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
This provider-level handoff preserves only its public ID. No tool or business task is guessed; choose a current tool during rediscovery before setup can be treated as complete.
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 ``underlying_timestamp`` field. You can read more about how Theta Data calculates greeks [here](/Articles/Data-And-Requests/Option-Greeks.html).
* Returns a real-time market value derived from the last NBBO quote of an option contract.
- Retrieve a real-time last ohlc of an option contract for the trading day. - You might need to change the default expiration date to a different date if it is past the current date.
- Retrieve the last open interest message of an option contract. - Open interest is reported around 06:30 ET every morning by OPRA and reflects the open interest at the of the previous trading day. - You might need to change the default expiration date to a different date if it is past the current date. - 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.
- Retrieve a real-time last NBBO quote of an option contract. - You might need to change the default expiration date to a different date if it is past the current date. - 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.
Since [the equity SIPs](/Articles/Data-And-Requests/The-SIPs.html) only generate a partial EOD report, 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 [CTA or UTP](/Articles/Data-And-Requests/The-SIPs.html) at the time of report generation. You can read more about EOD & OHLC data [here](/Articles/Data-And-Requests/OHLC-EOD.html). Theta Data plans to avail SIP EOD reports in the near future.
Lists all dates of data that are available for a stock with a given request type and symbol. 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 stocks. This endpoint is updated overnight.
