GET 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

GET

/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}

OPTIONS

Get trades with greeks for an option

Example URI

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

Request Information

URI Parameters

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	Exchange id	byte	Range: inclusive between 0 and 255
condition_id	Comma-separated list of Condition ids	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)

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
underlying_bid	Underlying bid	decimal number	None	None
underlying_ask	Underlying ask	decimal number	None	None
size	Size	integer	None	None
price	Price	decimal number	None	None
flag	Cancel flag (0=normal, 1=canceled trade, 2=cancel trade message)	integer	None	None
exch_sequence_number	Exchange sequence number	integer	None	None
time	Time (Eastern Standard Time)	string	None	None
exchange_id	Exchange id	byte	None	None
condition_id	Condition id	byte	None	None
sequence_number	Sequence number	integer	None	None
nbbo_bid	NBBO bid	decimal number	None	None
nbbo_bid_size	NBBO bid size	integer	None	None
nbbo_ask	NBBO ask	decimal number	None	None
nbbo_ask_size	NBBO ask size	integer	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,
    "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
  }
]

application/xml, text/xml

Sample:

<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>