POST theo-calculator-trades

POST

/theo-calculator-trades

OPTIONS

Calculate theoretical option prices and market using siblings methods for trades. Trades are specified by exchange sequence number or by trade details.

Example URI

Live


https://api.livevol.com/v1/live/theo-calculator-trades

Delayed


https://api.livevol.com/v1/delayed/theo-calculator-trades

Request Information

Body Parameters

Collection of InputOptionTradeWithMode

Name	Description	Type	Additional information
calculation_method	Calculation method	string	Allowed values are [ AUTO, BUTTERFLY_1, BUTTERFLY_2, EXTRAPOLATION, INTRADAY_LOOK_BACK, PREV_DAY_VOLATILITY, SIBLING_MARKET ] Default value is: AUTO
market_width_scale	The user override for the default 1x-Wide limit to allow for Xx-Wide quote width limits when identifying “Valid” markets for use in calculating a theoretical price.	unsigned integer	Default value is: 1 Range: inclusive between 1 and 100
trade_price	Trade price, may be omitted if seq_number specified	decimal number	Default value is: 0 Range: inclusive between 0 and 1.79769313486232E+308
trade_size	Trade size, may be omitted if seq_number specified	integer	Default value is: 0 Range: inclusive between 0 and 2147483647
seq_number	Exchange sequence number of trade. Can be used instead of trade_price/trade_size.	integer	Default value is: 0 Range: inclusive between 0 and 2147483647
expiry	Expiration date	string	Required Date in yyyy-MM-dd format. (i.e. 2019-01-18)
time_stamp	Timestamp (Eastern Standard Time)	string	Required DateTime in yyyy-MM-dd HH:mm:ss.fff format. (i.e. 2021-02-11 11:39:47.879)
root	Option root	string	Required
strike	Option strike	decimal number	Required Range: inclusive between 0.01 and 1.79769313486232E+308
option_type	Option type	string	Required Allowed values are [ C, P ]

Request Formats

application/json, text/json

Sample:

[
  {
    "calculation_method": "AUTO",
    "market_width_scale": 1,
    "trade_price": 8.9,
    "trade_size": 18,
    "seq_number": 282836659,
    "expiry": "2019-01-18",
    "time_stamp": "2019-01-18 11:45:23.467",
    "root": "AMZN",
    "strike": 1702.5,
    "option_type": "C"
  },
  {
    "calculation_method": "BUTTERFLY_1",
    "market_width_scale": 2,
    "trade_price": 23.35,
    "trade_size": 2,
    "seq_number": 292133,
    "expiry": "2019-03-15",
    "time_stamp": "2019-01-18 09:30:00.670",
    "root": "AAPL",
    "strike": 180.0,
    "option_type": "P"
  }
]

application/xml, text/xml

Sample:

<ArrayOfinput_option_trade_with_calc_method xmlns:i="http://www.w3.org/2001/XMLSchema-instance">
  <input_option_trade_with_calc_method>
    <option_type>C</option_type>
    <root>AMZN</root>
    <strike>1702.5</strike>
    <time_stamp>2019-01-18 11:45:23.467</time_stamp>
    <seq_number>282836659</seq_number>
    <trade_price>8.9</trade_price>
    <trade_size>18</trade_size>
    <calculation_method>AUTO</calculation_method>
    <market_width_scale>1</market_width_scale>
  </input_option_trade_with_calc_method>
  <input_option_trade_with_calc_method>
    <option_type>P</option_type>
    <root>AAPL</root>
    <strike>180</strike>
    <time_stamp>2019-01-18 09:30:00.670</time_stamp>
    <seq_number>292133</seq_number>
    <trade_price>23.35</trade_price>
    <trade_size>2</trade_size>
    <calculation_method>BUTTERFLY_1</calculation_method>
    <market_width_scale>2</market_width_scale>
  </input_option_trade_with_calc_method>
</ArrayOfinput_option_trade_with_calc_method>

Response Information

Resource Description

Collection of TheoCalculatorResultOfTheoCalculatorTradeInputsAndTheoCalcResults

Name	Description	Type	Additional information
inputs	Inputs used for calculations	TheoCalculatorTradeInputs	None.
results	Calculation results	Collection of TheoCalcResult	None.
details	Calculation details	Collection of string	None.