/allaccess/market/all-option-trades?order_by={order_by}&symbol={symbol}&min_time={min_time}&max_time={max_time}&seq_no={seq_no}&exchange_id={exchange_id}&condition_id={condition_id}&limit={limit}&root={root}&expiry={expiry}&strike={strike}&option_type={option_type}&min_size={min_size}&max_size={max_size}&min_price={min_price}&max_price={max_price}
Live (15 points)
https://api.livevol.com/v1/live/allaccess/market/all-option-trades?order_by=TIME_ASC&symbol=AAPL&min_time=09:30:00.001&max_time=10:00:00.001&seq_no=0&exchange_id=1&condition_id=0&limit=10&root=AAPL&expiry=2020-09-28&strike=180&option_type=C&min_size=5&max_size=100&min_price=0.25&max_price=300
Delayed (30 points)
https://api.livevol.com/v1/delayed/allaccess/market/all-option-trades?order_by=TIME_ASC&symbol=AAPL&min_time=09:30:00.001&max_time=10:00:00.001&seq_no=0&exchange_id=1&condition_id=0&limit=10&root=AAPL&expiry=2020-09-28&strike=180&option_type=C&min_size=5&max_size=100&min_price=0.25&max_price=300
Name | Description | Type | Additional information |
---|---|---|---|
order_by |
Results ordered by: time_desc, time_asc, size_desc, size_asc, price_asc, price_desc |
string |
Allowed values are [ SIZE_ASC, SIZE_DESC, TIME_ASC, TIME_DESC, PRICE_ASC, PRICE_DESC ] Default value is: TIME_ASC |
symbol |
Comma-separated list of underlying symbols or OSI name of option |
string |
Required |
min_time |
First millisecond after midnight which will be included in the results (i.e. "09:30:00.001") (Eastern Standard Time) |
time interval |
Constraint: value should be less than or equal to max_time value Range: inclusive between 00:00:00.000 and 23:59:59.999 |
max_time |
Last millisecond after midnight which will be included in the results (i.e. "10:00:00.001") (Eastern Standard Time) |
time interval |
Constraint: value should be greater than or equal to min_time value Range: inclusive between 00:00:00.000 and 23:59:59.999 |
seq_no |
Start sequence number |
integer |
Default value is: 0 Range: inclusive between 0 and 9.22337203685478E+18 |
exchange_id | byte |
Range: inclusive between 0 and 255 |
|
condition_id | byte |
None |
|
limit |
Limit |
integer |
Default value is: 100 Range: inclusive between 0 and 10000 |
root |
Root |
string |
None |
expiry |
Expiry |
string |
Date in yyyy-MM-dd format. (i.e. 2019-01-18) |
strike |
Option strike |
decimal number |
Range: inclusive between 0.01 and 1.79769313486232E+308 |
option_type |
Option type |
string |
Allowed values are [ C, P ] |
min_size |
Min trade size value |
integer |
Constraint: value should be less than or equal to max_size value Range: inclusive between 0 and 2147483647 |
max_size |
Max trade size value |
integer |
Constraint: value should be greater than or equal to min_size value Range: inclusive between 0 and 2147483647 |
min_price |
Min trade price value |
decimal number |
Constraint: value should be less than or equal to max_price value Range: inclusive between 0 and 1.79769313486232E+308 |
max_price |
Max trade price value |
decimal number |
Constraint: value should be greater than or equal to min_price value Range: inclusive between 0 and 1.79769313486232E+308 |
Collection of OptionTrade
Name | Description | Type | Additional information | SIP Provider |
---|---|---|---|---|
root |
Option root |
string |
None |
None |
expiry |
Option expiration date |
string |
None |
None |
strike |
Option strike |
decimal number |
None |
None |
option_type |
Option type |
string |
'C' for Call, 'P' for Put |
None |
condition_id | byte |
None |
None |
|
exchange_id | byte |
None |
None |
|
exchange_seq_no |
Exchange sequence number |
integer |
None |
None |
cancel_flag |
Cancel flag |
integer |
0=normal, 1=canceled trade, 2=cancel trade message |
None |
option_ask |
NBBO ask |
decimal number |
SIP subscription is required; otherwise, returns |
OPRA |
option_ask_size |
NBBO ask size |
integer |
SIP subscription is required; otherwise, returns |
OPRA |
option_bid |
NBBO bid |
decimal number |
SIP subscription is required; otherwise, returns |
OPRA |
option_bid_size |
NBBO bid size |
integer |
SIP subscription is required; otherwise, returns |
OPRA |
option_trade_price |
Option trade price |
decimal number |
SIP subscription is required; otherwise, returns |
OPRA |
cboe_theo |
Theoretical price at the computed theoretical implied volatility |
decimal number |
None |
None |
option |
Option OSI Symbol |
string |
None |
None |
seq_no |
Sequence number |
integer |
None |
None |
option_trade_size |
Option trade size |
integer |
None |
None |
timestamp |
Timestamp |
string |
None |
None |
option_trade_at |
Trade price in relation to options market |
string |
Possible values are [Below Bid, On Bid, Mid Market, On Ask, Above Ask, Crossed Market, No Market] |
None |
delta |
Trade Delta |
decimal number |
None |
None |
gamma |
Trade Gamma |
decimal number |
None |
None |
vega |
Trade Vega |
decimal number |
None |
None |
theta |
Trade Theta |
decimal number |
None |
None |
rho |
Trade Rho |
decimal number |
None |
None |
iv |
Theoretical implied volatility of the option, computed utilizing the volatility surface of the option chain |
decimal number |
None |
None |
trade_iv |
Implied volatility at the option trade price |
decimal number |
None |
None |
underlying_bid |
Underlying bid |
decimal number |
SIP subscription is required; otherwise, returns |
CTA & UTP CSMI |
underlying_ask |
Underlying ask |
decimal number |
SIP subscription is required; otherwise, returns |
CTA & UTP CSMI |
implied_underlying_bid |
Option Implied Underlying Bid |
decimal number |
None |
None |
implied_underlying_ask |
Option Implied Underlying Ask |
decimal number |
None |
None |
implied_underlying_bid_size |
Option Implied Underlying Bid Size |
integer |
None |
None |
implied_underlying_ask_size |
Option Implied Underlying Ask Size |
integer |
None |
None |
implied_underlying_mid |
Option Implied Underlying Mid-point |
decimal number |
None |
None |
implied_underlying_indicator |
Implied Underlying Indicator: green/yellow/red |
string |
Indicates the width of the implied bid ask spread relative to implied price. If the implied bid-ask spread < 0.01, returns 'green'; If between 0.01 and 0.02, returns ‘yellow’; If > 0.02, returns ‘red’. |
None |
[
{
"root": "D",
"expiry": "2020-09-25",
"strike": 30.0,
"option_type": "P",
"condition_id": 5,
"exchange_id": 3,
"exchange_seq_no": 3333,
"cancel_flag": 0,
"option_ask": 10.75,
"option_ask_size": 85,
"option_bid": 10.05,
"option_bid_size": 100,
"option_trade_price": 300.5,
"cboe_theo": 300.5,
"option": "D200925P00030000",
"seq_no": 3123313,
"option_trade_size": 100,
"timestamp": "09:30:00.001",
"option_trade_at": "Below Bid",
"delta": 1.12,
"gamma": 0.0017,
"vega": 0.0599,
"theta": -0.0054,
"rho": 1.5409,
"iv": 1.12,
"trade_iv": 1.12,
"underlying_bid": 299.5,
"underlying_ask": 301.5,
"implied_underlying_bid": 43.52,
"implied_underlying_ask": 44.92,
"implied_underlying_bid_size": 2,
"implied_underlying_ask_size": 2,
"implied_underlying_mid": 44.92,
"implied_underlying_indicator": "green"
},
{
"root": "D",
"expiry": "2020-09-25",
"strike": 30.0,
"option_type": "C",
"condition_id": 6,
"exchange_id": 4,
"exchange_seq_no": 555555,
"cancel_flag": 1,
"option_ask": 10.95,
"option_ask_size": 90,
"option_bid": 10.55,
"option_bid_size": 120,
"option_trade_price": 500.9,
"cboe_theo": 500.9,
"option": "D200925C00030000",
"seq_no": 412333312,
"option_trade_size": 2000,
"timestamp": "15:39:58.123",
"option_trade_at": "On Bid",
"delta": 0.9,
"gamma": 2.6439,
"vega": 1.6733,
"theta": -0.0111,
"rho": -105.5401,
"iv": 0.9,
"trade_iv": 0.9,
"underlying_bid": 499.9,
"underlying_ask": 501.9,
"implied_underlying_bid": 9.23,
"implied_underlying_ask": 9.26,
"implied_underlying_bid_size": 56,
"implied_underlying_ask_size": 1,
"implied_underlying_mid": 9.26,
"implied_underlying_indicator": "yellow"
}
]
<options_trades xmlns:i="http://www.w3.org/2001/XMLSchema-instance">
<option_trade>
<cancel_flag>0</cancel_flag>
<cboe_theo>300.5</cboe_theo>
<condition_id>5</condition_id>
<delta>1.12</delta>
<exchange_id>3</exchange_id>
<exchange_seq_no>3333</exchange_seq_no>
<expiry>2020-09-25</expiry>
<gamma>0.0017</gamma>
<implied_underlying_ask>44.92</implied_underlying_ask>
<implied_underlying_ask_size>2</implied_underlying_ask_size>
<implied_underlying_bid>43.52</implied_underlying_bid>
<implied_underlying_bid_size>2</implied_underlying_bid_size>
<implied_underlying_indicator>green</implied_underlying_indicator>
<implied_underlying_mid>44.92</implied_underlying_mid>
<iv>1.12</iv>
<option>D200925P00030000</option>
<option_ask>10.75</option_ask>
<option_ask_size>85</option_ask_size>
<option_bid>10.05</option_bid>
<option_bid_size>100</option_bid_size>
<option_trade_at>Below Bid</option_trade_at>
<option_trade_price>300.5</option_trade_price>
<option_trade_size>100</option_trade_size>
<option_type>P</option_type>
<rho>1.5409</rho>
<root>D</root>
<seq_no>3123313</seq_no>
<strike>30</strike>
<theta>-0.0054</theta>
<timestamp>09:30:00.001</timestamp>
<trade_iv>1.12</trade_iv>
<underlying_ask>301.5</underlying_ask>
<underlying_bid>299.5</underlying_bid>
<vega>0.0599</vega>
</option_trade>
<option_trade>
<cancel_flag>1</cancel_flag>
<cboe_theo>500.9</cboe_theo>
<condition_id>6</condition_id>
<delta>0.9</delta>
<exchange_id>4</exchange_id>
<exchange_seq_no>555555</exchange_seq_no>
<expiry>2020-09-25</expiry>
<gamma>2.6439</gamma>
<implied_underlying_ask>9.26</implied_underlying_ask>
<implied_underlying_ask_size>1</implied_underlying_ask_size>
<implied_underlying_bid>9.23</implied_underlying_bid>
<implied_underlying_bid_size>56</implied_underlying_bid_size>
<implied_underlying_indicator>yellow</implied_underlying_indicator>
<implied_underlying_mid>9.26</implied_underlying_mid>
<iv>0.9</iv>
<option>D200925C00030000</option>
<option_ask>10.95</option_ask>
<option_ask_size>90</option_ask_size>
<option_bid>10.55</option_bid>
<option_bid_size>120</option_bid_size>
<option_trade_at>On Bid</option_trade_at>
<option_trade_price>500.9</option_trade_price>
<option_trade_size>2000</option_trade_size>
<option_type>C</option_type>
<rho>-105.5401</rho>
<root>D</root>
<seq_no>412333312</seq_no>
<strike>30</strike>
<theta>-0.0111</theta>
<timestamp>15:39:58.123</timestamp>
<trade_iv>0.9</trade_iv>
<underlying_ask>501.9</underlying_ask>
<underlying_bid>499.9</underlying_bid>
<vega>1.6733</vega>
</option_trade>
</options_trades>