< API Reference
GET
/allaccess/time-and-sales/option-trades-with-greeks?symbol={symbol}&root={root}&expiry={expiry}&strike={strike}&option_type={option_type}&min_time={min_time}&max_time={max_time}&seq_no={seq_no}&exchange_id={exchange_id}&condition_id={condition_id}&limit={limit}&min_size={min_size}&max_size={max_size}&min_price={min_price}&max_price={max_price}&date={date}
Obtain current and historical option trades with Greeks. Sequence number can be used to page through the trade data. Subscription to licensed data provider(s) is required for live and delayed requests.

Example URI

Live (15 points)

https://api.livevol.com/v1/live/allaccess/time-and-sales/option-trades-with-greeks?symbol=AAPL&root=AAPL&expiry=2020-09-28&strike=180&option_type=C&min_time=09:30:00.001&max_time=10:00:00.001&seq_no=0&exchange_id=1&condition_id=0&limit=10&min_size=5&max_size=100&min_price=0.25&max_price=300&date=2019-01-18

Delayed (30 points)

https://api.livevol.com/v1/delayed/allaccess/time-and-sales/option-trades-with-greeks?symbol=AAPL&root=AAPL&expiry=2020-09-28&strike=180&option_type=C&min_time=09:30:00.001&max_time=10:00:00.001&seq_no=0&exchange_id=1&condition_id=0&limit=10&min_size=5&max_size=100&min_price=0.25&max_price=300&date=2019-01-18

Historical (15 points)

To make a historical request, set the 'date' parameter to a day prior to the current day using the live or delayed endpoint.

https://api.livevol.com/v1/live/allaccess/time-and-sales/option-trades-with-greeks?symbol=AAPL&root=AAPL&expiry=2020-09-28&strike=180&option_type=C&min_time=09:30:00.001&max_time=10:00:00.001&seq_no=0&exchange_id=1&condition_id=0&limit=10&min_size=5&max_size=100&min_price=0.25&max_price=300&date=2019-01-18
https://api.livevol.com/v1/delayed/allaccess/time-and-sales/option-trades-with-greeks?symbol=AAPL&root=AAPL&expiry=2020-09-28&strike=180&option_type=C&min_time=09:30:00.001&max_time=10:00:00.001&seq_no=0&exchange_id=1&condition_id=0&limit=10&min_size=5&max_size=100&min_price=0.25&max_price=300&date=2019-01-18

Request Information

URI Parameters

Name Description Type Additional information
symbol

Underlying symbol or OSI formatted option

string

Required

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_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

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

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

date

Trading date

string

Required

Date in yyyy-MM-dd format. (i.e. 2019-01-18)

Response Information

Resource Description

Collection of OptionTradeWithGreeks

Name Description Type Additional information SIP Provider
iv

Implied Volatility

decimal number

None

None

delta

Delta

decimal number

None

None

vega

Vega

decimal number

None

None

theta

Theta

decimal number

None

None

rho

Rho

decimal number

None

None

gamma

Gamma

decimal number

None

None

dollar_delta

$Delta

decimal number

None

None

dollar_vega

$Vega

decimal number

None

None

dollar_theta

$Theta

decimal number

None

None

security

Option OSI Symbol

string

None

None

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

None

None

option_ask

NBBO ask

decimal number

None

None

option_ask_size

NBBO ask size

integer

None

None

option_bid

NBBO bid

decimal number

None

None

option_bid_size

NBBO bid size

integer

None

None

option_trade_price

Option trade price

decimal number

None

None

option_trade_size

Option trade size

integer

None

None

option_trade_at

Trade price in relation to options market: Below Bid, On Bid, Mid Market, On Ask, Above Ask

string

None

None

underlying_bid

Underlying bid

decimal number

None

CTA & UTP

underlying_ask

Underlying ask

decimal number

None

CTA & UTP

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 (0=normal, 1=canceled trade, 2=cancel trade message)

integer

None

None

seq_no

Sequence number

integer

None

None

timestamp

Timestamp

string

None

None

Response Formats

application/json, text/json

Sample:
[
  {
    "iv": 0.215,
    "delta": 0.527,
    "vega": 26.7035,
    "theta": -15.6223,
    "rho": 15.016,
    "gamma": 0.0277,
    "dollar_delta": 0.527,
    "dollar_vega": 26.7035,
    "dollar_theta": -15.6223,
    "security": "D200925C00030000",
    "root": "D",
    "expiry": "2020-09-25",
    "strike": 30.0,
    "option_type": "P",
    "option_ask": 10.75,
    "option_ask_size": 85,
    "option_bid": 10.05,
    "option_bid_size": 100,
    "option_trade_price": 300.5,
    "option_trade_size": 100,
    "option_trade_at": "Below Bid",
    "underlying_bid": 299.5,
    "underlying_ask": 301.5,
    "condition_id": 5,
    "exchange_id": 3,
    "exchange_seq_no": 3333,
    "cancel_flag": 0,
    "seq_no": 3123313,
    "timestamp": "09:30:00.001"
  },
  {
    "iv": 0.216,
    "delta": 0.528,
    "vega": 27.7036,
    "theta": -15.5114,
    "rho": 15.217,
    "gamma": 0.0279,
    "dollar_delta": 0.528,
    "dollar_vega": 27.7036,
    "dollar_theta": -15.5114,
    "security": null,
    "root": "D",
    "expiry": "2020-09-25",
    "strike": 30.0,
    "option_type": "C",
    "option_ask": 10.95,
    "option_ask_size": 90,
    "option_bid": 10.55,
    "option_bid_size": 120,
    "option_trade_price": 500.9,
    "option_trade_size": 2000,
    "option_trade_at": "On Bid",
    "underlying_bid": 499.9,
    "underlying_ask": 501.9,
    "condition_id": 6,
    "exchange_id": 4,
    "exchange_seq_no": 555555,
    "cancel_flag": 1,
    "seq_no": 412333312,
    "timestamp": "15:39:58.123"
  }
]

application/xml, text/xml

Sample:
<option_trades_with_greek xmlns:i="http://www.w3.org/2001/XMLSchema-instance">
  <option_trade_with_greeks>
    <cancel_flag>0</cancel_flag>
    <condition_id>5</condition_id>
    <exchange_id>3</exchange_id>
    <exchange_seq_no>3333</exchange_seq_no>
    <nbbo_ask>10.75</nbbo_ask>
    <nbbo_ask_size>85</nbbo_ask_size>
    <nbbo_bid>10.05</nbbo_bid>
    <nbbo_bid_size>100</nbbo_bid_size>
    <price>300.5</price>
    <security>D200925C00030000</security>
    <seq_no>3123313</seq_no>
    <size>100</size>
    <timestamp>09:30:00.001</timestamp>
    <trade_at>Below Bid</trade_at>
    <expiry>2020-09-25</expiry>
    <option_type>P</option_type>
    <root>D</root>
    <strike>30</strike>
    <underlying_ask>301.5</underlying_ask>
    <underlying_bid>299.5</underlying_bid>
    <delta>0.527</delta>
    <dollar_delta>0.527</dollar_delta>
    <dollar_theta>-15.6223</dollar_theta>
    <dollar_vega>26.7035</dollar_vega>
    <gamma>0.0277</gamma>
    <iv>0.215</iv>
    <rho>15.016</rho>
    <theta>-15.6223</theta>
    <vega>26.7035</vega>
  </option_trade_with_greeks>
  <option_trade_with_greeks>
    <cancel_flag>1</cancel_flag>
    <condition_id>6</condition_id>
    <exchange_id>4</exchange_id>
    <exchange_seq_no>555555</exchange_seq_no>
    <nbbo_ask>10.95</nbbo_ask>
    <nbbo_ask_size>90</nbbo_ask_size>
    <nbbo_bid>10.55</nbbo_bid>
    <nbbo_bid_size>120</nbbo_bid_size>
    <price>500.9</price>
    <security i:nil="true" />
    <seq_no>412333312</seq_no>
    <size>2000</size>
    <timestamp>15:39:58.123</timestamp>
    <trade_at>On Bid</trade_at>
    <expiry>2020-09-25</expiry>
    <option_type>C</option_type>
    <root>D</root>
    <strike>30</strike>
    <underlying_ask>501.9</underlying_ask>
    <underlying_bid>499.9</underlying_bid>
    <delta>0.528</delta>
    <dollar_delta>0.528</dollar_delta>
    <dollar_theta>-15.5114</dollar_theta>
    <dollar_vega>27.7036</dollar_vega>
    <gamma>0.0279</gamma>
    <iv>0.216</iv>
    <rho>15.217</rho>
    <theta>-15.5114</theta>
    <vega>27.7036</vega>
  </option_trade_with_greeks>
</option_trades_with_greek>