< API Reference
POST
/theo-calculator-trades
OPTIONS
Calculate theoretical option prices and market using siblings methods for trades. Trades are specified by exchange sequence number or by trade details.

Example URI

Delayed

https://sandbox.livevol.com/api/v1/delayed/theo-calculator-trades

Request Information

Body Parameters

Collection of InputOptionTradeWithMode

NameDescriptionTypeAdditional information
calculation_method

Calculation method

string

Allowed values are [ AUTO, BUTTERFLY_1, BUTTERFLY_2, EXTRAPOLATION, INTRADAY_LOOK_BACK, PREV_DAY_VOLATILITY, SIBLING_MARKET ]

Default value is: AUTO

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. 2019-10-20 04:07:42.946)

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:
[
  {
    "calculation_method": "AUTO",
    "trade_price": 8.9,
    "trade_size": 18,
    "seq_number": 282836659,
    "expiry": "2019-01-18",
    "time_stamp": "2019-01-18 11:45:23.467",
    "root": "AMZN",
    "strike": 1702.5,
    "option_type": "C"
  },
  {
    "calculation_method": "BUTTERFLY_1",
    "trade_price": 23.35,
    "trade_size": 2,
    "seq_number": 292133,
    "expiry": "2019-03-15",
    "time_stamp": "2019-01-18 09:30:00.670",
    "root": "AAPL",
    "strike": 180.0,
    "option_type": "P"
  }
]

application/xml, text/xml

Sample:
<ArrayOfinput_option_trade_with_calc_method xmlns:i="http://www.w3.org/2001/XMLSchema-instance">
  <input_option_trade_with_calc_method>
    <option_type>C</option_type>
    <root>AMZN</root>
    <strike>1702.5</strike>
    <time_stamp>2019-01-18 11:45:23.467</time_stamp>
    <seq_number>282836659</seq_number>
    <trade_price>8.9</trade_price>
    <trade_size>18</trade_size>
    <calculation_method>AUTO</calculation_method>
  </input_option_trade_with_calc_method>
  <input_option_trade_with_calc_method>
    <option_type>P</option_type>
    <root>AAPL</root>
    <strike>180</strike>
    <time_stamp>2019-01-18 09:30:00.670</time_stamp>
    <seq_number>292133</seq_number>
    <trade_price>23.35</trade_price>
    <trade_size>2</trade_size>
    <calculation_method>BUTTERFLY_1</calculation_method>
  </input_option_trade_with_calc_method>
</ArrayOfinput_option_trade_with_calc_method>

Response Information

Resource Description

Collection of TheoCalculatorResultOfTheoCalculatorTradeInputsAndTheoCalcResults

NameDescriptionTypeAdditional information
inputs

TheoCalculatorTradeInputs

None.

results

Collection of TheoCalcResult

None.

details

Collection of string

None.

Response Formats