ThetaData is a high-performance financial data provider specializing in real-time and historical US equities and options market data, designed for algorithmic trading and quantitative research. It provides granular, low-latency data via a local terminal API, covering trades, quotes, and Greeks, often used for backtesting, say QuantConnect.com
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- Retrieves equity market schedule for a given date - Note: Holiday data is available 01/01/2012 through the end of the calendar year that immediately follows the current year - *On days when the market closes early at 1:00 PM ET; eligible options will trade until 1:15 PM. - **Some NYSE exchanges will continue late trading until 5:00 PM ET on early close days.
- Retrieves current day equity market schedule - *On days when the market closes early at 1:00 PM ET; eligible options will trade until 1:15 PM. - **Some NYSE exchanges will continue late trading until 5:00 PM ET on early close days.
- Retrieves equity market holidays for a given year - Note: Holiday data is available 01/01/2012 through the end of the calendar year that immediately follows the current year - *On days when the market closes early at 1:00 PM ET; eligible options will trade until 1:15 PM. - **Some NYSE exchanges will continue late trading until 5:00 PM ET on early close days.
- Returns the last NBBO quote reported by [OPRA](/Articles/Data-And-Requests/The-SIPs.html) at a specified millisecond of the day. - The ``time_of_day``parameter represents the 00:00:00.000 ET that the quote should be provided for.
- Returns the last trade reported by [OPRA](/Articles/Data-And-Requests/The-SIPs.html) at a specified millisecond of the day. - Trade condition mappings can be found [here](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html). - Extended trade conditions are not reported by [OPRA](/Articles/Data-And-Requests/The-SIPs.html) for options, so they can be ignored. - The ``time_of_day``parameter represents the 00:00:00.000 ET that the trade should be provided for.
- Since [OPRA](/Articles/Data-And-Requests/The-SIPs.html) does not provide a national EOD report for options, Theta Data generates a national EOD report at 17:15 ET each day. - ``created`` represents the datetime the report was generated and ``last_trade`` represents the datetime of the last trade. - The quote in the response represents the last NBBO reported by OPRA at the time of report generation. - You can read more about EOD & OHLC data [here](/Articles/Data-And-Requests/OHLC-EOD.html).
- Returns the data for all contracts that share the same provided symbol and expiration. - Uses Theta Data's EOD reports that get generated at 17:15 ET each day. The closing option price and closing underlying price are used for the greeks calculation. - Set `expiration` to ``*`` if you want to retrieve data for every option that shares the same ``symbol``. (note: Any ``expiration=*`` must be requested day by day)
- Returns the data for all contracts that share the same provided symbol and expiration. - Calculated using the option and underlying midpoint price. If an interval size is specified (*highly recommended*), the option quote used in the calculation follows the same rules as the [quote](/operations/option_history_quote.html) endpoint. - The underlying price represents whatever the last underlying price was at the ``timestamp`` field. You can read more about how Theta Data calculates greeks [here](/Articles/Data-And-Requests/Option-Greeks.html). - Multi-day requests are limited to 1 month of data.
- Returns implied volatilies calculated using the national best bid, mid, and ask price of the option respectively. - The underlying price represents whatever the last underlying price was at the ``timestamp`` field. You can read more about how Theta Data calculates greeks [here](/Articles/Data-And-Requests/Option-Greeks.html). - Multi-day requests are limited to 1 month of data.
- Aggregated OHLC bars that use [SIP rules](/Articles/Data-And-Requests/OHLC-EOD.html) for each bar. - Time timestamp of the bar represents the opening time of the bar. For a trade to be part of the bar: ``bar timestamp`` <= ``trade time`` < ``bar timestamp + interval``. - Multi-day requests are limited to 1 month of data.
- Open Interest is normally reported once per day by [OPRA](/Articles/Data-And-Requests/The-SIPs.html) at approximately 06:30 ET. - A new open interest message might not be sent by [OPRA](/Articles/Data-And-Requests/The-SIPs.html) if there is no open interest for the option contract. - The reported open interest represents the open interest at the end of the previous trading day.
- Returns every NBBO quote reported by [OPRA](/Articles/Data-And-Requests/The-SIPs.html). - If the ``interval`` parameter is specified, the quote for each interval represents the last quote at the interval's timestamp. - Multi-day requests are limited to 1 month of data, and must specify an expiration.
- Returns every trade reported by [OPRA](/Articles/Data-And-Requests/The-SIPs.html). - Trade condition mappings can be found [here](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html). - Extended trade conditions are not reported by [OPRA](/Articles/Data-And-Requests/The-SIPs.html) for options, so they can be ignored. - Multi-day requests are limited to 1 month of data, and must specify an expiration.
- Returns every [trade](/operations/option_history_trade.html) reported by [OPRA](/Articles/Data-And-Requests/The-SIPs.html) paired with the last NBBO quote reported by [OPRA](/Articles/Data-And-Requests/The-SIPs.html) at the time of trade. - A quote is matched with a trade if its timestamp ``<=`` the trade timestamp. - To match trades with quotes timestamps that are ``<`` the trade timestamp, specify the ``exclusive``parameter to ``true``. After thorough testing, we have determined that using ``exclusive=true`` might yield better results for various applications. - Multi-day requests are limited to 1 month of data, and must specify an expiration.
Lists all contracts that were traded or quoted on a particular date. If the ``symbol`` parameter is specified, the returned contracts will be filtered to match the symbol. Multiple symbols can be specified by separating them with commas such as ``symbol=AAPL, SPY, AMD`` This endpoint is updated real-time.
Lists all dates of data that are available for an option with a given symbol, request type, and expiration. This endpoint is updated overnight.
Lists all dates of expirations that are available for an option with a given symbol. This endpoint is updated overnight.
Lists all strikes that are available for an option with a given symbol and expiration date. This endpoint is updated overnight.
A symbol can be defined as a unique identifier for a stock / underlying asset. Common terms also include: root, ticker, and underlying. This endpoint returns all traded symbols for options. This endpoint is updated overnight.
- Retrieve a real-time last greeks calculation for all option contracts that lie on a provided expiration. - You might need to change the default expiration date to a different date if it is past the current date. Some quotes are omitted in the example to reduce the space of the sample output. - Make `expiration` * if you want to get the snapshot for every expiration chain for the underlying. > This endpoint will return no data if the market was closed for the day. Theta Data resets the snapshot cache at midnight ET every night.
