List Every Option Contract & Higher Order Trade Greeks

Increased Redundancy & 10G Infrastructure

We recently took delivery of 6 servers and a bunch of networking equipment. We will be using these as redundant streaming FPSS and historical data MDDS servers. Our 10G infrastructure will allow us to transfer those 100s of terabytes of options data we have throughout our network.

List every option contract

You can now list every option contract that was traded or quoted on a particular date. This improves throughput as users no longer need to make requests that might return no data for a particular day. There could be 10s of millions of potential option contracts traded on for any historical day of data. This method provides the user with the exact contracts, so they don’t need to check if the 10s of millions of option contracts have data available. This new request is available for the REST API. You can read more about the usage here. You might need to use the unstable Theta Terminal version depending on when you’re reading this.

Higher Order Trade Greeks

Getting higher order Greeks data with Theta Data couldn’t be easier. We now provide these exotic calculations for option trades. This is available through both our REST and Python APIs. You might need to use the unstable Theta Terminal version depending on when you’re reading this.

Second Order Documentation

Third Order Documentation

CSV Support & Bulk EOD Greeks

Historical Data as CSV Files

You can now access all historical requests in a CSV format. Doing so is as easy as adding the use_csv=true parameter in any historical REST API request. It took us just 22 minutes and 51 seconds to fully implement this feature. Our agnostic design philosophy allows us to implement new features and request types faster than any other market data provider.

Bulk End of Day Greeks

Request bulk end of day first and second order greeks for an entire option chain with ease. Just provide a strike price and expiration date and you’re good to go! We plan to cache this EOD data in the future, which will significantly improve performance. You can read up on the documentation for using bulk EOD greeks here.

We’re Not Stopping Here

We have major performance optimizations and new request types going into production in the next few weeks. Stay tuned for more updates.

- Bailey Danseglio CEO @ Theta Data

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