Livevol Web API - GET allaccess/time-and-sales/option-trades

GET

/allaccess/time-and-sales/option-trades?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}

Get current and historical trades for options. To lock on the trades you’re searching for, leverage our extensive filtering on time, price, size, exchange, and trade condition. 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?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?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)

Historical data available from 2003.
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?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?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 1.7976931348623157E+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 9.223372036854776E+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 1.7976931348623157E+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 1.7976931348623157E+308
date	Trading date	string	Required Date in yyyy-MM-dd format. (i.e. 2019-01-18)

Response Information

Resource Description

Collection of OptionTrade

Name	Description	Type	Additional information	SIP Provider
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	'C' for Call, 'P' for Put	None
option_ask	NBBO ask	decimal number	SIP subscription is required for live or delayed requests	OPRA
option_ask_size	NBBO ask size	integer	SIP subscription is required for live or delayed requests	OPRA
option_bid	NBBO bid	decimal number	SIP subscription is required for live or delayed requests	OPRA
option_bid_size	NBBO bid size	integer	SIP subscription is required for live or delayed requests	OPRA
option_trade_price	Option trade price	decimal number	SIP subscription is required for live or delayed requests	OPRA
option_trade_size	Option trade size	integer	SIP subscription is required for live or delayed requests	OPRA
option_trade_at	Trade price in relation to options market	string	Possible values are [Below Bid, On Bid, Mid Market, On Ask, Above Ask, Crossed Market, No Market]	None
underlying_bid	Underlying bid	decimal number	SIP subscription is required for live or delayed requests; otherwise, returns `null`	CTA & UTP CSMI
underlying_ask	Underlying ask	decimal number	SIP subscription is required for live or delayed requests; otherwise, returns `null`	CTA & UTP CSMI
condition_id	Trade Condition ID Condition id	byte	None	None
exchange_id	Trade Exchange ID Exchange id	byte	None	None
exchange_seq_no	Exchange sequence number	integer	None	None
cancel_flag	Cancel flag	integer	0=normal, 1=canceled trade, 2=cancel trade message	None
timestamp	Timestamp	string	None	None
seq_no	Sequence number	integer	None	None

Response Formats

application/json, text/json

Sample:

[
  {
    "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,
    "timestamp": "09:30:00.001",
    "seq_no": 3123313
  },
  {
    "security": "D200925C00030000",
    "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,
    "timestamp": "15:39:58.123",
    "seq_no": 412333312
  }
]

application/xml, text/xml

Sample:

<option_trades xmlns:i="http://www.w3.org/2001/XMLSchema-instance">
  <option_trade>
    <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>
    <seq_no>3123313</seq_no>
    <timestamp>09:30:00.001</timestamp>
    <cancel_flag>0</cancel_flag>
    <exchange_seq_no>3333</exchange_seq_no>
    <price>300.5</price>
    <security>D200925C00030000</security>
    <size>100</size>
    <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>
  </option_trade>
  <option_trade>
    <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>
    <seq_no>412333312</seq_no>
    <timestamp>15:39:58.123</timestamp>
    <cancel_flag>1</cancel_flag>
    <exchange_seq_no>555555</exchange_seq_no>
    <price>500.9</price>
    <security>D200925C00030000</security>
    <size>2000</size>
    <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>
  </option_trade>
</option_trades>