Livevol Web API - GET allaccess/market/all-option-trades

GET

/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}

Get today's option trades with trade delta and implied volatility for your symbol of choice. In addition to standard filtering by option root, expiry, strike, and and option type, apply advanced filtering across time, size, price, exchange and trade condition. Enhanced sorting by time, size and price is also supported. Exchange codes can be mapped to reference API method /reference/exchanges. Trade condition id can be mapped to reference API method /reference/message-conditions.

Example URI

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

Request Information

URI Parameters

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 9.223372036854776E+18
exchange_id	Exchange id	byte	Range: inclusive between 0 and 255
condition_id	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 1.7976931348623157E+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 1.7976931348623157E+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 1.7976931348623157E+308

Response Information

Resource Description

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	Trade Condition ID	byte	None	None
exchange_id	Trade 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 `null`	OPRA
option_ask_size	NBBO ask size	integer	SIP subscription is required; otherwise, returns `null`	OPRA
option_bid	NBBO bid	decimal number	SIP subscription is required; otherwise, returns `null`	OPRA
option_bid_size	NBBO bid size	integer	SIP subscription is required; otherwise, returns `null`	OPRA
option_trade_price	Option trade price	decimal number	SIP subscription is required; otherwise, returns `null`	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 `null`	CTA & UTP CSMI
underlying_ask	Underlying ask	decimal number	SIP subscription is required; otherwise, returns `null`	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

Response Formats

application/json, text/json

Sample:

[
  {
    "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"
  }
]

application/xml, text/xml

Sample:

<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>