NameDescriptionTypeAdditional information
trade_price

Trade price, may be omitted if seq_number specified

decimal number

None.

trade_size

Trade size, may be omitted if seq_number specified

integer

None.

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

calculation_method

Calculation method

string

None.

symbol

Option symbol

string

Required

expiry

Expiration date and time (Eastern Standard Time)

string

Required

DateTime in yyyy-MM-dd HH:mm:ss format. (i.e. 2019-11-13 15:52:14)

cost_of_carry

Cost of carry

decimal number

Default value is: 0

Range: inclusive between -500 and 500

option_style

Calculation model

string

Allowed values are [ AMERICAN, EUROPEAN ]

Default value is: AMERICAN

delivery_type

Delivery type

string

Allowed values are [ STANDARD, NON-STANDARD ]

Default value is: STANDARD

dividends

Dividends

Collection of DividendInfo

None.

model

Calculation model

string

Allowed values are [ BJERK-STETS, BLACK-SCHOLES, COX-ROSS-RUB, MAX-BJERK-BLACK, ROLL-GESKE-WHALEY ]

Default value is: COX-ROSS-RUB

risk_rate

Interest rate

decimal number

Default value is: 0

Range: inclusive between -500 and 500

stock_price

Spot price of the underlying asset

decimal number

Default value is: 0

Range: inclusive between 0 and 1.79769313486232E+308

option_volatility

Option volatility

decimal number

Default value is: 0

Range: inclusive between 0 and 1.79769313486232E+308

num_steps

Emulation steps count for binomial model

integer

Default value is: 100

Range: inclusive between 1 and 150

penny_class

Penny Class for root

string

Allowed values are [ 3.0, ALL, NICKEL ]

Default value is: NICKEL

time_stamp

Timestamp (Eastern Standard Time)

string

Required

DateTime in yyyy-MM-dd HH:mm:ss.fff format. (i.e. 2019-11-13 15:52:14.754)

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 ]