/time-and-sales/option-trades-with-greeks?symbol={symbol}&min_size={min_size}&max_size={max_size}&min_price={min_price}&max_price={max_price}&start_sequence_number={start_sequence_number}&exchange_id={exchange_id}&condition_id={condition_id}&limit={limit}&order_by_time={order_by_time}&min_time={min_time}&max_time={max_time}&date={date}
Live
https://api.livevol.com/v1/live/time-and-sales/option-trades-with-greeks?symbol=AAPL190215C00165000&min_size=5&max_size=100&min_price=0.25&max_price=300&start_sequence_number=0&exchange_id=1&condition_id=11&limit=10&order_by_time=ASC&min_time=09:30:00.001&max_time=10:00:00.001&date=2019-01-18
Delayed
https://api.livevol.com/v1/delayed/time-and-sales/option-trades-with-greeks?symbol=AAPL190215C00165000&min_size=5&max_size=100&min_price=0.25&max_price=300&start_sequence_number=0&exchange_id=1&condition_id=11&limit=10&order_by_time=ASC&min_time=09:30:00.001&max_time=10:00:00.001&date=2019-01-18
Name | Description | Type | Additional information |
---|---|---|---|
symbol |
OSI-formatted option symbol |
string |
Required |
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 |
start_sequence_number |
Start sequence number |
integer |
Range: inclusive between 0 and 9.22337203685478E+18 |
exchange_id | byte |
Range: inclusive between 0 and 255 |
|
condition_id | string |
None. |
|
limit |
Limit |
integer |
Default value is: 100000 Range: inclusive between 0 and 100000 |
order_by_time |
Limit |
string |
Allowed values are [ ASC, DESC ] Default value is: ASC |
min_time |
First millisecond after midnight which will be included in the results (i.e. "09:30:00.001") (Eastern Standard Time) |
time interval |
Required 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 |
Required Constraint: value should be greater than or equal to min_time value Range: inclusive between 00:00:00.000 and 23:59:59.999 |
date |
Trading date |
string |
Required Date in yyyy-MM-dd format. (i.e. 2019-01-18) |
Collection of OptionTradeWithGreeks
Name | Description | Type | Additional information |
---|---|---|---|
iv |
Implied Volatility |
decimal number |
None. |
delta |
Delta" |
decimal number |
None. |
vega |
Vega |
decimal number |
None. |
theta |
Theta |
decimal number |
None. |
rho |
Rho |
decimal number |
None. |
gamma |
Gamma |
decimal number |
None. |
dollar_delta |
$Delta" |
decimal number |
None. |
dollar_vega |
$Vega |
decimal number |
None. |
dollar_theta |
$Theta |
decimal number |
None. |
underlying_bid |
Underlying bid |
decimal number |
None. |
underlying_ask |
Underlying ask |
decimal number |
None. |
size |
Size |
integer |
None. |
price |
Price |
decimal number |
None. |
flag |
Cancel flag (0=normal, 1=canceled trade, 2=cancel trade message) |
integer |
None. |
exch_sequence_number |
Exchange sequence number |
integer |
None. |
time |
Time (Eastern Standard Time) |
string |
None. |
exchange_id | byte |
None. |
|
condition_id | byte |
None. |
|
sequence_number |
Sequence number |
integer |
None. |
nbbo_bid |
NBBO bid |
decimal number |
None. |
nbbo_bid_size |
NBBO bid size |
integer |
None. |
nbbo_ask |
NBBO ask |
decimal number |
None. |
nbbo_ask_size |
NBBO ask size |
integer |
None. |
[ { "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, "underlying_bid": 299.5, "underlying_ask": 301.5, "size": 100, "price": 300.5, "flag": 0, "exch_sequence_number": 3333, "time": "09:30:00.001", "exchange_id": 3, "condition_id": 5, "sequence_number": 3123313, "nbbo_bid": 10.05, "nbbo_bid_size": 100, "nbbo_ask": 10.75, "nbbo_ask_size": 85 }, { "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, "underlying_bid": 499.9, "underlying_ask": 501.9, "size": 2000, "price": 500.9, "flag": 1, "exch_sequence_number": 555555, "time": "15:39:58.123", "exchange_id": 4, "condition_id": 6, "sequence_number": 412333312, "nbbo_bid": 10.55, "nbbo_bid_size": 120, "nbbo_ask": 10.95, "nbbo_ask_size": 90 } ]
<option_trades xmlns:i="http://www.w3.org/2001/XMLSchema-instance"> <trade_with_greeks> <condition_id>5</condition_id> <exchange_id>3</exchange_id> <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> <sequence_number>3123313</sequence_number> <time>09:30:00.001</time> <exch_sequence_number>3333</exch_sequence_number> <flag>0</flag> <price>300.5</price> <size>100</size> <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> </trade_with_greeks> <trade_with_greeks> <condition_id>6</condition_id> <exchange_id>4</exchange_id> <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> <sequence_number>412333312</sequence_number> <time>15:39:58.123</time> <exch_sequence_number>555555</exch_sequence_number> <flag>1</flag> <price>500.9</price> <size>2000</size> <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> </trade_with_greeks> </option_trades>