< API Reference
POST
/trade-review
OPTIONS
Trade analysis for a collection of option trades

Example URI

Delayed

https://sandbox.livevol.com/api/v1/delayed/trade-review

Request Information

Body Parameters

Collection of InputOptionTrade

NameDescriptionTypeAdditional 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 1.79769313486232E+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. 2021-02-10 21:08:01.195)

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 1.79769313486232E+308

option_type

Option type

string

Required

Allowed values are [ C, P ]

Request Formats

application/json, text/json

Sample:
[
  {
    "buy_or_sell": "UNKNOWN",
    "trade_price": 8.9,
    "trade_size": 18,
    "seq_number": 282836659,
    "expiry": "2019-01-18",
    "time_stamp": "2019-01-18 11:45:23.467",
    "market_width_scale": 1,
    "root": "AMZN",
    "strike": 1702.5,
    "option_type": "C"
  },
  {
    "buy_or_sell": "BUY",
    "trade_price": 23.35,
    "trade_size": 2,
    "seq_number": 292133,
    "expiry": "2019-03-15",
    "time_stamp": "2019-01-18 09:30:00.670",
    "market_width_scale": 2,
    "root": "AAPL",
    "strike": 180.0,
    "option_type": "P"
  }
]

application/xml, text/xml

Sample:
<ArrayOfinput_option_trade xmlns:i="http://www.w3.org/2001/XMLSchema-instance">
  <input_option_trade>
    <option_type>C</option_type>
    <root>AMZN</root>
    <strike>1702.5</strike>
    <time_stamp>2019-01-18 11:45:23.467</time_stamp>
    <buy_or_sell>UNKNOWN</buy_or_sell>
    <market_width_scale>1</market_width_scale>
    <seq_number>282836659</seq_number>
    <trade_price>8.9</trade_price>
    <trade_size>18</trade_size>
  </input_option_trade>
  <input_option_trade>
    <option_type>P</option_type>
    <root>AAPL</root>
    <strike>180</strike>
    <time_stamp>2019-01-18 09:30:00.670</time_stamp>
    <buy_or_sell>BUY</buy_or_sell>
    <market_width_scale>2</market_width_scale>
    <seq_number>292133</seq_number>
    <trade_price>23.35</trade_price>
    <trade_size>2</trade_size>
  </input_option_trade>
</ArrayOfinput_option_trade>

Response Information

Resource Description

Collection of TradeReviewDetailedResponse

NameDescriptionTypeAdditional information
used_input

Used input for trade review

InputOptionTrade

None.

is_obvious_error

Obvious error indication

boolean

None.

supporting_evidence

Supporting evidence

string

None.

course_of_action

Recommended course of action

string

None.

detailed_log

Detailed analysis log

string

None.

trade_condition

Trade condition information

string

None.

parity

Parity information

string

None.

notional_value

Notional value

decimal number

None.

underlying_bid

Underlying symbol bid at trade time

decimal number

None.

underlying_ask

Underlying symbol ask at trade time

decimal number

None.

sequence_number

Exchange sequence number of a reviewed trade

integer

None.

trade_size

Size of a reviewed trade

integer

None.

trade_price

Price of a reviewed trade

decimal number

None.

trade_time

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

time interval

None.

trade_exchange

Exchange id of a reviewed trade

byte

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.

record_number

Record number of a reviewed trade

integer

None.

market_state_at_trade_time

Market state at trade time: - WIDE - CROSSED - NOT_VALID - LEGAL - ADJUSTED_FROM_LEVEL2

string

None.

nbbo_bid_at_trade

Nbbo bid at trade

decimal number

None.

nbbo_ask_at_trade

Nbbo ask at trade

decimal number

None.

nbbo_bid_size_at_trade

Nbbo bid size at trade

integer

None.

nbbo_ask_size_at_trade

Nbbo ask size at trade

integer

None.

tr_nbbo_bid

Used for trade review Nbbo ask

decimal number

None.

tr_nbbo_ask

Used for trade review Nbbo ask

decimal number

None.

intrinsic_value

Intrinsic value

decimal number

None.

parity_type

Market state at trade time: - ABOVE_PARITY - BELOW_PARITY - AT_PARITY

string

None.

delivery_code

Delivery code for nonstandard options

string

None.

threshold

Used threshold

decimal number

None.

adjustment_modifier

Used adjustment modifier

decimal number

None.

price_adjustment

Used price adjustment

decimal number

None.

theo_price_generation

Theoretical market details

TheoCalcResult

None.

Response Formats

application/json, text/json

Sample:
[
  {
    "used_input": {
      "buy_or_sell": "UNKNOWN",
      "trade_price": 8.9,
      "trade_size": 18,
      "seq_number": 282836659,
      "expiry": "2019-01-18",
      "time_stamp": "2019-01-18 11:45:23.467",
      "market_width_scale": 1,
      "root": "AMZN",
      "strike": 1702.5,
      "option_type": "C"
    },
    "is_obvious_error": false,
    "supporting_evidence": null,
    "course_of_action": null,
    "detailed_log": null,
    "trade_condition": null,
    "parity": null,
    "notional_value": 0.0,
    "underlying_bid": 0.0,
    "underlying_ask": 0.0,
    "sequence_number": 0,
    "trade_size": 0,
    "trade_price": 0.0,
    "trade_time": "00:00:00",
    "trade_exchange": 0,
    "market_width_scale": 2,
    "record_number": 0,
    "market_state_at_trade_time": "LEGAL",
    "nbbo_bid_at_trade": 0.0,
    "nbbo_ask_at_trade": 0.0,
    "nbbo_bid_size_at_trade": 0,
    "nbbo_ask_size_at_trade": 0,
    "tr_nbbo_bid": 0.0,
    "tr_nbbo_ask": 0.0,
    "intrinsic_value": 0.0,
    "parity_type": "BELOW_PARITY",
    "delivery_code": "sample string 3",
    "threshold": 0.0,
    "adjustment_modifier": 0.0,
    "price_adjustment": 0.0,
    "theo_price_generation": {
      "time_stamp": "2016-11-17 10:12:33.000",
      "first_sibling": {
        "strike": 150.0,
        "option_type": "C",
        "mid_iv": 0.02,
        "bid": 3.2,
        "ask": 4.5,
        "theo": 4.0,
        "time_stamp": "2016-11-17 10:12:33.000",
        "stock": 4.0
      },
      "second_sibling": {
        "strike": 150.0,
        "option_type": "C",
        "mid_iv": 0.02,
        "bid": 3.2,
        "ask": 4.5,
        "theo": 4.0,
        "time_stamp": "2016-11-17 10:12:33.000",
        "stock": 4.0
      },
      "target": {
        "strike": 150.0,
        "option_type": "C",
        "mid_iv": 0.02,
        "bid": 3.2,
        "ask": 4.5,
        "theo": 4.0,
        "time_stamp": "2016-11-17 10:12:33.000",
        "stock": 4.0
      },
      "method": 0,
      "method_name": "BUTTERFLY_1",
      "error_message": "Sibling strike expected."
    }
  }
]

application/xml, text/xml

Sample:
<trade_review_responses xmlns:i="http://www.w3.org/2001/XMLSchema-instance">
  <obv_err_response>
    <adjustment_modifier>0</adjustment_modifier>
    <course_of_action i:nil="true" />
    <delivery_code>sample string 3</delivery_code>
    <detailed_log i:nil="true" />
    <intrinsic_value>0</intrinsic_value>
    <is_obvious_error>false</is_obvious_error>
    <market_state_at_trade_time>LEGAL</market_state_at_trade_time>
    <market_width_scale>2</market_width_scale>
    <nbbo_ask_at_trade>0</nbbo_ask_at_trade>
    <nbbo_ask_size_at_trade>0</nbbo_ask_size_at_trade>
    <nbbo_bid_at_trade>0</nbbo_bid_at_trade>
    <nbbo_bid_size_at_trade>0</nbbo_bid_size_at_trade>
    <notional_value>0</notional_value>
    <parity i:nil="true" />
    <parity_type>BELOW_PARITY</parity_type>
    <price_adjustment>0</price_adjustment>
    <record_number>0</record_number>
    <sequence_number>0</sequence_number>
    <supporting_evidence i:nil="true" />
    <theo_price_generation>
      <error_message>Sibling strike expected.</error_message>
      <first_sibling>
        <ask>4.5</ask>
        <bid>3.2</bid>
        <mid_iv>0.02</mid_iv>
        <option_type>C</option_type>
        <stock>4</stock>
        <strike>150</strike>
        <theo>4</theo>
        <time_stamp>2016-11-17 10:12:33.000</time_stamp>
      </first_sibling>
      <method>0</method>
      <method_name>BUTTERFLY_1</method_name>
      <second_sibling>
        <ask>4.5</ask>
        <bid>3.2</bid>
        <mid_iv>0.02</mid_iv>
        <option_type>C</option_type>
        <stock>4</stock>
        <strike>150</strike>
        <theo>4</theo>
        <time_stamp>2016-11-17 10:12:33.000</time_stamp>
      </second_sibling>
      <target>
        <ask>4.5</ask>
        <bid>3.2</bid>
        <mid_iv>0.02</mid_iv>
        <option_type>C</option_type>
        <stock>4</stock>
        <strike>150</strike>
        <theo>4</theo>
        <time_stamp>2016-11-17 10:12:33.000</time_stamp>
      </target>
      <time_stamp>2016-11-17 10:12:33.000</time_stamp>
    </theo_price_generation>
    <threshold>0</threshold>
    <tr_nbbo_ask>0</tr_nbbo_ask>
    <tr_nbbo_bid>0</tr_nbbo_bid>
    <trade_condition i:nil="true" />
    <trade_exchange>0</trade_exchange>
    <trade_price>0</trade_price>
    <trade_size>0</trade_size>
    <trade_time>PT0S</trade_time>
    <underlying_ask>0</underlying_ask>
    <underlying_bid>0</underlying_bid>
    <used_input>
      <option_type>C</option_type>
      <root>AMZN</root>
      <strike>1702.5</strike>
      <time_stamp>2019-01-18 11:45:23.467</time_stamp>
      <buy_or_sell>UNKNOWN</buy_or_sell>
      <market_width_scale>1</market_width_scale>
      <seq_number>282836659</seq_number>
      <trade_price>8.9</trade_price>
      <trade_size>18</trade_size>
    </used_input>
  </obv_err_response>
</trade_review_responses>