Name Description Type Additional information SIP Provider

Used input for trade review

 InputOptionTrade

None

None

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 1.7976931348623157E+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 9.223372036854776E+18
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. 2025-01-28 03:05:14.004)
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 1.7976931348623157E+308
option_type

Option type

 string

Required

Allowed values are [ C, P ]
is_obvious_error

Obvious error indication

 boolean

None

None
supporting_evidence

Supporting evidence

 string

None

None
course_of_action

Recommended course of action

 string

None

None
detailed_log

Detailed analysis log

 string

None

None
trade_condition

Trade condition information

 string

None

None
notional_value

Notional value

 decimal number

None

None
parity

Parity information

 string

SIP subscription is required for live or delayed requests; otherwise, returns null

CTA & UTP

CSMI
underlying_bid

Underlying symbol bid at trade time

 decimal number

SIP subscription is required for live or delayed requests; otherwise, returns null

CTA & UTP

CSMI
underlying_ask

Underlying symbol ask at trade time

 decimal number

SIP subscription is required for live or delayed requests; otherwise, returns null

CTA & UTP

CSMI
sequence_number

Exchange sequence number of a reviewed trade

 integer

None

None
trade_size

Size of a reviewed trade

 integer

None

None
trade_price

Price of a reviewed trade

 decimal number

None

None
trade_time

Trade time. HH:MM:SS.SSS (Eastern Standard Time) Actual time when trade happened.

 time interval

None

None
trade_exchange

Exchange id of a reviewed trade

byte

None

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

None
record_number

Record number of a reviewed trade

 integer

None

None
market_state_at_trade_time

Market state at trade time

 string

Possible values are [WIDE, CROSSED, NOT_VALID, LEGAL, ADJUSTED_FROM_LEVEL2]

None
nbbo_bid_at_trade

Nbbo bid at trade

 decimal number

None

None
nbbo_ask_at_trade

Nbbo ask at trade

 decimal number

None

None
nbbo_bid_size_at_trade

Nbbo bid size at trade

 integer

None

None
nbbo_ask_size_at_trade

Nbbo ask size at trade

 integer

None

None
tr_nbbo_bid

Used for trade review Nbbo ask

 decimal number

None

None
tr_nbbo_ask

Used for trade review Nbbo ask

 decimal number

None

None
intrinsic_value

Intrinsic value

 decimal number

None

None
parity_type

Market state at trade time

 string

Possible values are [ABOVE_PARITY, BELOW_PARITY, AT_PARITY]

None
delivery_code

Delivery code for nonstandard options

 string

None

None
threshold

Used threshold

 decimal number

None

None
adjustment_modifier

Used adjustment modifier

 decimal number

None

None
price_adjustment

Used price adjustment

 decimal number

None

None

Theoretical market details

 TheoCalcResult

None

None

TheoCalcResult

Name Description Type Additional information
time_stamp

Trade date in yyyy-MM-dd HH:mm:ss.fff format (Eastern Standard Time)

 string

None

First sibling market info

 SiblingInfo

None

SiblingInfo

Name Description Type Additional information
strike

Option strike

 decimal number

None
option_type

Option type

 string

None
mid_iv

Calculated option mid volatility

 decimal number

None
theo_iv

Calculated option theo volatility

 decimal number

None
bid

Option bid price

 decimal number

None
ask

Option ask price

 decimal number

None
theo

Option theo price

 decimal number

None
delta

Option delta

 decimal number

None
time_stamp

Date time of this snapshot in yyyy-MM-dd HH:mm:ss.fff format (Eastern Standard Time)

 string

None
stock

Stock price used for IV calculations

 decimal number

None

Second sibling market information

 SiblingInfo

None

SiblingInfo

Name Description Type Additional information
strike

Option strike

 decimal number

None
option_type

Option type

 string

None
mid_iv

Calculated option mid volatility

 decimal number

None
theo_iv

Calculated option theo volatility

 decimal number

None
bid

Option bid price

 decimal number

None
ask

Option ask price

 decimal number

None
theo

Option theo price

 decimal number

None
delta

Option delta

 decimal number

None
time_stamp

Date time of this snapshot in yyyy-MM-dd HH:mm:ss.fff format (Eastern Standard Time)

 string

None
stock

Stock price used for IV calculations

 decimal number

None

Market information for the target trade

 SiblingInfo

None

SiblingInfo

Name Description Type Additional information
strike

Option strike

 decimal number

None
option_type

Option type

 string

None
mid_iv

Calculated option mid volatility

 decimal number

None
theo_iv

Calculated option theo volatility

 decimal number

None
bid

Option bid price

 decimal number

None
ask

Option ask price

 decimal number

None
theo

Option theo price

 decimal number

None
delta

Option delta

 decimal number

None
time_stamp

Date time of this snapshot in yyyy-MM-dd HH:mm:ss.fff format (Eastern Standard Time)

 string

None
stock

Stock price used for IV calculations

 decimal number

None

The Calculation Method to get a volatility

 CalculationMethod

Range: inclusive between 0 and 6

CalculationMethod

Possible enumeration values:

Value Description

0

Butterfly1

1

Butterfly2

2

Extrapolation

3

Sibling market

4

Previous day volatility

5

User defined volatility

6

Intraday lookback
method_name

The Calculation Method name

 string

Possible values are [ BUTTERFLY_1, BUTTERFLY_2, EXTRAPOLATION, SIBLING_MARKET, PREV_DAY_VOLATILITY, USER_DEFINED_VOLATILITY, INTRADAY_LOOK_BACK ]
error_message

Error message

 string

None
bid_adjusted_to

The bid after market adjustment

 decimal number

None

None
ask_adjusted_to

The ask after market adjustment

 decimal number

None

None
bid_size_adjusted_to

The bid size after market adjustment

 integer

None

None
ask_size_adjusted_to

The ask size after market adjustment

 integer

None

None
has_legal_ten_sec_mkt

Determines if a legal market was found in last 10 sec

 boolean

None

None