< API Reference
GET
/time-and-sales/option-trades-with-greeks?symbol={symbol}&exchange_id={exchange_id}&condition_id={condition_id}&min_size={min_size}&max_size={max_size}&min_price={min_price}&max_price={max_price}&start_sequence_number={start_sequence_number}&limit={limit}&order_by_time={order_by_time}&min_time={min_time}&max_time={max_time}&date={date}
OPTIONS
Get trades with greeks for an option

Example URI

Delayed

https://sandbox.livevol.com/api/v1/delayed/time-and-sales/option-trades-with-greeks?symbol=AAPL190215C00165000&exchange_id=5&condition_id=0&min_size=5&max_size=100&min_price=0.25&max_price=300&start_sequence_number=0&limit=10&order_by_time=ASC&min_time=09:30:00.001&max_time=10:00:00.001&date=2019-01-18

Request Information

URI Parameters

NameDescriptionTypeAdditional information
symbol

OSI-formatted option symbol

string

Required

exchange_id

Exchange id

byte

Range: inclusive between 0 and 255

condition_id

Condition id

byte

Range: inclusive between 0 and 255

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 1.79769313486232E+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 1.79769313486232E+308

start_sequence_number

Start sequence number

integer

Range: inclusive between 0 and 9.22337203685478E+18

limit

Limit

integer

Default value is: 100000

Range: inclusive between 0 and 100000

order_by_time

Limit

string

Allowed values are [ ASC, DESC ]

Default value is: ASC

min_time

First millisecond after midnight which will be included in the results (i.e. "09:30:00.001") (Eastern Standard Time)

time interval

Required

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

Required

Constraint: value should be greater than or equal to min_time value

Range: inclusive between 00:00:00.000 and 23:59:59.999

date

Trading date

string

Required

Date in yyyy-MM-dd format. (i.e. 2019-01-18)

Response Information

Resource Description

Collection of OptionTradeWithGreeks

NameDescriptionTypeAdditional information
iv

Implied Volatility

decimal number

None.

delta

Delta"

decimal number

None.

vega

Vega

decimal number

None.

theta

Theta

decimal number

None.

rho

Rho

decimal number

None.

gamma

Gamma

decimal number

None.

dollar_delta

$Delta"

decimal number

None.

dollar_vega

$Vega

decimal number

None.

dollar_theta

$Theta

decimal number

None.

underlying_bid

Underlying bid

decimal number

None.

underlying_ask

Underlying ask

decimal number

None.

size

Size

integer

None.

price

Price

decimal number

None.

flag

Cancel flag (0=normal, 1=canceled trade, 2=cancel trade message)

integer

None.

exch_sequence_number

Exchange sequence number

integer

None.

time

Time (Eastern Standard Time)

string

None.

exchange_id

Exchange id

byte

None.

condition_id

Condition id

byte

None.

sequence_number

Sequence number

integer

None.

nbbo_bid

NBBO bid

decimal number

None.

nbbo_bid_size

NBBO bid size

integer

None.

nbbo_ask

NBBO ask

decimal number

None.

nbbo_ask_size

NBBO ask size

integer

None.

Response Formats

application/json, text/json

Sample:
[
  {
    "iv": 0.215,
    "delta": 0.527,
    "vega": 26.7035,
    "theta": -15.6223,
    "rho": 15.016,
    "gamma": 0.0277,
    "dollar_delta": 0.527,
    "dollar_vega": 26.7035,
    "dollar_theta": -15.6223,
    "underlying_bid": 299.5,
    "underlying_ask": 301.5,
    "size": 100,
    "price": 300.5,
    "flag": 0,
    "exch_sequence_number": 3333,
    "time": "09:30:00.001",
    "exchange_id": 3,
    "condition_id": 5,
    "sequence_number": 3123313,
    "nbbo_bid": 10.05,
    "nbbo_bid_size": 100,
    "nbbo_ask": 10.75,
    "nbbo_ask_size": 85
  },
  {
    "iv": 0.216,
    "delta": 0.528,
    "vega": 27.7036,
    "theta": -15.5114,
    "rho": 15.217,
    "gamma": 0.0279,
    "dollar_delta": 0.528,
    "dollar_vega": 27.7036,
    "dollar_theta": -15.5114,
    "underlying_bid": 499.9,
    "underlying_ask": 501.9,
    "size": 2000,
    "price": 500.9,
    "flag": 1,
    "exch_sequence_number": 555555,
    "time": "15:39:58.123",
    "exchange_id": 4,
    "condition_id": 6,
    "sequence_number": 412333312,
    "nbbo_bid": 10.55,
    "nbbo_bid_size": 120,
    "nbbo_ask": 10.95,
    "nbbo_ask_size": 90
  }
]

application/xml, text/xml

Sample:
<option_trades xmlns:i="http://www.w3.org/2001/XMLSchema-instance">
  <trade_with_greeks>
    <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>
    <sequence_number>3123313</sequence_number>
    <time>09:30:00.001</time>
    <exch_sequence_number>3333</exch_sequence_number>
    <flag>0</flag>
    <price>300.5</price>
    <size>100</size>
    <underlying_ask>301.5</underlying_ask>
    <underlying_bid>299.5</underlying_bid>
    <delta>0.527</delta>
    <dollar_delta>0.527</dollar_delta>
    <dollar_theta>-15.6223</dollar_theta>
    <dollar_vega>26.7035</dollar_vega>
    <gamma>0.0277</gamma>
    <iv>0.215</iv>
    <rho>15.016</rho>
    <theta>-15.6223</theta>
    <vega>26.7035</vega>
  </trade_with_greeks>
  <trade_with_greeks>
    <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>
    <sequence_number>412333312</sequence_number>
    <time>15:39:58.123</time>
    <exch_sequence_number>555555</exch_sequence_number>
    <flag>1</flag>
    <price>500.9</price>
    <size>2000</size>
    <underlying_ask>501.9</underlying_ask>
    <underlying_bid>499.9</underlying_bid>
    <delta>0.528</delta>
    <dollar_delta>0.528</dollar_delta>
    <dollar_theta>-15.5114</dollar_theta>
    <dollar_vega>27.7036</dollar_vega>
    <gamma>0.0279</gamma>
    <iv>0.216</iv>
    <rho>15.217</rho>
    <theta>-15.5114</theta>
    <vega>27.7036</vega>
  </trade_with_greeks>
</option_trades>