00,"bid":0.00,"bid\_condition":0,"close":5929.04,"open":5864.89} {"ask\_size":0,"last\_trade":"2024-11-07T16:02:49","created":"2024-11-07T17:17:17.218","ask\_condition":0,"count":0,"volume":0,"high":5983.84,"low":5947.21,"bid\_size":0,"ask\_exchange":0,"bid\_exchange":0,"ask":0.00,"bid":0.00,"bid\_condition":0,"close":5973.10,"open":5947.21} {"ask\_size":0,"last\_trade":"2024-11-08T16:01:15","created":"2024-11-08T17:21:08.187","ask\_condition":0,"count":0,"volume":0,"high":6012.45,"low":5976.76,"bid\_size":0,"ask\_exchange":0,"bid\_exchange":0,"ask":0.00,"bid":0.00,"bid\_condition":0,"close":5995.54,"open":5976.76}' /index/history/ohlc: x-min-subscription: standard x-history-access: true get: summary: Open High Low Close operationId: index\_history\_ohlc tags: - Index - History description: | - Aggregated OHLC bars that use \[SIP rules\](/Articles/Data-And-Requests/OHLC-EOD.html) for each bar. - Time timestamp of the bar represents the opening time of the bar. For a trade to be part of the bar: \`\`bar timestamp\`\` <= \`\`trade time\`\` < \`\`bar timestamp + interval\`\`. - \[Exchanges\](/Articles/Data-And-Requests/The-SIPs.html) typically generate a price report every second for popular indices like SPX. x-sample-urls: - url: http://localhost:25503/v3/index/history/ohlc?symbol=SPX&start\_date=20241104&end\_date=20241104&interval=1m description: "Returns OHLC for a given symbol between specified dates (inclusive) with a one minute interval" - url: http://localhost:25503/v3/index/history/ohlc?symbol=SPX&start\_date=20241104&end\_date=20241104&interval=1m&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/single\_symbol" - $ref: "#/components/parameters/start\_date" - $ref: "#/components/parameters/end\_date" - $ref: "#/components/parameters/interval" - $ref: "#/components/parameters/start\_time" - $ref: "#/components/parameters/end\_time" - $ref: "#/components/parameters/format" responses: '200': description: Returns OHLC for a given symbol between specified dates (inclusive) with a one minute interval content: text/csv: schema: type: array items: &items\_index\_history\_ohlc type: object properties: timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. open: type: number description: The opening trade price. high: type: number description: The highest traded price. low: type: number description: The lowest traded price. close: type: number description: The closing traded price. volume: type: integer description: The amount of contracts / shares traded. count: type: integer description: The amount of trades. vwap: type: number description: The volume weighted average price of the trading session. example: "timestamp,open,high,low,close,volume,count,vwap\\r\\n2024-11-04T09:30:00,5725.15,5731.27,5725.15,5728.56,0,0,0.00\\r\\ \\n2024-11-04T09:31:00,5728.90,5730.40,5724.53,5725.42,0,0,0.00\\r\\n2024-11-04T09:32:00,5725.48,5729.20,5723.55,5726.54,0,0,0.00\\r\\ \\n2024-11-04T09:33:00,5726.57,5726.71,5723.13,5723.13,0,0,0.00\\r\\n2024-11-04T09:34:00,5722.88,5723.33,5717.35,5717.64,0,0,0.00\\r\\ \\n" application/json: schema: &schema\_index\_history\_ohlc type: array items: \*items\_index\_history\_ohlc example: | { "response": \[ {"volume":0,"high":5731.27,"low":5725.15,"vwap":0.00,"count":0,"close":5728.56,"open":5725.15,"timestamp":"2024-11-04T09:30:00"}, {"volume":0,"high":5730.40,"low":5724.53,"vwap":0.00,"count":0,"close":5725.42,"open":5728.90,"timestamp":"2024-11-04T09:31:00"}, {"volume":0,"high":5729.20,"low":5723.55,"vwap":0.00,"count":0,"close":5726.54,"open":5725.48,"timestamp":"2024-11-04T09:32:00"}, {"volume":0,"high":5726.71,"low":5723.13,"vwap":0.00,"count":0,"close":5723.13,"open":5726.57,"timestamp":"2024-11-04T09:33:00"}, {"volume":0,"high":5723.33,"low":5717.35,"vwap":0.00,"count":0,"close":5717.64,"open":5722.88,"timestamp":"2024-11-04T09:34:00"} \] } application/x-ndjson: schema: \*schema\_index\_history\_ohlc example: '{"volume":0,"high":5731.27,"low":5725.15,"vwap":0.00,"count":0,"close":5728.56,"open":5725.15,"timestamp":"2024-11-04T09:30:00"} {"volume":0,"high":5730.40,"low":5724.53,"vwap":0.00,"count":0,"close":5725.42,"open":5728.90,"timestamp":"2024-11-04T09:31:00"} {"volume":0,"high":5729.20,"low":5723.55,"vwap":0.00,"count":0,"close":5726.54,"open":5725.48,"timestamp":"2024-11-04T09:32:00"} {"volume":0,"high":5726.71,"low":5723.13,"vwap":0.00,"count":0,"close":5723.13,"open":5726.57,"timestamp":"2024-11-04T09:33:00"} {"volume":0,"high":5723.33,"low":5717.35,"vwap":0.00,"count":0,"close":5717.64,"open":5722.88,"timestamp":"2024-11-04T09:34:00"}' /index/history/price: x-min-subscription: value x-history-access: true get: summary: Price operationId: index\_history\_price tags: - Index - History description: | - Retrieves historical indices price reports. \[Exchanges\](/Articles/Data-And-Requests/The-SIPs.html) typically generate a price report every second for popular indices like SPX. - When the \`\`interval\`\` parameter is specified, the returned data represents the price at the exact time of each timestamp. If the timestamp in the response is 10:30:00, the price field represents the price at that exact time of the day. - A price update from the exchange is omitted if the price remained the same from the previous update. x-sample-urls: - url: http://localhost:25503/v3/index/history/price?symbol=SPX&date=20241104&interval=1m description: "Returns historical index price reports" - url: http://localhost:25503/v3/index/history/price?symbol=SPX&date=20241104&interval=1m&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/date" - $ref: "#/components/parameters/single\_symbol" - $ref: "#/components/parameters/start\_time" - $ref: "#/components/parameters/end\_time" - $ref: "#/components/parameters/interval" - $ref: "#/components/parameters/format" responses: '200': description: Returns historical index price reports content: text/csv: schema: type: array items: &items\_index\_history\_price type: object properties: timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. price: type: number description: The trade price. example: "timestamp,price\\r\\n2024-11-04T09:30:00,0.0\\r\\n2024-11-04T09:31:00,5728.56\\r\\n2024-11-04T09:32:00,5725.48\\r\\ \\n2024-11-04T09:33:00,5726.57\\r\\n2024-11-04T09:34:00,5722.88\\r\\n" application/json: schema: &schema\_index\_history\_price type: array items: \*items\_index\_history\_price example: | { "response": \[ {"price":0.0,"timestamp":"2024-11-04T09:30:00"}, {"price":5728.56,"timestamp":"2024-11-04T09:31:00"}, {"price":5725.48,"timestamp":"2024-11-04T09:32:00"}, {"price":5726.57,"timestamp":"2024-11-04T09:33:00"}, {"price":5722.88,"timestamp":"2024-11-04T09:34:00"} \] } application/x-ndjson: schema: \*schema\_index\_history\_price example: '{"price":0.0,"timestamp":"2024-11-04T09:30:00"} {"price":5728.56,"timestamp":"2024-11-04T09:31:00"} {"price":5725.48,"timestamp":"2024-11-04T09:32:00"} {"price":5726.57,"timestamp":"2024-11-04T09:33:00"} {"price":5722.88,"timestamp":"2024-11-04T09:34:00"}' /index/at\_time/price: x-min-subscription: value x-history-access: true get: summary: Price operationId: index\_at\_time\_price tags: - Index - At-Time description: | - Retrieves historical indices price reports. \[Exchanges\](/Articles/Data-And-Requests/The-SIPs.html) typically generate a price report every second for popular indices like SPX. - The \`\`time\_of\_day\`\` parameter represents the 00:00:00.000 ET that the price should be provided for. x-sample-urls: - url: http://localhost:25503/v3/index/at\_time/price?symbol=SPX&start\_date=20241104&end\_date=20241108&time\_of\_day=09:30:01.000 description: "Returns specific at time historical index price reports" - url: http://localhost:25503/v3/index/at\_time/price?symbol=SPX&start\_date=20241104&end\_date=20241108&time\_of\_day=09:30:01.000&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/single\_symbol" - $ref: "#/components/parameters/start\_date" - $ref: "#/components/parameters/end\_date" - $ref: "#/components/parameters/time\_of\_day" - $ref: "#/components/parameters/format" responses: '200': description: Returns specific at time historical index price reports content: text/csv: schema: type: array items: &items\_index\_at\_time\_price type: object properties: timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. sequence: type: integer description: The exchange \[sequence\](/Articles/Data-And-Requests/Making-Requests.html#trade-sequences). ext\_condition1: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext\_condition2: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext\_condition3: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext\_condition4: type: integer description: Additional trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. condition: type: integer description: The trade \[condition\](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html). size: type: integer description: The amount of contracts / shares traded. exchange: type: integer description: The \[exchange\](/Articles/Errors-Exchanges-Conditions/Exchanges.html) the trade was executed. price: type: number description: The trade price. example: "timestamp,sequence,ext\_condition1,ext\_condition2,ext\_condition3,ext\_condition4,condition,size,exchange,price\\r\\ \\n2024-11-04T09:30:01,0,255,255,255,255,0,0,5,5725.15\\r\\n2024-11-05T09:30:01,0,255,255,255,255,0,0,5,5722.43\\r\\ \\n2024-11-06T09:30:01,0,255,255,255,255,0,0,5,5864.89\\r\\n2024-11-07T09:30:01,0,255,255,255,255,0,0,5,5947.21\\r\\ \\n2024-11-08T09:30:01,0,255,255,255,255,0,0,5,5976.76\\r\\n" application/json: schema: &schema\_index\_at\_time\_price type: array items: \*items\_index\_at\_time\_price example: | { "response": \[ {"sequence":0,"condition":0,"size":0,"price":5725.15,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":255,"exchange":5,"ext\_condition3":255,"timestamp":"2024-11-04T09:30:01"}, {"sequence":0,"condition":0,"size":0,"price":5722.43,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":255,"exchange":5,"ext\_condition3":255,"timestamp":"2024-11-05T09:30:01"}, {"sequence":0,"condition":0,"size":0,"price":5864.89,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":255,"exchange":5,"ext\_condition3":255,"timestamp":"2024-11-06T09:30:01"}, {"sequence":0,"condition":0,"size":0,"price":5947.21,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":255,"exchange":5,"ext\_condition3":255,"timestamp":"2024-11-07T09:30:01"}, {"sequence":0,"condition":0,"size":0,"price":5976.76,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":255,"exchange":5,"ext\_condition3":255,"timestamp":"2024-11-08T09:30:01"} \] } application/x-ndjson: schema: \*schema\_index\_at\_time\_price example: '{"sequence":0,"condition":0,"size":0,"price":5725.15,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":255,"exchange":5,"ext\_condition3":255,"timestamp":"2024-11-04T09:30:01"} {"sequence":0,"condition":0,"size":0,"price":5722.43,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":255,"exchange":5,"ext\_condition3":255,"timestamp":"2024-11-05T09:30:01"} {"sequence":0,"condition":0,"size":0,"price":5864.89,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":255,"exchange":5,"ext\_condition3":255,"timestamp":"2024-11-06T09:30:01"} {"sequence":0,"condition":0,"size":0,"price":5947.21,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":255,"exchange":5,"ext\_condition3":255,"timestamp":"2024-11-07T09:30:01"} {"sequence":0,"condition":0,"size":0,"price":5976.76,"ext\_condition2":255,"ext\_condition1":255,"ext\_condition4":255,"exchange":5,"ext\_condition3":255,"timestamp":"2024-11-08T09:30:01"}' /calendar/today: x-min-subscription: free get: summary: Today operationId: calendar\_open\_today tags: - Calendar - Single Day description: | - Retrieves current day equity market schedule - \*On days when the market closes early at 1:00 PM ET; eligible options will trade until 1:15 PM. - \*\*Some NYSE exchanges will continue late trading until 5:00 PM ET on early close days. x-sample-urls: - url: http://localhost:25503/v3/calendar/today description: "Current day equity market schedule" - url: http://localhost:25503/v3/calendar/today?format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/format" responses: '200': description: Returns current day schedule content: text/csv: schema: type: array items: &items\_calendar\_open\_today type: object properties: type: type: string description: The schedule type (open, full\_close, early\_close, weekend). open: type: string description: Market open time in HH:mm:ss format. close: type: string description: Market close time in HH:mm:ss format. example: "type,open,close\\r\\nopen,09:30:00,16:00:00\\r\\n" application/json: schema: &schema\_calendar\_open\_today type: array items: \*items\_calendar\_open\_today example: | { "response": \[ {"type":"open","open":"09:30:00","close":"16:00:00"} \] } application/x-ndjson: schema: \*schema\_calendar\_open\_today example: '{"type":"open","open":"09:30:00","close":"16:00:00"}' /calendar/on\_date: x-min-subscription: value get: summary: On Date operationId: calendar\_on\_date tags: - Calendar - Single Day description: | - Retrieves equity market schedule for a given date - Note: Holiday data is available 01/01/2012 through the end of the calendar year that immediately follows the current year - \*On days when the market closes early at 1:00 PM ET; eligible options will trade until 1:15 PM. - \*\*Some NYSE exchanges will continue late trading until 5:00 PM ET on early close days. x-sample-urls: - url: http://localhost:25503/v3/calendar/on\_date?date=20251225 description: "Returns equity market schedule for the requested date" - url: http://localhost:25503/v3/calendar/on\_date?date=20251225&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/date" - $ref: "#/components/parameters/format" responses: '200': description: Returns requested day schedule content: text/csv: schema: type: array items: &items\_calendar\_on\_date type: object properties: type: type: string description: The schedule type (open, full\_close, early\_close, weekend). open: type: string description: Market open time in HH:mm:ss format. close: type: string description: Market close time in HH:mm:ss format. example: "type,open,close\\r\\nfull\_close,,\\r\\n" application/json: schema: &schema\_calendar\_on\_date type: array items: \*items\_calendar\_on\_date example: | { "response": \[ {"type":"full\_close","open":null,"close":null} \] } application/x-ndjson: schema: \*schema\_calendar\_on\_date example: '{"type":"early\_close","open":null,"close":null}' /calendar/year\_holidays: x-min-subscription: value get: summary: Year Holidays operationId: calendar\_year tags: - Calendar - Year description: | - Retrieves equity market holidays for a given year - Note: Holiday data is available 01/01/2012 through the end of the calendar year that immediately follows the current year - \*On days when the market closes early at 1:00 PM ET; eligible options will trade until 1:15 PM. - \*\*Some NYSE exchanges will continue late trading until 5:00 PM ET on early close days. x-sample-urls: - url: http://localhost:25503/v3/calendar/year\_holidays?year=2024 description: "Returns equity market holidays for the requested year" - url: http://localhost:25503/v3/calendar/year\_holidays?year=2024&format=html description: Click to open in browser (HTML) parameters: - $ref: "#/components/parameters/year" - $ref: "#/components/parameters/format" responses: '200': description: Returns holidays for a given year content: text/csv: schema: type: array items: &items\_calendar\_year type: object properties: date: type: string description: The date of a closure type: type: string description: The closure type (full\_close, early\_close). open: type: string description: Market open time in HH:mm:ss format. close: type: string description: Market close time in HH:mm:ss format. example: "date,type,open,close\\r\\n2024-12-24,early\_close,09:30:00,13:00:00\\r\\n\\r\\n2024-12-25,full\_close,,\\r\\n" application/json: schema: &schema\_calendar\_year type: array items: \*items\_calendar\_year example: | { "response": \[ {"date":"2024-12-24","type":"early\_close","open":"09:30:00","close":"13:00:00"}, {"date":"2024-12-25","type":"full\_close","open":null,"close":null} \] } application/x-ndjson: schema: \*schema\_calendar\_year example: '{"date":"2024-12-24","type":"full\_close","open":null,"close":null} {"date":"2024-12-24","type":"early\_close","open":"09:30:00","close":"13:00:00"}' components: parameters: # required parameters single\_symbol: name: symbol in: query description: The stock or index symbol, or underlying symbol for options. required: true schema: type: string multi\_symbol: name: symbol in: query description: The stock or index symbol, or underlying symbol for options. Specify '\*' for all symbols or a comma separated list when appropriate. required: true schema: type: array items: type: string opt\_multi\_symbol: name: symbol in: query description: The stock or index symbol, or underlying symbol for options. required: false schema: type: array items: type: string date: name: date in: query description: The date to fetch data for. required: true schema: type: string format: date end\_date: name: end\_date in: query description: The end date (inclusive). required: true schema: type: string format: date start\_date: name: start\_date in: query description: The start date (inclusive). required: true schema: type: string format: date opt\_end\_date: name: end\_date in: query description: The end date (inclusive). required: false schema: type: string format: date opt\_start\_date: name: start\_date in: query description: The start date (inclusive). required: false schema: type: string format: date year: name: year in: query description: The year to fetch data for. required: true schema: type: string format: date time\_of\_day: name: time\_of\_day in: query description: The time of the day to fetch data for; assumed to be America/New\_York. required: true schema: type: string format: time expiration: name: expiration in: query description: The expiration of the contract in \`YYYY-MM-DD\` or \`YYYYMMDD\` format, or \`\*\` for all expirations. required: true schema: type: string format: date expiration\_no\_star: name: expiration in: query description: The expiration of the contract in \`YYYY-MM-DD\` or \`YYYYMMDD\` format. required: true schema: type: string format: date strike: name: strike in: query description: The strike price of the contract in dollars (ie \`100.00\` for \`$100.00\`), or \`\*\` for all strikes. required: false schema: type: string default: "\*" interval: name: interval in: query description: The size of the time interval must be one of the available options listed below. required: true schema: type: string enum: - tick - 10ms - 100ms - 500ms - 1s - 5s - 10s - 15s - 30s - 1m - 5m - 10m - 15m - 30m - 1h default: 1s security\_type: name: security\_type in: path description: The security type. required: true schema: type: string enum: - stock - option - index request\_type: name: request\_type in: path description: The request type. required: true schema: type: string enum: - trade - quote # non-required parameters annual\_dividend: name: annual\_dividend in: query description: The annualized expected dividend amount to be used in Greeks calculations. required: false schema: type: number format: float end\_time: name: end\_time in: query description: The end time (inclusive) in the specified day. required: false schema: type: string format: time default: "16:00:00" exclusive: name: exclusive in: query description: If you prefer to match quotes with timestamps that are < the trade timestamp. required: false schema: type: boolean default: true format: name: format in: query description: The format of the data when returned to the user. required: false schema: type: string enum: - csv - json - ndjson - html default: csv rate\_type: name: rate\_type in: query description: The interest rate type to be used in a Greeks calculation. required: false schema: type: string enum: - sofr - treasury\_m1 - treasury\_m3 - treasury\_m6 - treasury\_y1 - treasury\_y2 - treasury\_y3 - treasury\_y5 - treasury\_y7 - treasury\_y10 - treasury\_y20 - treasury\_y30 default: sofr rate\_value: name: rate\_value in: query description: The interest rate, as a percent, to be used in a Greeks calculation. required: false schema: type: number format: float example: 5.0 right: name: right in: query description: The right (call or put) of the contract. required: false schema: type: string enum: - call - put - both default: both start\_time: name: start\_time in: query description: The start time (inclusive) in the specified day. required: false schema: type: string format: time default: "09:30:00" stock\_price: name: stock\_price in: query description: The underlying stock price to be used in the Greeks calculation. required: false schema: type: number format: float venue: name: venue in: query description: Used to specify the venue of the real time or historic request. \`\`nqb\`\` = Nasdaq Basic; \`\`utp\_cta\`\` = merged UTP & CTA. required: false schema: type: string enum: - nqb - utp\_cta default: nqb greeks\_version: name: version in: query description: Used to adjust Greeks calculation methodology. "1" uses a fixed .15 DTE for 0DTE; "latest" uses real TTE (down to a minimum of 1 hour) required: false schema: type: string enum: - "latest" - "1" default: "latest" underlyer\_use\_nbbo: name: underlyer\_use\_nbbo in: query description: Used to select underlyer pricing for Greeks calculation. "true" uses the midpoint of the NBBO; "false" uses the last trade price. required: false schema: type: boolean default: true max\_dte: name: max\_dte in: query description: If specified, only contracts with a full calendar day 'Days to Expiration' (DTE) less than or equal to this number will be returned. required: false schema: minimum: 0 type: int32 strike\_range: name: strike\_range in: query description: Used to specify a filter to limit the number of contracts returned relative to the underlying's spot price. Will return the specified number of strikes above and below the spot price, as well as the at-the-money strike. required: false schema: minimum: 1 type: int32 responses: 200\_OK: description: "" content: text/csv: schema: type: string --- # Unknown import httpx # install via pip install httpx import csv BASE\_URL = "http://localhost:25503/v3" # all endpoints use this URL base # set params to fetch a snapshot of all contracts for Microsoft params = {'symbol': 'MSFT', 'expiration': '\*'} # # This is the non-streaming version, and the entire response # will be held in memory. # url = BASE\_URL + '/option/snapshot/ohlc' response = httpx.get(url, params=params, timeout=60) # make the request response.raise\_for\_status() # make sure the request worked # read the entire response, and parse it as CSV csv\_reader = csv.reader(response.text.split("\\n")) for row in csv\_reader: print(row) # do something with the data # # This is the streaming version, and will read line-by-line # url = BASE\_URL + '/option/snapshot/ohlc' with httpx.stream("GET", url, params=params, timeout=60) as response: response.raise\_for\_status() # make sure the request worked for line in response.iter\_lines(): print(line) # do something with the data ---