POST trade-review

POST

/trade-review

OPTIONS

Trade analysis for a collection of option trades

Example URI

Live


https://api.livevol.com/v1/live/trade-review

Delayed


https://api.livevol.com/v1/delayed/trade-review

Request Information

Body Parameters

Collection of InputOptionTrade

Name	Description	Type	Additional information
buy_or_sell	Trade operation	string	Allowed values are [ BUY, SELL, UNKNOWN ] Default value is: UNKNOWN
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 11:44:24.482)
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
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:

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

application/xml, text/xml

Sample:

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

Response Information

Resource Description

Collection of TradeReviewDetailedResponse

Name	Description	Type	Additional information
used_input	Used input for trade review	InputOptionTrade	None.
is_obvious_error	Obvious error indication	boolean	None.
supporting_evidence	Supporting evidence	string	None.
course_of_action	Recommended course of action	string	None.
detailed_log	Detailed analysis log	string	None.
trade_condition	Trade condition information	string	None.
parity	Parity information	string	None.
notional_value	Notional value	decimal number	None.
underlying_bid	Underlying symbol bid at trade time	decimal number	None.
underlying_ask	Underlying symbol ask at trade time	decimal number	None.
sequence_number	Exchange sequence number of a reviewed trade	integer	None.
trade_size	Size of a reviewed trade	integer	None.
trade_price	Price of a reviewed trade	decimal number	None.
trade_time	Trade time. HH:MM:SS.SSS (Eastern Standard Time) Actual time when trade happened.	time interval	None.
trade_exchange	Exchange id of a reviewed trade	byte	None.
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	None.
record_number	Record number of a reviewed trade	integer	None.
market_state_at_trade_time	Market state at trade time: - WIDE - CROSSED - NOT_VALID - LEGAL - ADJUSTED_FROM_LEVEL2	string	None.
nbbo_bid_at_trade	Nbbo bid at trade	decimal number	None.
nbbo_ask_at_trade	Nbbo ask at trade	decimal number	None.
nbbo_bid_size_at_trade	Nbbo bid size at trade	integer	None.
nbbo_ask_size_at_trade	Nbbo ask size at trade	integer	None.
tr_nbbo_bid	Used for trade review Nbbo ask	decimal number	None.
tr_nbbo_ask	Used for trade review Nbbo ask	decimal number	None.
intrinsic_value	Intrinsic value	decimal number	None.
parity_type	Market state at trade time: - ABOVE_PARITY - BELOW_PARITY - AT_PARITY	string	None.
delivery_code	Delivery code for nonstandard options	string	None.
threshold	Used threshold	decimal number	None.
adjustment_modifier	Used adjustment modifier	decimal number	None.
price_adjustment	Used price adjustment	decimal number	None.
theo_price_generation	Theoretical market details	TheoCalcResult	None.

Response Formats

application/json, text/json

Sample:

[
  {
    "used_input": {
      "buy_or_sell": "UNKNOWN",
      "trade_price": 8.9,
      "trade_size": 18,
      "seq_number": 282836659,
      "expiry": "2019-01-18",
      "time_stamp": "2019-01-18 11:45:23.467",
      "market_width_scale": 1,
      "root": "AMZN",
      "strike": 1702.5,
      "option_type": "C"
    },
    "is_obvious_error": false,
    "supporting_evidence": null,
    "course_of_action": null,
    "detailed_log": null,
    "trade_condition": null,
    "parity": null,
    "notional_value": 0.0,
    "underlying_bid": 0.0,
    "underlying_ask": 0.0,
    "sequence_number": 0,
    "trade_size": 0,
    "trade_price": 0.0,
    "trade_time": "00:00:00",
    "trade_exchange": 0,
    "market_width_scale": 2,
    "record_number": 0,
    "market_state_at_trade_time": "LEGAL",
    "nbbo_bid_at_trade": 0.0,
    "nbbo_ask_at_trade": 0.0,
    "nbbo_bid_size_at_trade": 0,
    "nbbo_ask_size_at_trade": 0,
    "tr_nbbo_bid": 0.0,
    "tr_nbbo_ask": 0.0,
    "intrinsic_value": 0.0,
    "parity_type": "BELOW_PARITY",
    "delivery_code": "sample string 3",
    "threshold": 0.0,
    "adjustment_modifier": 0.0,
    "price_adjustment": 0.0,
    "theo_price_generation": {
      "time_stamp": "2016-11-17 10:12:33.000",
      "first_sibling": {
        "strike": 150.0,
        "option_type": "C",
        "mid_iv": 0.02,
        "bid": 3.2,
        "ask": 4.5,
        "theo": 4.0,
        "time_stamp": "2016-11-17 10:12:33.000",
        "stock": 4.0
      },
      "second_sibling": {
        "strike": 150.0,
        "option_type": "C",
        "mid_iv": 0.02,
        "bid": 3.2,
        "ask": 4.5,
        "theo": 4.0,
        "time_stamp": "2016-11-17 10:12:33.000",
        "stock": 4.0
      },
      "target": {
        "strike": 150.0,
        "option_type": "C",
        "mid_iv": 0.02,
        "bid": 3.2,
        "ask": 4.5,
        "theo": 4.0,
        "time_stamp": "2016-11-17 10:12:33.000",
        "stock": 4.0
      },
      "method": 0,
      "method_name": "BUTTERFLY_1",
      "error_message": "Sibling strike expected."
    }
  }
]

application/xml, text/xml

Sample:

<trade_review_responses xmlns:i="http://www.w3.org/2001/XMLSchema-instance">
  <obv_err_response>
    <adjustment_modifier>0</adjustment_modifier>
    <course_of_action i:nil="true" />
    <delivery_code>sample string 3</delivery_code>
    <detailed_log i:nil="true" />
    <intrinsic_value>0</intrinsic_value>
    <is_obvious_error>false</is_obvious_error>
    <market_state_at_trade_time>LEGAL</market_state_at_trade_time>
    <market_width_scale>2</market_width_scale>
    <nbbo_ask_at_trade>0</nbbo_ask_at_trade>
    <nbbo_ask_size_at_trade>0</nbbo_ask_size_at_trade>
    <nbbo_bid_at_trade>0</nbbo_bid_at_trade>
    <nbbo_bid_size_at_trade>0</nbbo_bid_size_at_trade>
    <notional_value>0</notional_value>
    <parity i:nil="true" />
    <parity_type>BELOW_PARITY</parity_type>
    <price_adjustment>0</price_adjustment>
    <record_number>0</record_number>
    <sequence_number>0</sequence_number>
    <supporting_evidence i:nil="true" />
    <theo_price_generation>
      <error_message>Sibling strike expected.</error_message>
      <first_sibling>
        <ask>4.5</ask>
        <bid>3.2</bid>
        <mid_iv>0.02</mid_iv>
        <option_type>C</option_type>
        <stock>4</stock>
        <strike>150</strike>
        <theo>4</theo>
        <time_stamp>2016-11-17 10:12:33.000</time_stamp>
      </first_sibling>
      <method>0</method>
      <method_name>BUTTERFLY_1</method_name>
      <second_sibling>
        <ask>4.5</ask>
        <bid>3.2</bid>
        <mid_iv>0.02</mid_iv>
        <option_type>C</option_type>
        <stock>4</stock>
        <strike>150</strike>
        <theo>4</theo>
        <time_stamp>2016-11-17 10:12:33.000</time_stamp>
      </second_sibling>
      <target>
        <ask>4.5</ask>
        <bid>3.2</bid>
        <mid_iv>0.02</mid_iv>
        <option_type>C</option_type>
        <stock>4</stock>
        <strike>150</strike>
        <theo>4</theo>
        <time_stamp>2016-11-17 10:12:33.000</time_stamp>
      </target>
      <time_stamp>2016-11-17 10:12:33.000</time_stamp>
    </theo_price_generation>
    <threshold>0</threshold>
    <tr_nbbo_ask>0</tr_nbbo_ask>
    <tr_nbbo_bid>0</tr_nbbo_bid>
    <trade_condition i:nil="true" />
    <trade_exchange>0</trade_exchange>
    <trade_price>0</trade_price>
    <trade_size>0</trade_size>
    <trade_time>PT0S</trade_time>
    <underlying_ask>0</underlying_ask>
    <underlying_bid>0</underlying_bid>
    <used_input>
      <option_type>C</option_type>
      <root>AMZN</root>
      <strike>1702.5</strike>
      <time_stamp>2019-01-18 11:45:23.467</time_stamp>
      <buy_or_sell>UNKNOWN</buy_or_sell>
      <market_width_scale>1</market_width_scale>
      <seq_number>282836659</seq_number>
      <trade_price>8.9</trade_price>
      <trade_size>18</trade_size>
    </used_input>
  </obv_err_response>
</trade_review_responses>