REST API & Bulk Snapshots

Our stance on market data innovation at ThetaData has been very clear. We believe that there should be no barrier to working with the best options data available and that complex analytics should be one API request away. We have significantly improved the underlying technology of our service over the past 2 months. I’d like to share with you these new developments and what we have in the works.

REST API

We recently launched a REST API that uses our proprietary Theta Terminal to deliver data. Concurrent requests are supported for the REST API, making the throughput much higher than the Python API. We have published some basic documentation on getting started with REST and have plans to add more over the coming weeks.

Bulk Snapshots

Request a real-time snapshot for every option on a chain when you specify a root ticker and expiration date. This is initially only available for the REST API. We will be following up with an option to request a snapshot for every option for a ticker in a future update.

Streaming Option Trades & Quotes

Pro subscribers can stream every option trade. Each trade message comes with the last quote of the option and current OHLCVC for the day. Streaming utilizes our lossless low latency financial data compression to maximize throughput and reduce bandwidth.

New Request Types

TRADE_QUOTE: Returns all trades for a stock or option with the latest NBBO quote at the time of trade.

EOD_QUOTE_GREEKS: Provides end of day first & second order greeks, which is calculated using the underlying price at the time of the closing option quote.

Stellar Customer Support

We offer support 7 days per week. 90% of customer inquiries are resolved within 12 hours. Join our Discord server and post your question in the #api-help section. Our customer community has worked with the API extensively, making it a great place to ask for development advice.

What is in the works: Cached data

When you make an intervals request, our Interp3 matching engine reads every tick in the trading day (either quote or trade) to compute the desired output. This is not the most efficient solution. We are in the first stage of caching our data. This means we are storing the desired output instead of computing it. In our initial testing, we saw over a 10x performance improvement with cached vs non-cached EOD stock data. We plan to roll out caching for both stocks and options on the following data types:

• EOD data (10-15x performance improvement)

• Any request type that is 1-minute intervals or a multiple of 1-minute (est. 15-20x performance improvement)

• OHLCVC 1-minute intervals.

- Bailey Danseglio CEO @ Theta Data

Ho Ho Ho, Refer a Friend and Get $10!

You can refer a friend and each receive a $10 ThetaData credit to be used towards your next purchase or existing subscription. The top referrer by February 1st will receive $100 in credits and a limited edition ThetaData T-shirt. A guide on referring friends can be found here.

Quote & Trade Streaming

We recently added quote & trade streaming to our API. Streaming is simply receiving continuous updates throughout the trading day. Standard & Pro subscribers will have access to real-time streaming for quotes & trades. The Pro tier will have the ability to request the full real-time options trade feed. We deliver this feed with impeccable latency and it uses less than 1mbps of bandwidth! Check out our streaming example.

10+ Years of US Stocks Data Now Available (Beta Test)

All options data subscribers now have access to quotes and trades for most US stocks. Free accounts have access to 2 years of end of day (EOD) stocks data. We will roll out a separate subscription with full universe data soon. Once the equities subscription is launched, new options data subscribers will have to pay separately for it. Existing subscribers will get it for free!

Need help getting started?

Getting started with a new API can sometimes be a daunting task. We recently improved our documentation, which includes extensive examples of using our low latency market data service.

The Fun Stuff

Last month, we added a new router to improve reliability, security, and quality of service. Below is a shot of me in our data center working on that.

We are located in the same data center as many of the large exchanges. This interconnection gives us low real-time latency and high reliability. We have had many client requests to rent dedicated servers in our cabinet. Co-locating with us reduces latency & lowers internet fees. I am pleased to say that we are working on this and hope to have a service available by early 2023.

Happy Holidays!

Bailey Danseglio

CEO @ ThetaData

10+ Years of Options Data Available + QuantPy Partnership

10+ Years of options data is now available After 2 months of processing historical option and equity feeds at speeds of up to 16 million messages per second, we have fully recorded over 10 years of options (OPRA) data! Over 2 trillion messages have been processed during this processing period - an incredible milestone. The earliest date PRO tier clients can access is June 1st, 2012.

QuantPy + Theta Data partnership

We have partnered with the QuantPy YouTube channel! QuantPy makes guides on applying principles of quantitative finance. Theta Data is featured in their latest video.

What’s up next?

We will be adding new types of data, including market data scanners, which aggregate an entire market data feed to provide a small, insightful output back to you. We will also reduce the amount of steps required to get started with Theta Data. In our next API update, we will bundle the Java Runtime Environment (JRE) with the API. Users will no longer have to worry about having the right version of Java installed.

Thanks for tuning in!

- Bailey Danseglio CEO @ Theta Data