| 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 |
| 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 |
CTA & UTP CSMI |
| underlying_ask |
Underlying ask |
decimal number |
SIP subscription is required for live or delayed requests; otherwise, returns |
CTA & UTP CSMI |
| condition_id | byte |
None |
None |
|
| 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 |
< API Reference