API Reference

ThetaDataDx provides a unified client for accessing ThetaData market data across three public surfaces: historical request/response (MDDS over gRPC), real-time streaming (FPSS over TCP), and whole-universe daily blobs (FLATFILES over the legacy MDDS port). The SDK ships native bindings for Rust, Python, TypeScript/Node.js, and C++, all backed by the same compiled Rust core.

Complete typed historical surface + 4 streaming variants + the FLATFILES daily-blob surface (Rust today; cross-language bindings tracked under the FLATFILES roadmap section) + 23 Greeks functions + IV solver.

Client Construction

RustPythonTypeScriptC++

rust

use thetadatadx::{ThetaDataDxClient, Credentials, DirectConfig};

let creds = Credentials::from_file("creds.txt")?;
let client = ThetaDataDxClient::connect(&creds, DirectConfig::production()).await?;

python

from thetadatadx import Credentials, Config, ThetaDataDxClient

creds = Credentials.from_file("creds.txt")
client = ThetaDataDxClient(creds, Config.production())

typescript

import { ThetaDataDxClient } from 'thetadatadx';

const client = await ThetaDataDxClient.connectFromFile('creds.txt');

cpp

auto creds = tdx::Credentials::from_file("creds.txt");
auto client = tdx::UnifiedClient::connect(creds, tdx::Config::production());

Stock Endpoints

stock_list_symbols

List all available stock ticker symbols.

RustPythonTypeScriptC++

rust

let symbols = tdx.stock_list_symbols().await?;

python

symbols = tdx.stock_list_symbols()

typescript

const symbols = tdx.stockListSymbols();

cpp

auto symbols = client.stock_list_symbols();

Parameters: None

Returns: List of ticker symbol strings.

stock_list_dates

List available dates for a stock by request type.

RustPythonTypeScriptC++

rust

let dates = tdx.stock_list_dates("TRADE", "AAPL").await?;

python

dates = tdx.stock_list_dates("TRADE", "AAPL")

typescript

const dates = tdx.stockListDates('TRADE', 'AAPL');

cpp

auto dates = client.stock_list_dates("TRADE", "AAPL");

Parameter	Type	Required	Description
`request_type`	string	Yes	Data type: `"TRADE"`, `"QUOTE"`, `"OHLC"`
`symbol`	string	Yes	Ticker symbol

Returns: List of date strings (YYYYMMDD).

stock_snapshot_ohlc

Latest OHLC snapshot for one or more stocks.

RustPythonTypeScriptC++

rust

let bars = tdx.stock_snapshot_ohlc(&["AAPL", "MSFT"]).await?;

python

bars = tdx.stock_snapshot_ohlc(["AAPL", "MSFT"])

typescript

const bars = tdx.stockSnapshotOhlc(['AAPL', 'MSFT']);

cpp

auto bars = client.stock_snapshot_ohlc({"AAPL", "MSFT"});

Parameter	Type	Required	Description
`symbols`	string[]	Yes	One or more ticker symbols
`venue`	string	No	Data venue filter
`min_time`	string	No	Minimum time of day (ms from midnight)

Returns: List of OhlcTick.

stock_snapshot_trade

Latest trade snapshot for one or more stocks.

RustPythonTypeScriptC++

rust

let trades = tdx.stock_snapshot_trade(&["AAPL"]).await?;

python

trades = tdx.stock_snapshot_trade(["AAPL"])

typescript

const trades = tdx.stockSnapshotTrade(['AAPL']);

cpp

auto trades = client.stock_snapshot_trade({"AAPL"});

Parameter	Type	Required	Description
`symbols`	string[]	Yes	One or more ticker symbols
`venue`	string	No	Data venue filter
`min_time`	string	No	Minimum time of day (ms from midnight)

Returns: List of TradeTick.

stock_snapshot_quote

Latest NBBO quote snapshot for one or more stocks.

RustPythonTypeScriptC++

rust

let quotes = tdx.stock_snapshot_quote(&["AAPL"]).await?;

python

quotes = tdx.stock_snapshot_quote(["AAPL"])

typescript

const quotes = tdx.stockSnapshotQuote(['AAPL']);

cpp

auto quotes = client.stock_snapshot_quote({"AAPL"});

Parameter	Type	Required	Description
`symbols`	string[]	Yes	One or more ticker symbols
`venue`	string	No	Data venue filter
`min_time`	string	No	Minimum time of day (ms from midnight)

Returns: List of QuoteTick.

stock_snapshot_market_value

Latest market value snapshot for one or more stocks.

RustPythonTypeScriptC++

rust

let mv = tdx.stock_snapshot_market_value(&["AAPL"]).await?;

python

mv = tdx.stock_snapshot_market_value(["AAPL"])

typescript

const mv = tdx.stockSnapshotMarketValue(['AAPL']);

cpp

auto mv = client.stock_snapshot_market_value({"AAPL"});

Parameter	Type	Required	Description
`symbols`	string[]	Yes	One or more ticker symbols
`venue`	string	No	Data venue filter
`min_time`	string	No	Minimum time of day (ms from midnight)

Returns: Array of MarketValueTick records with market cap, shares outstanding, enterprise value, book value, free float.

stock_history_eod

End-of-day stock data across a date range.

RustPythonTypeScriptC++

rust

let eod = tdx.stock_history_eod("AAPL", "20240101", "20240301").await?;

python

eod = tdx.stock_history_eod("AAPL", "20240101", "20240301")

typescript

const eod = tdx.stockHistoryEOD('AAPL', '20240101', '20240301');

cpp

auto eod = client.stock_history_eod("AAPL", "20240101", "20240301");

Parameter	Type	Required	Description
`symbol`	string	Yes	Ticker symbol
`start_date`	string	Yes	Start date (`YYYYMMDD`)
`end_date`	string	Yes	End date (`YYYYMMDD`)

Returns: List of EodTick.

stock_history_ohlc

Intraday OHLC bars for a single date.

RustPythonTypeScriptC++

rust

let bars = tdx.stock_history_ohlc("AAPL", "20240315", "60000").await?;

python

bars = tdx.stock_history_ohlc("AAPL", "20240315", "60000")

typescript

const bars = tdx.stockHistoryOHLC('AAPL', '20240315', '60000');

cpp

auto bars = client.stock_history_ohlc("AAPL", "20240315", "60000");

Parameter	Type	Required	Description
`symbol`	string	Yes	Ticker symbol
`date`	string	Yes	Date (`YYYYMMDD`)
`interval`	string	Yes	Accepts milliseconds (`"60000"`) or shorthand (`"1m"`). Valid presets: `100ms`, `500ms`, `1s`, `5s`, `10s`, `15s`, `30s`, `1m`, `5m`, `10m`, `15m`, `30m`, `1h`.
`start_time`	string	No	Start time (ms from midnight)
`end_time`	string	No	End time (ms from midnight)
`venue`	string	No	Data venue filter

Returns: List of OhlcTick.

stock_history_ohlc_range

Intraday OHLC bars across a date range.

RustPythonTypeScriptC++

rust

let bars = tdx.stock_history_ohlc_range("AAPL", "20240101", "20240301", "60000").await?;

python

bars = tdx.stock_history_ohlc_range("AAPL", "20240101", "20240301", "60000")

typescript

const bars = tdx.stockHistoryOHLCRange('AAPL', '20240101', '20240301', '60000');

cpp

auto bars = client.stock_history_ohlc_range("AAPL", "20240101", "20240301", "60000");

Parameter	Type	Required	Description
`symbol`	string	Yes	Ticker symbol
`start_date`	string	Yes	Start date (`YYYYMMDD`)
`end_date`	string	Yes	End date (`YYYYMMDD`)
`interval`	string	Yes	Accepts milliseconds (`"60000"`) or shorthand (`"1m"`). Valid presets: `100ms`, `500ms`, `1s`, `5s`, `10s`, `15s`, `30s`, `1m`, `5m`, `10m`, `15m`, `30m`, `1h`.

Returns: List of OhlcTick.

stock_history_trade

All trades for a stock on a given date.

RustPythonTypeScriptC++

rust

let trades = tdx.stock_history_trade("AAPL", "20240315").await?;

python

trades = tdx.stock_history_trade("AAPL", "20240315")

typescript

const trades = tdx.stockHistoryTrade('AAPL', '20240315');

cpp

auto trades = client.stock_history_trade("AAPL", "20240315");

Parameter	Type	Required	Description
`symbol`	string	Yes	Ticker symbol
`date`	string	Yes	Date (`YYYYMMDD`)
`start_time`	string	No	Start time (ms from midnight)
`end_time`	string	No	End time (ms from midnight)
`venue`	string	No	Data venue filter

Returns: List of TradeTick.

Tier: Standard+

stock_history_quote

NBBO quotes for a stock at a given interval.

RustPythonTypeScriptC++

rust

let quotes = tdx.stock_history_quote("AAPL", "20240315", "60000").await?;

python

quotes = tdx.stock_history_quote("AAPL", "20240315", "60000")

typescript

const quotes = tdx.stockHistoryQuote('AAPL', '20240315', '60000');

cpp

auto quotes = client.stock_history_quote("AAPL", "20240315", "60000");

Parameter	Type	Required	Description
`symbol`	string	Yes	Ticker symbol
`date`	string	Yes	Date (`YYYYMMDD`)
`interval`	string	Yes	Accepts milliseconds (`"60000"`) or shorthand (`"1m"`). Valid presets: `100ms`, `500ms`, `1s`, `5s`, `10s`, `15s`, `30s`, `1m`, `5m`, `10m`, `15m`, `30m`, `1h`. Use `"0"` for every change.
`start_time`	string	No	Start time (ms from midnight)
`end_time`	string	No	End time (ms from midnight)
`venue`	string	No	Data venue filter

Returns: List of QuoteTick.

Tier: Standard+

stock_history_trade_quote

Combined trade + quote ticks for a stock on a given date.

RustPythonTypeScriptC++

rust

let tq = tdx.stock_history_trade_quote("AAPL", "20240315").await?;

python

tq = tdx.stock_history_trade_quote("AAPL", "20240315")

typescript

const tq = tdx.stockHistoryTradeQuote('AAPL', '20240315');

cpp

auto tq = client.stock_history_trade_quote("AAPL", "20240315");

Parameter	Type	Required	Description
`symbol`	string	Yes	Ticker symbol
`date`	string	Yes	Date (`YYYYMMDD`)
`start_time`	string	No	Start time (ms from midnight)
`end_time`	string	No	End time (ms from midnight)
`exclusive`	bool	No	Exclusive time bounds
`venue`	string	No	Data venue filter

Returns: Array of TradeQuoteTick records with combined trade + quote fields.

Tier: Pro

stock_at_time_trade

Trade at a specific time of day across a date range.

RustPythonTypeScriptC++

rust

let trades = tdx.stock_at_time_trade("AAPL", "20240101", "20240301", "09:30:00.000").await?;

python

trades = tdx.stock_at_time_trade("AAPL", "20240101", "20240301", "09:30:00.000")

typescript

const trades = tdx.stockAtTimeTrade('AAPL', '20240101', '20240301', '09:30:00.000');

cpp

auto trades = client.stock_at_time_trade("AAPL", "20240101", "20240301", "09:30:00.000");

Parameter	Type	Required	Description
`symbol`	string	Yes	Ticker symbol
`start_date`	string	Yes	Start date (`YYYYMMDD`)
`end_date`	string	Yes	End date (`YYYYMMDD`)
`time_of_day`	string	Yes	ET wall-clock time in `HH:MM:SS.SSS` (e.g. `"09:30:00.000"`; legacy `"34200000"` also accepted)
`venue`	string	No	Data venue filter

Returns: List of TradeTick, one per date.

stock_at_time_quote

Quote at a specific time of day across a date range.

RustPythonTypeScriptC++

rust

let quotes = tdx.stock_at_time_quote("AAPL", "20240101", "20240301", "09:30:00.000").await?;

python

quotes = tdx.stock_at_time_quote("AAPL", "20240101", "20240301", "09:30:00.000")

typescript

const quotes = tdx.stockAtTimeQuote('AAPL', '20240101', '20240301', '09:30:00.000');

cpp

auto quotes = client.stock_at_time_quote("AAPL", "20240101", "20240301", "09:30:00.000");

Parameter	Type	Required	Description
`symbol`	string	Yes	Ticker symbol
`start_date`	string	Yes	Start date (`YYYYMMDD`)
`end_date`	string	Yes	End date (`YYYYMMDD`)
`time_of_day`	string	Yes	ET wall-clock time in `HH:MM:SS.SSS`
`venue`	string	No	Data venue filter

Returns: List of QuoteTick, one per date.

Option Endpoints

All option endpoints that operate on a specific contract require the contract spec parameters: symbol, expiration, strike, and right.

symbol - Underlying ticker (e.g. "SPY")
expiration - Expiration date as YYYYMMDD string
strike - Strike price in dollars as a string (e.g. "500" or "17.5")
right - "C" for call, "P" for put

option_list_symbols

List all available option underlying symbols.

RustPythonTypeScriptC++

rust

let symbols = tdx.option_list_symbols().await?;

python

symbols = tdx.option_list_symbols()

typescript

const symbols = tdx.optionListSymbols();

cpp

auto symbols = client.option_list_symbols();

Parameters: None

Returns: List of underlying symbol strings.

option_list_dates

List available dates for an option contract by request type.

RustPythonTypeScriptC++

rust

let dates = tdx.option_list_dates("TRADE", "SPY", "20241220", "500", "C").await?;

python

dates = tdx.option_list_dates("TRADE", "SPY", "20241220", "500", "C")

typescript

const dates = tdx.optionListDates('TRADE', 'SPY', '20241220', '500', 'C');

cpp

auto dates = client.option_list_dates("TRADE", "SPY", "20241220", "500", "C");

Parameter	Type	Required	Description
`request_type`	string	Yes	Data type: `"TRADE"`, `"QUOTE"`, etc.
`symbol`	string	Yes	Underlying symbol
`expiration`	string	Yes	Expiration date (`YYYYMMDD`)
`strike`	string	Yes	Strike price in dollars as a string
`right`	string	Yes	`"C"` or `"P"`

Returns: List of date strings (YYYYMMDD).

option_list_expirations

List all expiration dates for an underlying.

RustPythonTypeScriptC++

rust

let exps = tdx.option_list_expirations("SPY").await?;

python

exps = tdx.option_list_expirations("SPY")

typescript

const exps = tdx.optionListExpirations('SPY');

cpp

auto exps = client.option_list_expirations("SPY");

Parameter	Type	Required	Description
`symbol`	string	Yes	Underlying symbol

Returns: List of expiration date strings (YYYYMMDD).

option_list_strikes

List strike prices for a given expiration.

RustPythonTypeScriptC++

rust

let strikes = tdx.option_list_strikes("SPY", "20241220").await?;

python

strikes = tdx.option_list_strikes("SPY", "20241220")

typescript

const strikes = tdx.optionListStrikes('SPY', '20241220');

cpp

auto strikes = client.option_list_strikes("SPY", "20241220");

Parameter	Type	Required	Description
`symbol`	string	Yes	Underlying symbol
`expiration`	string	Yes	Expiration date (`YYYYMMDD`)

Returns: List of strike price strings in dollars.

option_list_contracts

List all option contracts for a symbol on a given date.

RustPythonTypeScriptC++

rust

let contracts = tdx.option_list_contracts("TRADE", "SPY", "20240315").await?;

python

contracts = tdx.option_list_contracts("TRADE", "SPY", "20240315")

typescript

const contracts = tdx.optionListContracts('TRADE', 'SPY', '20240315');

cpp

auto contracts = client.option_list_contracts("TRADE", "SPY", "20240315");

Parameter	Type	Required	Description
`request_type`	string	Yes	Data type
`symbol`	string	Yes	Underlying symbol
`date`	string	Yes	Date (`YYYYMMDD`)
`max_dte`	int	No	Maximum days to expiration filter

Returns: Array of OptionContract records with symbol, expiration, strike, right.

option_snapshot_ohlc

Latest OHLC snapshot for an option contract.

RustPythonTypeScriptC++

rust

let bars = tdx.option_snapshot_ohlc("SPY", "20241220", "500", "C").await?;

python

bars = tdx.option_snapshot_ohlc("SPY", "20241220", "500", "C")

typescript

const bars = tdx.optionSnapshotOhlc('SPY', '20241220', '500', 'C');

cpp

auto bars = client.option_snapshot_ohlc("SPY", "20241220", "500", "C");

Parameter	Type	Required	Description
`symbol`	string	Yes	Underlying symbol
`expiration`	string	Yes	Expiration date (`YYYYMMDD`)
`strike`	string	Yes	Strike price in dollars as a string
`right`	string	Yes	`"C"` or `"P"`
`max_dte`	int	No	Maximum days to expiration
`strike_range`	int	No	Strike range filter
`min_time`	string	No	Minimum time of day (ms from midnight)

Returns: List of OhlcTick.

option_snapshot_trade

Latest trade snapshot for an option contract.

RustPythonTypeScriptC++

rust

let trades = tdx.option_snapshot_trade("SPY", "20241220", "500", "C").await?;

python

trades = tdx.option_snapshot_trade("SPY", "20241220", "500", "C")

typescript

const trades = tdx.optionSnapshotTrade('SPY', '20241220', '500', 'C');

cpp

auto trades = client.option_snapshot_trade("SPY", "20241220", "500", "C");

Parameter	Type	Required	Description
`symbol`	string	Yes	Underlying symbol
`expiration`	string	Yes	Expiration date
`strike`	string	Yes	Strike price in dollars as a string
`right`	string	Yes	`"C"` or `"P"`
`strike_range`	int	No	Strike range filter
`min_time`	string	No	Minimum time of day (ms from midnight)

Returns: List of TradeTick.

option_snapshot_quote

Latest NBBO quote snapshot for an option contract.

RustPythonTypeScriptC++

rust

let quotes = tdx.option_snapshot_quote("SPY", "20241220", "500", "C").await?;

python

quotes = tdx.option_snapshot_quote("SPY", "20241220", "500", "C")

typescript

const quotes = tdx.optionSnapshotQuote('SPY', '20241220', '500', 'C');

cpp

auto quotes = client.option_snapshot_quote("SPY", "20241220", "500", "C");

Parameter	Type	Required	Description
`symbol`	string	Yes	Underlying symbol
`expiration`	string	Yes	Expiration date
`strike`	string	Yes	Strike price in dollars as a string
`right`	string	Yes	`"C"` or `"P"`
`max_dte`	int	No	Maximum days to expiration
`strike_range`	int	No	Strike range filter
`min_time`	string	No	Minimum time of day (ms from midnight)

Returns: List of QuoteTick.

option_snapshot_open_interest

Latest open interest snapshot for an option contract.

RustPythonTypeScriptC++

rust

let oi = tdx.option_snapshot_open_interest("SPY", "20241220", "500", "C").await?;

python

oi = tdx.option_snapshot_open_interest("SPY", "20241220", "500", "C")

typescript

const oi = tdx.optionSnapshotOpenInterest('SPY', '20241220', '500', 'C');

cpp

auto oi = client.option_snapshot_open_interest("SPY", "20241220", "500", "C");

Parameter	Type	Required	Description
`symbol`	string	Yes	Underlying symbol
`expiration`	string	Yes	Expiration date
`strike`	string	Yes	Strike price in dollars as a string
`right`	string	Yes	`"C"` or `"P"`
`max_dte`	int	No	Maximum days to expiration
`strike_range`	int	No	Strike range filter
`min_time`	string	No	Minimum time of day (ms from midnight)

Returns: Array of OpenInterestTick records with ms_of_day, open_interest, date.

option_snapshot_market_value

Latest market value snapshot for an option contract.

RustPythonTypeScriptC++

rust

let mv = tdx.option_snapshot_market_value("SPY", "20241220", "500", "C").await?;

python

mv = tdx.option_snapshot_market_value("SPY", "20241220", "500", "C")

typescript

const mv = tdx.optionSnapshotMarketValue('SPY', '20241220', '500', 'C');

cpp

auto mv = client.option_snapshot_market_value("SPY", "20241220", "500", "C");

Parameter	Type	Required	Description
`symbol`	string	Yes	Underlying symbol
`expiration`	string	Yes	Expiration date
`strike`	string	Yes	Strike price in dollars as a string
`right`	string	Yes	`"C"` or `"P"`
`max_dte`	int	No	Maximum days to expiration
`strike_range`	int	No	Strike range filter
`min_time`	string	No	Minimum time of day (ms from midnight)

Returns: Array of MarketValueTick records with market cap, shares outstanding, enterprise value, book value, free float.

option_snapshot_greeks_implied_volatility

Implied volatility snapshot for an option contract.

RustPythonTypeScriptC++

rust

let iv = tdx.option_snapshot_greeks_implied_volatility("SPY", "20241220", "500", "C").await?;

python

iv = tdx.option_snapshot_greeks_implied_volatility("SPY", "20241220", "500", "C")

typescript

const iv = tdx.optionSnapshotGreeksImpliedVolatility('SPY', '20241220', '500', 'C');

cpp

auto iv = client.option_snapshot_greeks_implied_volatility("SPY", "20241220", "500", "C");

Parameter	Type	Required	Description
`symbol`	string	Yes	Underlying symbol
`expiration`	string	Yes	Expiration date
`strike`	string	Yes	Strike price in dollars as a string
`right`	string	Yes	`"C"` or `"P"`
`annual_dividend`	float	No	Override annual dividend
`rate_type`	string	No	Interest rate type (e.g. `"SOFR"`)
`rate_value`	float	No	Override interest rate value
`stock_price`	float	No	Override underlying price
`version`	string	No	Greeks calculation version
`max_dte`	int	No	Maximum days to expiration
`strike_range`	int	No	Strike range filter
`min_time`	string	No	Minimum time of day (ms from midnight)
`use_market_value`	bool	No	Use market value instead of last trade

Returns: Array of IvTick records with implied_volatility, iv_error.

Tier: Pro

option_snapshot_greeks_all

Snapshot of all Greeks for an option contract.

RustPythonTypeScriptC++

rust

let greeks = tdx.option_snapshot_greeks_all("SPY", "20241220", "500", "C").await?;

python

greeks = tdx.option_snapshot_greeks_all("SPY", "20241220", "500", "C")

typescript

const greeks = tdx.optionSnapshotGreeksAll('SPY', '20241220', '500', 'C');

cpp

auto greeks = client.option_snapshot_greeks_all("SPY", "20241220", "500", "C");

Parameter	Type	Required	Description
`symbol`	string	Yes	Underlying symbol
`expiration`	string	Yes	Expiration date
`strike`	string	Yes	Strike price in dollars as a string
`right`	string	Yes	`"C"` or `"P"`
`annual_dividend`	float	No	Override annual dividend
`rate_type`	string	No	Interest rate type
`rate_value`	float	No	Override interest rate value
`stock_price`	float	No	Override underlying price
`version`	string	No	Greeks calculation version
`max_dte`	int	No	Maximum days to expiration
`strike_range`	int	No	Strike range filter
`min_time`	string	No	Minimum time of day
`use_market_value`	bool	No	Use market value instead of last trade

Returns: Array of GreeksTick records with all 23 Greeks.

Tier: Pro

option_snapshot_greeks_first_order

First-order Greeks snapshot (delta, theta, vega, rho, epsilon, lambda).

RustPythonTypeScriptC++

rust

let g = tdx.option_snapshot_greeks_first_order("SPY", "20241220", "500", "C").await?;

python

g = tdx.option_snapshot_greeks_first_order("SPY", "20241220", "500", "C")

typescript

const g = tdx.optionSnapshotGreeksFirstOrder('SPY', '20241220', '500', 'C');

cpp

auto g = client.option_snapshot_greeks_first_order("SPY", "20241220", "500", "C");

Parameters are identical to option_snapshot_greeks_all.

Returns: Array of GreeksTick records with first-order Greeks (delta, theta, vega, rho).

Tier: Pro

option_snapshot_greeks_second_order

Second-order Greeks snapshot (gamma, vanna, charm, vomma, veta).

RustPythonTypeScriptC++

rust

let g = tdx.option_snapshot_greeks_second_order("SPY", "20241220", "500", "C").await?;

python

g = tdx.option_snapshot_greeks_second_order("SPY", "20241220", "500", "C")

typescript

const g = tdx.optionSnapshotGreeksSecondOrder('SPY', '20241220', '500', 'C');

cpp

auto g = client.option_snapshot_greeks_second_order("SPY", "20241220", "500", "C");

Parameters are identical to option_snapshot_greeks_all.

Returns: Array of GreeksTick records with second-order Greeks (gamma, vanna, charm, vomma).

Tier: Pro

option_snapshot_greeks_third_order

Third-order Greeks snapshot (speed, zomma, color, ultima).

RustPythonTypeScriptC++

rust

let g = tdx.option_snapshot_greeks_third_order("SPY", "20241220", "500", "C").await?;

python

g = tdx.option_snapshot_greeks_third_order("SPY", "20241220", "500", "C")

typescript

const g = tdx.optionSnapshotGreeksThirdOrder('SPY', '20241220', '500', 'C');

cpp

auto g = client.option_snapshot_greeks_third_order("SPY", "20241220", "500", "C");

Parameters are identical to option_snapshot_greeks_all.

Returns: Array of GreeksTick records with third-order Greeks (speed, zomma, color, ultima).

Tier: Pro

option_history_eod

End-of-day option data across a date range.

RustPythonTypeScriptC++

rust

let eod = tdx.option_history_eod(
    "SPY", "20241220", "500", "C", "20240101", "20240301"
).await?;

python

eod = tdx.option_history_eod("SPY", "20241220", "500", "C", "20240101", "20240301")

typescript

const eod = tdx.optionHistoryEOD('SPY', '20241220', '500', 'C', '20240101', '20240301');

cpp

auto eod = client.option_history_eod("SPY", "20241220", "500", "C", "20240101", "20240301");

Parameter	Type	Required	Description
`symbol`	string	Yes	Underlying symbol
`expiration`	string	Yes	Expiration date
`strike`	string	Yes	Strike price in dollars as a string
`right`	string	Yes	`"C"` or `"P"`
`start_date`	string	Yes	Start date (`YYYYMMDD`)
`end_date`	string	Yes	End date (`YYYYMMDD`)
`max_dte`	int	No	Maximum days to expiration
`strike_range`	int	No	Strike range filter

Returns: List of EodTick.

option_history_ohlc

Intraday OHLC bars for an option contract.

RustPythonTypeScriptC++

rust

let bars = tdx.option_history_ohlc(
    "SPY", "20241220", "500", "C", "20240315", "60000"
).await?;

python

bars = tdx.option_history_ohlc("SPY", "20241220", "500", "C", "20240315", "60000")

typescript

const bars = tdx.optionHistoryOHLC('SPY', '20241220', '500', 'C', '20240315', '60000');

cpp

auto bars = client.option_history_ohlc("SPY", "20241220", "500", "C", "20240315", "60000");

Parameter	Type	Required	Description
`symbol`	string	Yes	Underlying symbol
`expiration`	string	Yes	Expiration date
`strike`	string	Yes	Strike price in dollars as a string
`right`	string	Yes	`"C"` or `"P"`
`date`	string	Yes	Date (`YYYYMMDD`)
`interval`	string	Yes	Accepts milliseconds (`"60000"`) or shorthand (`"1m"`). Valid presets: `100ms`, `500ms`, `1s`, `5s`, `10s`, `15s`, `30s`, `1m`, `5m`, `10m`, `15m`, `30m`, `1h`.
`start_time`	string	No	Start time (ms from midnight)
`end_time`	string	No	End time (ms from midnight)
`strike_range`	int	No	Strike range filter

Returns: List of OhlcTick.

option_history_trade

All trades for an option contract on a given date.

RustPythonTypeScriptC++

rust

let trades = tdx.option_history_trade("SPY", "20241220", "500", "C", "20240315").await?;

python

trades = tdx.option_history_trade("SPY", "20241220", "500", "C", "20240315")

typescript

const trades = tdx.optionHistoryTrade('SPY', '20241220', '500', 'C', '20240315');

cpp

auto trades = client.option_history_trade("SPY", "20241220", "500", "C", "20240315");

Parameter	Type	Required	Description
`symbol`	string	Yes	Underlying symbol
`expiration`	string	Yes	Expiration date
`strike`	string	Yes	Strike price in dollars as a string
`right`	string	Yes	`"C"` or `"P"`
`date`	string	Yes	Date (`YYYYMMDD`)
`start_time`	string	No	Start time (ms from midnight)
`end_time`	string	No	End time (ms from midnight)
`max_dte`	int	No	Maximum days to expiration
`strike_range`	int	No	Strike range filter

Returns: List of TradeTick.

Tier: Standard+

option_history_quote

NBBO quotes for an option contract.

RustPythonTypeScriptC++

rust

let quotes = tdx.option_history_quote(
    "SPY", "20241220", "500", "C", "20240315", "60000"
).await?;

python

quotes = tdx.option_history_quote("SPY", "20241220", "500", "C", "20240315", "60000")

typescript

const quotes = tdx.optionHistoryQuote('SPY', '20241220', '500', 'C', '20240315', '60000');

cpp

auto quotes = client.option_history_quote("SPY", "20241220", "500", "C", "20240315", "60000");

Parameter	Type	Required	Description
`symbol`	string	Yes	Underlying symbol
`expiration`	string	Yes	Expiration date
`strike`	string	Yes	Strike price in dollars as a string
`right`	string	Yes	`"C"` or `"P"`
`date`	string	Yes	Date (`YYYYMMDD`)
`interval`	string	Yes	Accepts milliseconds (`"60000"`) or shorthand (`"1m"`). Valid presets: `100ms`, `500ms`, `1s`, `5s`, `10s`, `15s`, `30s`, `1m`, `5m`, `10m`, `15m`, `30m`, `1h`.
`max_dte`	int	No	Maximum days to expiration
`strike_range`	int	No	Strike range filter

Returns: List of QuoteTick.

Tier: Standard+

option_history_trade_quote

Combined trade + quote ticks for an option contract.

RustPythonTypeScriptC++

rust

let tq = tdx.option_history_trade_quote("SPY", "20241220", "500", "C", "20240315").await?;

python

tq = tdx.option_history_trade_quote("SPY", "20241220", "500", "C", "20240315")

typescript

const tq = tdx.optionHistoryTradeQuote('SPY', '20241220', '500', 'C', '20240315');

cpp

auto tq = client.option_history_trade_quote("SPY", "20241220", "500", "C", "20240315");

Parameter	Type	Required	Description
`symbol`	string	Yes	Underlying symbol
`expiration`	string	Yes	Expiration date
`strike`	string	Yes	Strike price in dollars as a string
`right`	string	Yes	`"C"` or `"P"`
`date`	string	Yes	Date (`YYYYMMDD`)
`start_time`	string	No	Start time (ms from midnight)
`end_time`	string	No	End time (ms from midnight)
`exclusive`	bool	No	Exclusive time bounds
`max_dte`	int	No	Maximum days to expiration
`strike_range`	int	No	Strike range filter

Returns: TradeQuoteTick data.

Tier: Pro

option_history_open_interest

Open interest history for an option contract.

RustPythonTypeScriptC++

rust

let oi = tdx.option_history_open_interest("SPY", "20241220", "500", "C", "20240315").await?;

python

oi = tdx.option_history_open_interest("SPY", "20241220", "500", "C", "20240315")

typescript

const oi = tdx.optionHistoryOpenInterest('SPY', '20241220', '500', 'C', '20240315');

cpp

auto oi = client.option_history_open_interest("SPY", "20241220", "500", "C", "20240315");

Parameter	Type	Required	Description
`symbol`	string	Yes	Underlying symbol
`expiration`	string	Yes	Expiration date
`strike`	string	Yes	Strike price in dollars as a string
`right`	string	Yes	`"C"` or `"P"`
`date`	string	Yes	Date (`YYYYMMDD`)
`max_dte`	int	No	Maximum days to expiration
`strike_range`	int	No	Strike range filter

Returns: Array of OpenInterestTick records with ms_of_day, open_interest, date.

option_history_greeks_eod

End-of-day Greeks history for an option contract.

RustPythonTypeScriptC++

rust

let g = tdx.option_history_greeks_eod(
    "SPY", "20241220", "500", "C", "20240101", "20240301"
).await?;

python

g = tdx.option_history_greeks_eod("SPY", "20241220", "500", "C", "20240101", "20240301")

typescript

const g = tdx.optionHistoryGreeksEod('SPY', '20241220', '500', 'C', '20240101', '20240301');

cpp

auto g = client.option_history_greeks_eod("SPY", "20241220", "500", "C", "20240101", "20240301");

Parameter	Type	Required	Description
`symbol`	string	Yes	Underlying symbol
`expiration`	string	Yes	Expiration date
`strike`	string	Yes	Strike price in dollars as a string
`right`	string	Yes	`"C"` or `"P"`
`start_date`	string	Yes	Start date (`YYYYMMDD`)
`end_date`	string	Yes	End date (`YYYYMMDD`)
`annual_dividend`	float	No	Override annual dividend
`rate_type`	string	No	Interest rate type
`rate_value`	float	No	Override interest rate value
`version`	string	No	Greeks calculation version
`underlyer_use_nbbo`	bool	No	Use NBBO for underlying price
`max_dte`	int	No	Maximum days to expiration
`strike_range`	int	No	Strike range filter

Returns: Array of GreeksTick records with EOD Greeks per date.

Tier: Pro

option_history_greeks_all

All Greeks history at a given interval (intraday).

RustPythonTypeScriptC++

rust

let g = tdx.option_history_greeks_all(
    "SPY", "20241220", "500", "C", "20240315", "60000"
).await?;

python

g = tdx.option_history_greeks_all("SPY", "20241220", "500", "C", "20240315", "60000")

typescript

const g = tdx.optionHistoryGreeksAll('SPY', '20241220', '500', 'C', '20240315', '60000');

cpp

auto g = client.option_history_greeks_all("SPY", "20241220", "500", "C", "20240315", "60000");

Parameter	Type	Required	Description
`symbol`	string	Yes	Underlying symbol
`expiration`	string	Yes	Expiration date
`strike`	string	Yes	Strike price in dollars as a string
`right`	string	Yes	`"C"` or `"P"`
`date`	string	Yes	Date (`YYYYMMDD`)
`interval`	string	Yes	Accepts milliseconds (`"60000"`) or shorthand (`"1m"`). Valid presets: `100ms`, `500ms`, `1s`, `5s`, `10s`, `15s`, `30s`, `1m`, `5m`, `10m`, `15m`, `30m`, `1h`.
`annual_dividend`	float	No	Override annual dividend
`rate_type`	string	No	Interest rate type
`rate_value`	float	No	Override interest rate value
`version`	string	No	Greeks calculation version
`strike_range`	int	No	Strike range filter

Returns: Array of GreeksTick records with all 23 Greeks at each sampled point.

Tier: Pro

option_history_trade_greeks_all

All Greeks computed on each individual trade.

RustPythonTypeScriptC++

rust

let g = tdx.option_history_trade_greeks_all("SPY", "20241220", "500", "C", "20240315").await?;

python

g = tdx.option_history_trade_greeks_all("SPY", "20241220", "500", "C", "20240315")

typescript

const g = tdx.optionHistoryTradeGreeksAll('SPY', '20241220', '500', 'C', '20240315');

cpp

auto g = client.option_history_trade_greeks_all("SPY", "20241220", "500", "C", "20240315");

Parameter	Type	Required	Description
`symbol`	string	Yes	Underlying symbol
`expiration`	string	Yes	Expiration date
`strike`	string	Yes	Strike price in dollars as a string
`right`	string	Yes	`"C"` or `"P"`
`date`	string	Yes	Date (`YYYYMMDD`)
`start_time`	string	No	Start time (ms from midnight)
`end_time`	string	No	End time (ms from midnight)
`annual_dividend`	float	No	Override annual dividend
`rate_type`	string	No	Interest rate type
`rate_value`	float	No	Override interest rate value
`version`	string	No	Greeks calculation version
`max_dte`	int	No	Maximum days to expiration
`strike_range`	int	No	Strike range filter

Returns: Array of GreeksTick records with all 23 Greeks per trade.

Tier: Pro

option_history_greeks_first_order

First-order Greeks history at a given interval.

RustPythonTypeScriptC++

rust

let g = tdx.option_history_greeks_first_order(
    "SPY", "20241220", "500", "C", "20240315", "60000"
).await?;

python

g = tdx.option_history_greeks_first_order("SPY", "20241220", "500", "C", "20240315", "60000")

typescript

const g = tdx.optionHistoryGreeksFirstOrder('SPY', '20241220', '500', 'C', '20240315', '60000');

cpp

auto g = client.option_history_greeks_first_order("SPY", "20241220", "500", "C", "20240315", "60000");

Parameters are identical to option_history_greeks_all.

Returns: Array of GreeksTick records with first-order Greeks at each sampled point.

Tier: Pro

option_history_trade_greeks_first_order

First-order Greeks computed on each individual trade.

RustPythonTypeScriptC++

rust

let g = tdx.option_history_trade_greeks_first_order(
    "SPY", "20241220", "500", "C", "20240315"
).await?;

python

g = tdx.option_history_trade_greeks_first_order("SPY", "20241220", "500", "C", "20240315")

typescript

const g = tdx.optionHistoryTradeGreeksFirstOrder('SPY', '20241220', '500', 'C', '20240315');

cpp

auto g = client.option_history_trade_greeks_first_order("SPY", "20241220", "500", "C", "20240315");

Parameters are identical to option_history_trade_greeks_all.

Returns: Array of GreeksTick records with first-order Greeks per trade.

Tier: Pro

option_history_greeks_second_order

Second-order Greeks history at a given interval.

RustPythonTypeScriptC++

rust

let g = tdx.option_history_greeks_second_order(
    "SPY", "20241220", "500", "C", "20240315", "60000"
).await?;

python

g = tdx.option_history_greeks_second_order("SPY", "20241220", "500", "C", "20240315", "60000")

typescript

const g = tdx.optionHistoryGreeksSecondOrder('SPY', '20241220', '500', 'C', '20240315', '60000');

cpp

auto g = client.option_history_greeks_second_order("SPY", "20241220", "500", "C", "20240315", "60000");

Parameters are identical to option_history_greeks_all.

Returns: Array of GreeksTick records with second-order Greeks at each sampled point.

Tier: Pro

option_history_trade_greeks_second_order

Second-order Greeks computed on each individual trade.

RustPythonTypeScriptC++

rust

let g = tdx.option_history_trade_greeks_second_order(
    "SPY", "20241220", "500", "C", "20240315"
).await?;

python

g = tdx.option_history_trade_greeks_second_order("SPY", "20241220", "500", "C", "20240315")

typescript

const g = tdx.optionHistoryTradeGreeksSecondOrder('SPY', '20241220', '500', 'C', '20240315');

cpp

auto g = client.option_history_trade_greeks_second_order("SPY", "20241220", "500", "C", "20240315");

Parameters are identical to option_history_trade_greeks_all.

Returns: Array of GreeksTick records with second-order Greeks per trade.

Tier: Pro

option_history_greeks_third_order

Third-order Greeks history at a given interval.

RustPythonTypeScriptC++

rust

let g = tdx.option_history_greeks_third_order(
    "SPY", "20241220", "500", "C", "20240315", "60000"
).await?;

python

g = tdx.option_history_greeks_third_order("SPY", "20241220", "500", "C", "20240315", "60000")

typescript

const g = tdx.optionHistoryGreeksThirdOrder('SPY', '20241220', '500', 'C', '20240315', '60000');

cpp

auto g = client.option_history_greeks_third_order("SPY", "20241220", "500", "C", "20240315", "60000");

Parameters are identical to option_history_greeks_all.

Returns: Array of GreeksTick records with third-order Greeks at each sampled point.

Tier: Pro

option_history_trade_greeks_third_order

Third-order Greeks computed on each individual trade.

RustPythonTypeScriptC++

rust

let g = tdx.option_history_trade_greeks_third_order(
    "SPY", "20241220", "500", "C", "20240315"
).await?;

python

g = tdx.option_history_trade_greeks_third_order("SPY", "20241220", "500", "C", "20240315")

typescript

const g = tdx.optionHistoryTradeGreeksThirdOrder('SPY', '20241220', '500', 'C', '20240315');

cpp

auto g = client.option_history_trade_greeks_third_order("SPY", "20241220", "500", "C", "20240315");

Parameters are identical to option_history_trade_greeks_all.

Returns: Array of GreeksTick records with third-order Greeks per trade.

Tier: Pro

option_history_greeks_implied_volatility

Implied volatility history at a given interval.

RustPythonTypeScriptC++

rust

let iv = tdx.option_history_greeks_implied_volatility(
    "SPY", "20241220", "500", "C", "20240315", "60000"
).await?;

python

iv = tdx.option_history_greeks_implied_volatility("SPY", "20241220", "500", "C", "20240315", "60000")

typescript

const iv = tdx.optionHistoryGreeksImpliedVolatility('SPY', '20241220', '500', 'C', '20240315', '60000');

cpp

auto iv = client.option_history_greeks_implied_volatility("SPY", "20241220", "500", "C", "20240315", "60000");

Parameters are identical to option_history_greeks_all.

Returns: Array of IvTick records with implied volatility at each sampled point.

Tier: Pro

option_history_trade_greeks_implied_volatility

Implied volatility computed on each individual trade.

RustPythonTypeScriptC++

rust

let iv = tdx.option_history_trade_greeks_implied_volatility(
    "SPY", "20241220", "500", "C", "20240315"
).await?;

python

iv = tdx.option_history_trade_greeks_implied_volatility("SPY", "20241220", "500", "C", "20240315")

typescript

const iv = tdx.optionHistoryTradeGreeksImpliedVolatility('SPY', '20241220', '500', 'C', '20240315');

cpp

auto iv = client.option_history_trade_greeks_implied_volatility("SPY", "20241220", "500", "C", "20240315");

Parameters are identical to option_history_trade_greeks_all.

Returns: Array of IvTick records with IV per trade.

Tier: Pro

option_at_time_trade

Trade at a specific time of day across a date range for an option contract.

RustPythonTypeScriptC++

rust

let trades = tdx.option_at_time_trade(
    "SPY", "20241220", "500", "C", "20240101", "20240301", "09:30:00.000"
).await?;

python

trades = tdx.option_at_time_trade("SPY", "20241220", "500", "C", "20240101", "20240301", "09:30:00.000")

typescript

const trades = tdx.optionAtTimeTrade('SPY', '20241220', '500', 'C', '20240101', '20240301', '09:30:00.000');

cpp

auto trades = client.option_at_time_trade("SPY", "20241220", "500", "C", "20240101", "20240301", "09:30:00.000");

Parameter	Type	Required	Description
`symbol`	string	Yes	Underlying symbol
`expiration`	string	Yes	Expiration date
`strike`	string	Yes	Strike price in dollars as a string
`right`	string	Yes	`"C"` or `"P"`
`start_date`	string	Yes	Start date (`YYYYMMDD`)
`end_date`	string	Yes	End date (`YYYYMMDD`)
`time_of_day`	string	Yes	ET wall-clock time in `HH:MM:SS.SSS`
`max_dte`	int	No	Maximum days to expiration
`strike_range`	int	No	Strike range filter

Returns: List of TradeTick, one per date.

option_at_time_quote

Quote at a specific time of day across a date range for an option contract.

RustPythonTypeScriptC++

rust

let quotes = tdx.option_at_time_quote(
    "SPY", "20241220", "500", "C", "20240101", "20240301", "09:30:00.000"
).await?;

python

quotes = tdx.option_at_time_quote("SPY", "20241220", "500", "C", "20240101", "20240301", "09:30:00.000")

typescript

const quotes = tdx.optionAtTimeQuote('SPY', '20241220', '500', 'C', '20240101', '20240301', '09:30:00.000');

cpp

auto quotes = client.option_at_time_quote("SPY", "20241220", "500", "C", "20240101", "20240301", "09:30:00.000");

Parameter	Type	Required	Description
`symbol`	string	Yes	Underlying symbol
`expiration`	string	Yes	Expiration date
`strike`	string	Yes	Strike price in dollars as a string
`right`	string	Yes	`"C"` or `"P"`
`start_date`	string	Yes	Start date (`YYYYMMDD`)
`end_date`	string	Yes	End date (`YYYYMMDD`)
`time_of_day`	string	Yes	ET wall-clock time in `HH:MM:SS.SSS`
`max_dte`	int	No	Maximum days to expiration
`strike_range`	int	No	Strike range filter

Returns: List of QuoteTick, one per date.

Index Endpoints

index_list_symbols

List all available index symbols.

RustPythonTypeScriptC++

rust

let symbols = tdx.index_list_symbols().await?;

python

symbols = tdx.index_list_symbols()

typescript

const symbols = tdx.indexListSymbols();

cpp

auto symbols = client.index_list_symbols();

Parameters: None

Returns: List of index symbol strings (e.g. "SPX", "VIX", "DJI").

index_list_dates

List available dates for an index symbol.

RustPythonTypeScriptC++

rust

let dates = tdx.index_list_dates("SPX").await?;

python

dates = tdx.index_list_dates("SPX")

typescript

const dates = tdx.indexListDates('SPX');

cpp

auto dates = client.index_list_dates("SPX");

Parameter	Type	Required	Description
`symbol`	string	Yes	Index symbol

Returns: List of date strings (YYYYMMDD).

index_snapshot_ohlc

Latest OHLC snapshot for one or more indices.

RustPythonTypeScriptC++

rust

let bars = tdx.index_snapshot_ohlc(&["SPX", "VIX"]).await?;

python

bars = tdx.index_snapshot_ohlc(["SPX", "VIX"])

typescript

const bars = tdx.indexSnapshotOhlc(['SPX', 'VIX']);

cpp

auto bars = client.index_snapshot_ohlc({"SPX", "VIX"});

Parameter	Type	Required	Description
`symbols`	string[]	Yes	One or more index symbols
`min_time`	string	No	Minimum time of day (ms from midnight)

Returns: List of OhlcTick.

index_snapshot_price

Latest price snapshot for one or more indices.

RustPythonTypeScriptC++

rust

let prices = tdx.index_snapshot_price(&["SPX"]).await?;

python

prices = tdx.index_snapshot_price(["SPX"])

typescript

const prices = tdx.indexSnapshotPrice(['SPX']);

cpp

auto prices = client.index_snapshot_price({"SPX"});

Parameter	Type	Required	Description
`symbols`	string[]	Yes	One or more index symbols
`min_time`	string	No	Minimum time of day (ms from midnight)

Returns: Array of PriceTick records with ms_of_day, price, date.

index_snapshot_market_value

Latest market value snapshot for one or more indices.

RustPythonTypeScriptC++

rust

let mv = tdx.index_snapshot_market_value(&["SPX"]).await?;

python

mv = tdx.index_snapshot_market_value(["SPX"])

typescript

const mv = tdx.indexSnapshotMarketValue(['SPX']);

cpp

auto mv = client.index_snapshot_market_value({"SPX"});

Parameter	Type	Required	Description
`symbols`	string[]	Yes	One or more index symbols
`min_time`	string	No	Minimum time of day (ms from midnight)

Returns: Array of MarketValueTick records with market cap, shares outstanding, enterprise value, book value, free float.

index_history_eod

End-of-day index data across a date range.

RustPythonTypeScriptC++

rust

let eod = tdx.index_history_eod("SPX", "20240101", "20240301").await?;

python

eod = tdx.index_history_eod("SPX", "20240101", "20240301")

typescript

const eod = tdx.indexHistoryEOD('SPX', '20240101', '20240301');

cpp

auto eod = client.index_history_eod("SPX", "20240101", "20240301");

Parameter	Type	Required	Description
`symbol`	string	Yes	Index symbol
`start_date`	string	Yes	Start date (`YYYYMMDD`)
`end_date`	string	Yes	End date (`YYYYMMDD`)

Returns: List of EodTick.

index_history_ohlc

Intraday OHLC bars for an index across a date range.

RustPythonTypeScriptC++

rust

let bars = tdx.index_history_ohlc("SPX", "20240101", "20240301", "60000").await?;

python

bars = tdx.index_history_ohlc("SPX", "20240101", "20240301", "60000")

typescript

const bars = tdx.indexHistoryOHLC('SPX', '20240101', '20240301', '60000');

cpp

auto bars = client.index_history_ohlc("SPX", "20240101", "20240301", "60000");

Parameter	Type	Required	Description
`symbol`	string	Yes	Index symbol
`start_date`	string	Yes	Start date (`YYYYMMDD`)
`end_date`	string	Yes	End date (`YYYYMMDD`)
`interval`	string	Yes	Accepts milliseconds (`"60000"`) or shorthand (`"1m"`). Valid presets: `100ms`, `500ms`, `1s`, `5s`, `10s`, `15s`, `30s`, `1m`, `5m`, `10m`, `15m`, `30m`, `1h`.
`start_time`	string	No	Start time (ms from midnight)
`end_time`	string	No	End time (ms from midnight)

Returns: List of OhlcTick.

index_history_price

Intraday price history for an index.

RustPythonTypeScriptC++

rust

let prices = tdx.index_history_price("SPX", "20240315", "60000").await?;

python

prices = tdx.index_history_price("SPX", "20240315", "60000")

typescript

const prices = tdx.indexHistoryPrice('SPX', '20240315', '60000');

cpp

auto prices = client.index_history_price("SPX", "20240315", "60000");

Parameter	Type	Required	Description
`symbol`	string	Yes	Index symbol
`date`	string	Yes	Date (`YYYYMMDD`)
`interval`	string	Yes	Accepts milliseconds (`"60000"`) or shorthand (`"1m"`). Valid presets: `100ms`, `500ms`, `1s`, `5s`, `10s`, `15s`, `30s`, `1m`, `5m`, `10m`, `15m`, `30m`, `1h`.
`start_time`	string	No	Start time (ms from midnight)
`end_time`	string	No	End time (ms from midnight)

Returns: Array of PriceTick records with price at each sampled point.

index_at_time_price

Index price at a specific time of day across a date range.

RustPythonTypeScriptC++

rust

let prices = tdx.index_at_time_price("SPX", "20240101", "20240301", "09:30:00.000").await?;

python

prices = tdx.index_at_time_price("SPX", "20240101", "20240301", "09:30:00.000")

typescript

const prices = tdx.indexAtTimePrice('SPX', '20240101', '20240301', '09:30:00.000');

cpp

auto prices = client.index_at_time_price("SPX", "20240101", "20240301", "09:30:00.000");

Parameter	Type	Required	Description
`symbol`	string	Yes	Index symbol
`start_date`	string	Yes	Start date (`YYYYMMDD`)
`end_date`	string	Yes	End date (`YYYYMMDD`)
`time_of_day`	string	Yes	ET wall-clock time in `HH:MM:SS.SSS`

Returns: Array of PriceTick records with one price per date.

Calendar Endpoints

calendar_open_today

Check whether the market is open today.

RustPythonTypeScriptC++

rust

let info = tdx.calendar_open_today().await?;

python

info = tdx.calendar_open_today()

typescript

const info = tdx.calendarOpenToday();

cpp

auto info = client.calendar_open_today();

Parameters: None

Returns: Array of CalendarDay records with is_open, open_time, close_time.

calendar_on_date

Calendar information for a specific date.

RustPythonTypeScriptC++

rust

let info = tdx.calendar_on_date("20240315").await?;

python

info = tdx.calendar_on_date("20240315")

typescript

const info = tdx.calendarOnDate('20240315');

cpp

auto info = client.calendar_on_date("20240315");

Parameter	Type	Required	Description
`date`	string	Yes	Date (`YYYYMMDD`)

Returns: Array of CalendarDay records with calendar info for the date.

calendar_year

Calendar information for an entire year.

RustPythonTypeScriptC++

rust

let cal = tdx.calendar_year("2024").await?;

python

cal = tdx.calendar_year("2024")

typescript

const cal = tdx.calendarYear('2024');

cpp

auto cal = client.calendar_year("2024");

Parameter	Type	Required	Description
`year`	string	Yes	4-digit year (e.g. `"2024"`)

Returns: Array of CalendarDay records with calendar info for every trading day.

Interest Rate Endpoints

interest_rate_history_eod

End-of-day interest rate history.

RustPythonTypeScriptC++

rust

let rates = tdx.interest_rate_history_eod("SOFR", "20240101", "20240301").await?;

python

rates = tdx.interest_rate_history_eod("SOFR", "20240101", "20240301")

typescript

const rates = tdx.interestRateHistoryEOD('SOFR', '20240101', '20240301');

cpp

auto rates = client.interest_rate_history_eod("SOFR", "20240101", "20240301");

Parameter	Type	Required	Description
`symbol`	string	Yes	Rate symbol (e.g. `"SOFR"`)
`start_date`	string	Yes	Start date (`YYYYMMDD`)
`end_date`	string	Yes	End date (`YYYYMMDD`)

Returns: Array of InterestRateTick records with rate per date.

Greeks Calculator

Full Black-Scholes calculator with 20 individual Greek functions, an IV solver, and a combined all_greeks function. Computed locally - no server round-trip.

all_greeks

Compute all 23 Greeks at once. Solves for IV first, then computes all Greeks using the solved volatility. This is much more efficient than calling individual functions because it avoids redundant d1/d2/exp()/norm_cdf() recomputation.

RustPythonTypeScriptC++

rust

use thetadatadx::all_greeks;

let g = all_greeks(
    450.0,          // spot
    455.0,          // strike
    0.05,           // risk-free rate
    0.015,          // dividend yield
    30.0 / 365.0,   // time to expiration (years)
    8.50,           // market price of option
    "C",            // right ("C"/"P" or "call"/"put", case-insensitive)
);
println!("IV: {:.4}, Delta: {:.4}", g.iv, g.delta);

python

from thetadatadx import all_greeks

g = all_greeks(450.0, 455.0, 0.05, 0.015, 30.0 / 365.0, 8.50, "C")
print(f"IV: {g['iv']:.4f}, Delta: {g['delta']:.4f}")

typescript

g = all_greeks(450.0, 455.0, 0.05, 0.015, 30.0 / 365.0, 8.50, 'C')

cpp

auto g = tdx::all_greeks(450.0, 455.0, 0.05, 0.015, 30.0 / 365.0, 8.50, "C");
std::cout << "IV: " << g.iv << ", Delta: " << g.delta << std::endl;

Parameter	Type	Required	Description
`spot`	float	Yes	Underlying (spot) price
`strike`	float	Yes	Strike price
`rate`	float	Yes	Risk-free interest rate (annualized)
`div_yield`	float	Yes	Continuous dividend yield (annualized)
`tte`	float	Yes	Time to expiration in years
`option_price`	float	Yes	Market price of the option
`right`	string	Yes	Option side: `"C"`/`"P"` or `"call"`/`"put"` (case-insensitive)

Returns: GreeksResult containing all 23 fields.

implied_volatility

Solve for implied volatility using bisection (up to 128 iterations).

RustPythonTypeScriptC++

rust

use thetadatadx::implied_volatility;

let (iv, err) = implied_volatility(450.0, 455.0, 0.05, 0.015, 30.0/365.0, 8.50, "C");

python

from thetadatadx import implied_volatility

iv, err = implied_volatility(450.0, 455.0, 0.05, 0.015, 30.0/365.0, 8.50, "C")

typescript

iv, err = implied_volatility(450.0, 455.0, 0.05, 0.015, 30.0/365.0, 8.50, 'C')

cpp

auto [iv, err] = tdx::implied_volatility(450.0, 455.0, 0.05, 0.015, 30.0/365.0, 8.50, "C");

Parameter	Type	Required	Description
`spot`	float	Yes	Underlying price
`strike`	float	Yes	Strike price
`rate`	float	Yes	Risk-free interest rate
`div_yield`	float	Yes	Dividend yield
`tte`	float	Yes	Time to expiration in years
`option_price`	float	Yes	Market price of the option
`right`	string	Yes	Option side: `"C"`/`"P"` or `"call"`/`"put"` (case-insensitive)

Returns: Tuple of (iv, error) where error is the relative difference (theoretical - market) / market.

Individual Greek Functions

All individual functions share these parameters. Not all functions take is_call - symmetric Greeks omit it.

Parameter	Type	Description
`s`	float	Spot price
`x`	float	Strike price
`v`	float	Volatility (sigma)
`r`	float	Risk-free rate
`q`	float	Dividend yield
`t`	float	Time to expiration (years)
`is_call`	bool	Call (true) or put (false) - only for directional Greeks

First-Order Greeks

Function	Signature	Description
`value`	`(s, x, v, r, q, t, is_call) -> f64`	Black-Scholes theoretical option value
`delta`	`(s, x, v, r, q, t, is_call) -> f64`	Rate of change of value w.r.t. spot price
`theta`	`(s, x, v, r, q, t, is_call) -> f64`	Time decay (daily, divided by 365)
`vega`	`(s, x, v, r, q, t) -> f64`	Sensitivity to volatility
`rho`	`(s, x, v, r, q, t, is_call) -> f64`	Sensitivity to interest rate
`epsilon`	`(s, x, v, r, q, t, is_call) -> f64`	Sensitivity to dividend yield
`lambda`	`(s, x, v, r, q, t, is_call) -> f64`	Leverage ratio (elasticity)

Second-Order Greeks

Function	Signature	Description
`gamma`	`(s, x, v, r, q, t) -> f64`	Rate of change of delta w.r.t. spot
`vanna`	`(s, x, v, r, q, t) -> f64`	Cross-sensitivity of delta to volatility
`charm`	`(s, x, v, r, q, t, is_call) -> f64`	Rate of change of delta w.r.t. time (delta decay)
`vomma`	`(s, x, v, r, q, t) -> f64`	Rate of change of vega w.r.t. volatility
`veta`	`(s, x, v, r, q, t) -> f64`	Rate of change of vega w.r.t. time

Third-Order Greeks

Function	Signature	Description
`speed`	`(s, x, v, r, q, t) -> f64`	Rate of change of gamma w.r.t. spot
`zomma`	`(s, x, v, r, q, t) -> f64`	Rate of change of gamma w.r.t. volatility
`color`	`(s, x, v, r, q, t) -> f64`	Rate of change of gamma w.r.t. time
`ultima`	`(s, x, v, r, q, t) -> f64`	Rate of change of vomma w.r.t. volatility (clamped to [-100, 100])

Auxiliary

Function	Signature	Description
`dual_delta`	`(s, x, v, r, q, t, is_call) -> f64`	Sensitivity of value w.r.t. strike
`dual_gamma`	`(s, x, v, r, q, t) -> f64`	Second derivative w.r.t. strike
`d1`	`(s, x, v, r, q, t) -> f64`	Black-Scholes d1 term
`d2`	`(s, x, v, r, q, t) -> f64`	Black-Scholes d2 term

Streaming (FPSS)

Real-time market data streaming via FPSS (Fast Protocol Streaming Service) over TLS/TCP. The streaming connection is established lazily and managed through the main client in Rust and Python; C++ uses a dedicated FpssClient.

Starting the Stream

RustPythonTypeScriptC++

rust

client.start_streaming(|event: &FpssEvent| {
    match event {
        FpssEvent::Data(data) => println!("{:?}", data),
        FpssEvent::Control(ctrl) => println!("{:?}", ctrl),
        _ => {}
    }
})?;

python

client.start_streaming(lambda event: print(event))

typescript

client.startStreaming((event) => console.log(event));

cpp

client.start_streaming([](const tdx::FpssEvent& event) { /* ... */ });

Subscribing

Every subscription is built from a typed Contract (or SecType for full-stream variants) by calling a topic helper — quote(), trade(), open_interest(), full_trades(), full_open_interest() — and handing the resulting subscription spec to the polymorphic subscribe() method on the unified client. The same shape works across every binding.

RustPythonTypeScriptC++

rust

let req_id = client.subscribe(Contract::stock("AAPL").quote())?;
let req_id = client.subscribe(Contract::stock("AAPL").trade())?;
let req_id = client.subscribe(Contract::stock("AAPL").open_interest())?;
let req_id = client.subscribe(SecType::Stock.full_trades())?;

python

client.subscribe(Contract.stock("AAPL").quote())
client.subscribe(Contract.stock("AAPL").trade())

typescript

client.subscribe(Contract.stock('AAPL').quote());
client.subscribe(Contract.stock('AAPL').trade());

cpp

int req_id = client.subscribe(tdx::Contract::stock("AAPL").quote());
int req_id = client.subscribe(tdx::Contract::stock("AAPL").trade());
int req_id = client.subscribe(tdx::Contract::stock("AAPL").open_interest());
int req_id = client.subscribe(tdx::SecType::Stock.full_trades());

Topic helper	Description
`contract.quote()`	Real-time NBBO quote updates for the contract
`contract.trade()`	Real-time trade prints for the contract
`contract.open_interest()`	Open-interest updates for the contract
`sec_type.full_trades()`	Every trade for a security type (full firehose)
`sec_type.full_open_interest()`	Every open-interest update for a security type

All subscribe() calls return a request ID. The server confirms via a ReqResponse control event. To unsubscribe, pass the same spec to unsubscribe().

Unsubscribing

RustPythonTypeScriptC++

rust

client.unsubscribe(Contract::stock("AAPL").quote())?;
client.unsubscribe(Contract::stock("AAPL").trade())?;
client.unsubscribe(Contract::stock("AAPL").open_interest())?;

python

client.unsubscribe(Contract.stock("AAPL").quote())

typescript

client.unsubscribe(Contract.stock('AAPL').quote());

cpp

client.unsubscribe(tdx::Contract::stock("AAPL").quote());
client.unsubscribe(tdx::Contract::stock("AAPL").trade());
client.unsubscribe(tdx::Contract::stock("AAPL").open_interest());

Receiving Events

The unified client surfaces two equivalent delivery modes that share the same typed FpssEvent shape: a push-callback path (start_streaming(callback)) for low-latency dispatch into user code, and a pull-iter path (start_streaming_iter() in Rust/Python/C++, startStreamingIter() in TypeScript) for the iterator idiom. Pick one per session — the modes are mutually exclusive on the client.

RustPythonTypeScriptC++

rust

// Push: callback-driven dispatch.
client.start_streaming(|event| {
    if let FpssEvent::Data(FpssData::Trade { contract, price, size, .. }) = event {
        // The typed `Arc<Contract>` field carries `symbol`, `sec_type`,
        // `expiration`, etc. directly — no side-table lookup.
        println!("Trade: symbol={}, price={}, size={}", contract.symbol, price, size);
    }
})?;

// OR pull: typed iterator.
let iter = client.start_streaming_iter()?;
for event in iter {
    println!("{event:?}");
}

python

# Push:
client.start_streaming(lambda event: print(event))

# OR pull (context-managed):
with client.streaming_iter() as it:
    for event in it:
        print(event)

typescript

// Push:
client.startStreaming((event) => console.log(event));

// OR pull (async iterable):
const iter = client.startStreamingIter();
for await (const event of iter) {
    console.log(event);
}

cpp

// Push:
client.start_streaming([](const tdx::FpssEvent& event) { /* ... */ });

// OR pull:
auto iter = client.start_streaming_iter();
while (auto event = iter.next(std::chrono::milliseconds(5000))) {
    /* ... */
}

Shutting Down

RustPythonTypeScriptC++

rust

tdx.stop_streaming();

python

tdx.stop_streaming()

typescript

tdx.stopStreaming();

cpp

fpss.shutdown();

Streaming State

Method	Returns	SDK availability	Description
`is_streaming`	bool	Rust/Python only	Check if the unified streaming connection is live
`active_subscriptions`	list/typed structs	All SDKs	Get list of active subscriptions
`subscribe(spec)` / `unsubscribe(spec)`	void / result	All SDKs	Polymorphic subscribe / unsubscribe — `spec` is a typed `Subscription` built via `Contract::stock("AAPL").quote()` / `Contract::option(...).trade()` / `SecType::Stock.full_trades()` / etc.
`reconnect`	void / result	All SDKs	Reconnect streaming and re-subscribe the previous subscription set

FpssEvent Types

Events are delivered as one of three categories:

FpssData - Market data events (all variants include received_at_ns: u64 wall-clock timestamp):

Quote - NBBO quote update (bid, ask, sizes, exchanges, conditions)
Trade - Trade execution (price, size, exchange, conditions)
OpenInterest - Open interest update
Ohlcvc - Aggregated OHLCVC bar (derived from trades via internal accumulator; volume/count are i64 to avoid overflow on high-volume symbols)

FpssControl - Lifecycle events:

LoginSuccess - Authentication successful (includes permissions string)
ContractAssigned - Server assigned an ID to a contract
ReqResponse - Server confirmed a subscription request
MarketOpen / MarketClose - Market state transitions
ServerError / Error - Error conditions
Disconnected - Connection lost (includes reason code)

UnknownFrame - Unrecognised wire-frame fallback. Surfaced as the FpssControl::UnknownFrame { code, payload } typed control variant; carries the raw frame code and undecoded payload bytes.

On the C++ binding the pull-iter client.start_streaming_iter().next(timeout) returns std::optional<TdxFpssEvent>; the historical tdx::FpssEventPtr (std::unique_ptr<TdxFpssEvent, FpssEventDeleter>) alias remains for legacy code paths but is not the recommended entry point in v9.1.0.

Reconnection

The reconnect_delay function returns the appropriate wait time based on the disconnect reason:

Returns None (no reconnect) for permanent errors: invalid credentials, account already connected, free account
Returns 130,000 ms for rate limiting (TooManyRequests)
Returns 2,000 ms for all other transient errors

Streaming Endpoint Variants

Streaming variants (*_stream) use per-chunk callbacks and are available in the Rust SDK only. Other languages use the non-streaming equivalents which return complete result sets.

stock_history_trade_stream

rust

tdx.stock_history_trade_stream("AAPL", "20240315")
    .stream(|trades: &[TradeTick]| {
        for t in trades {
            println!("{}: {}", t.date, t.price);
        }
    }).await?;

stock_history_quote_stream

rust

tdx.stock_history_quote_stream("AAPL", "20240315", "0")
    .stream(|quotes: &[QuoteTick]| {
    println!("Chunk: {} quotes", quotes.len());
}).await?;

option_history_trade_stream

rust

tdx.option_history_trade_stream("SPY", "20241220", "500", "C", "20240315")
    .stream(|trades: &[TradeTick]| {
        println!("Chunk: {} trades", trades.len());
    }).await?;

option_history_quote_stream

rust

tdx.option_history_quote_stream("SPY", "20241220", "500", "C", "20240315", "0")
    .stream(|quotes: &[QuoteTick]| {
        println!("Chunk: {} quotes", quotes.len());
    }).await?;

Types and Enums

Contract Identification Fields

10 tick types carry contract identification fields populated by the server on wildcard queries (pass 0 for expiration/strike). On single-contract queries these fields are 0/empty.

Field	Type (Rust/FFI)	Description
`expiration`	i32	Contract expiration (YYYYMMDD). 0 if absent.
`strike`	f64	Strike price (decoded to f64).
`right`	i32	Contract right. 67=Call (`'C'`), 80=Put (`'P'`).

Helper methods (all 10 types): is_call(), is_put(), has_contract_id().

Types with contract ID: TradeTick, QuoteTick, OhlcTick, EodTick, OpenInterestTick, TradeQuoteTick, MarketValueTick, GreeksTick, IvTick.

TradeTick

A single trade execution.

Field	Type	Description
`ms_of_day`	i32	Milliseconds since midnight ET
`sequence`	i32	Sequence number
`ext_condition1` through `ext_condition4`	i32	Extended trade condition codes
`condition`	i32	Trade condition code
`size`	i32	Trade size (shares/contracts)
`exchange`	i32	Exchange code
`price`	f64	Trade price (decoded)
`condition_flags`	i32	Condition flags bitmap
`price_flags`	i32	Price flags bitmap
`volume_type`	i32	0 = incremental, 1 = cumulative
`records_back`	i32	Records back count
`date`	i32	Date as YYYYMMDD integer
`expiration`	i32	Contract expiration (wildcard queries)
`strike`	f64	Contract strike (wildcard queries)
`right`	i32	Contract right. C=67/P=80.

Helper methods: is_cancelled(), trade_condition_no_last(), price_condition_set_last(), regular_trading_hours(), is_seller(), is_incremental_volume(), is_call(), is_put(), has_contract_id()

QuoteTick

An NBBO quote.

Field	Type	Description
`ms_of_day`	i32	Milliseconds since midnight ET
`bid_size` / `ask_size`	i32	Quote sizes
`bid_exchange` / `ask_exchange`	i32	Exchange codes
`bid` / `ask`	f64	Bid and ask prices (decoded)
`bid_condition` / `ask_condition`	i32	Condition codes
`midpoint`	f64	Pre-computed `(bid + ask) / 2.0`
`date`	i32	Date as YYYYMMDD integer
`expiration` / `strike` / `right`	i32/f64/i32	Contract ID (wildcard queries)

Helper methods: is_call(), is_put(), has_contract_id(), plus contract ID helpers

OhlcTick

An aggregated OHLC bar.

Field	Type	Description
`ms_of_day`	i32	Bar start time (ms from midnight ET)
`open` / `high` / `low` / `close`	f64	OHLC prices (decoded)
`volume`	i64	Total volume in bar
`count`	i64	Number of trades in bar
`date`	i32	Date as YYYYMMDD integer
`expiration` / `strike` / `right`	i32/f64/i32	Contract ID (wildcard queries)

Helper methods: is_call(), is_put(), has_contract_id(), plus contract ID helpers

EodTick

Full end-of-day snapshot with OHLC + closing quote data.

Field	Type	Description
`ms_of_day` / `ms_of_day2`	i32	Timestamps
`open` / `high` / `low` / `close`	f64	OHLC prices (decoded)
`volume`	i64	Total daily volume
`count`	i64	Total trade count
`bid_size` / `ask_size`	i32	Closing quote sizes
`bid_exchange` / `ask_exchange`	i32	Closing quote exchanges
`bid` / `ask`	f64	Closing bid/ask (decoded)
`bid_condition` / `ask_condition`	i32	Closing quote conditions
`date`	i32	Date as YYYYMMDD
`expiration` / `strike` / `right`	i32/f64/i32	Contract ID (wildcard queries)

Helper methods: is_call(), is_put(), has_contract_id(), plus contract ID helpers

TradeQuoteTick

Combined trade + quote tick. Contains the full trade data plus the prevailing NBBO quote at the time of the trade.

Helper methods: is_call(), is_put(), has_contract_id(), plus contract ID helpers

OpenInterestTick

Field	Type	Description
`ms_of_day`	i32	Milliseconds since midnight ET
`open_interest`	i32	Open interest count
`date`	i32	Date as YYYYMMDD
`expiration` / `strike` / `right`	i32/f64/i32	Contract ID (wildcard queries)

GreeksResult

Result of all_greeks(). All fields are f64.

Field	Order	Description
`value`	-	Black-Scholes theoretical value
`iv`	-	Implied volatility
`iv_error`	-	IV solver error (relative)
`delta`	1st	dV/dS
`theta`	1st	dV/dt (daily)
`vega`	1st	dV/dv
`rho`	1st	dV/dr
`epsilon`	1st	dV/dq (dividend sensitivity)
`lambda`	1st	Elasticity (leverage ratio)
`gamma`	2nd	d2V/dS2
`vanna`	2nd	d2V/dSdv
`charm`	2nd	d2V/dSdt (delta decay)
`vomma`	2nd	d2V/dv2
`veta`	2nd	d2V/dvdt
`speed`	3rd	d3V/dS3
`zomma`	3rd	d3V/dS2dv
`color`	3rd	d3V/dS2dt
`ultima`	3rd	d3V/dv3
`d1`	Internal	Black-Scholes d1
`d2`	Internal	Black-Scholes d2
`dual_delta`	Aux	dV/dX
`dual_gamma`	Aux	d2V/dX2

Price

All public tick fields are f64, decoded at parse time. No price_type conversion is needed in user code.

SecType

Variant	Code	String
`Stock`	0	`"STOCK"`
`Option`	1	`"OPTION"`
`Index`	2	`"INDEX"`
`Rate`	3	`"RATE"`

Right

Option right: Call, Put

from_char('C') / from_char('P') - parse from character
as_char() - convert to 'C' or 'P'

StreamResponseType

Subscription response codes returned in ReqResponse control events.

Variant	Code	Meaning
`Subscribed`	0	Subscription successful
`Error`	1	General error
`MaxStreamsReached`	2	Subscription limit reached for your tier
`InvalidPerms`	3	Insufficient permissions for this data

Venue

Data venue for exchange filtering.

Variant	Wire value
`Nqb`	`"NQB"`
`UtpCta`	`"UTP_CTA"`

RateType

Interest rate types for server-side Greeks calculations.

Variants: Sofr, TreasuryM1, TreasuryM3, TreasuryM6, TreasuryY1, TreasuryY2, TreasuryY3, TreasuryY5, TreasuryY7, TreasuryY10, TreasuryY20, TreasuryY30

Contract

Identifies a security for streaming subscriptions.

RustPythonTypeScriptC++

rust

Contract::stock("AAPL")
Contract::index("SPX")
Contract::rate("SOFR")
Contract::option("SPY", "20261218", "60", "C")? // Result<Contract, Error>

python

# Build a typed Contract and call a topic helper to drive subscribe().
client.subscribe(Contract.stock("AAPL").quote())

typescript

// Build a typed Contract and call a topic helper to drive subscribe().
client.subscribe(Contract.stock('AAPL').quote());

cpp

// Build a typed Contract and call a topic helper to drive subscribe().
client.subscribe(tdx::Contract::stock("AAPL").quote());

Field	Type	Description
`symbol`	string	Ticker symbol
`sec_type`	SecType	Security type
`expiration`	int (optional)	Expiration date as YYYYMMDD (options only)
`is_call`	bool (optional)	true = call, false = put (options only)
`strike`	string (optional)	Strike price in dollars (options only)

Credentials

RustPythonTypeScriptC++

rust

Credentials::from_file("creds.txt")?;   // line 1 = email, line 2 = password
Credentials::new("user@example.com", "password");
Credentials::parse("user@example.com\npassword")?;

python

Credentials.from_file("creds.txt")
Credentials("user@example.com", "password")

typescript

Credentials.from_file('creds.txt')
Credentials('user@example.com', 'password')

cpp

auto creds = tdx::Credentials::from_file("creds.txt");
auto creds = tdx::Credentials::from_email("email@example.com", "password");

Error Types

RustPythonTypeScriptC++

rust

pub enum Error {
    Transport(tonic::transport::Error), // gRPC channel errors
    Status(Box<tonic::Status>),         // gRPC status codes (enriched with ThetaData error info)
    Decompress(String),                 // zstd decompression failure
    Decode(String),                     // protobuf decode failure
    NoData,                             // endpoint returned no usable data
    Auth(String),                       // Nexus auth errors (401/404)
    Fpss(String),                       // FPSS connection errors
    FpssProtocol(String),               // FPSS wire protocol errors
    FpssDisconnected(String),           // FPSS server rejected connection
    Config(String),                     // configuration errors
    Http(reqwest::Error),               // HTTP request errors
    Io(std::io::Error),                 // I/O errors
    Tls(rustls::Error),                 // TLS handshake errors
}

python

# All errors raise RuntimeError with descriptive message

typescript

# All errors raise RuntimeError with descriptive message

cpp

// All methods throw std::runtime_error on failure

Python-Specific Features

DataFrame Support (Arrow-Backed)

Every historical endpoint returns a typed list wrapper (EodTickList, OhlcTickList, TradeTickList, QuoteTickList, StringList, ...). DataFrame conversion happens via chained terminals on the wrapper — no free functions, no client methods. The shared Rust path walks the decoder-owned Vec<Tick> directly into an arrow::RecordBatch and hands it to pyarrow.Table via the Arrow C Data Interface (zero-copy at the pyo3 boundary); pandas / polars / raw Arrow are the three terminal consumers. At 100k x 20 ticks the wall-clock is ~8ms.

Unified recipe for every historical endpoint:

python

df = tdx.stock_history_eod("AAPL", "20240101", "20240301").to_pandas()
df = tdx.stock_history_ohlc("AAPL", "20240315", "60000").to_pandas()
df = tdx.stock_history_trade("AAPL", "20240315").to_pandas()
df = tdx.stock_history_quote("AAPL", "20240315", "60000").to_pandas()

Historical / list-returning endpoints wrap their result in a typed <TickName>List (e.g. EodTickList, QuoteTickList); chain .to_pandas() / .to_polars() / .to_arrow() / .to_list() on that wrapper. One path, one schema, one generator (tick_schema.toml). Requires pip install thetadatadx[pandas] / [polars] / [arrow] for the matching terminal.

Snapshot-kind endpoints (*_snapshot_*) and calendar endpoints take the fast path and return a plain list[TickClass] rather than a list wrapper, so the chainable DataFrame terminals are not available on those return values. Build a DataFrame from the raw list directly if needed (e.g. pandas.DataFrame([vars(t) for t in rows])).

`<TickName>List.to_pandas() -> pandas.DataFrame`

Generic pandas terminal. Pandas 2.x aliases the underlying Arrow buffers in place for all numeric columns, so large result sets materialize at near-zero-copy cost:

python

df = tdx.stock_history_eod("AAPL", "20240101", "20240301").to_pandas()

Requires pip install thetadatadx[pandas].

`<TickName>List.to_polars() -> polars.DataFrame`

Same Arrow batch, routed through polars.from_arrow:

python

df = tdx.stock_history_eod("AAPL", "20240101", "20240301").to_polars()

Requires pip install thetadatadx[polars].

`<TickName>List.to_arrow() -> pyarrow.Table`

The intermediate pyarrow.Table surfaced directly -- ideal for DuckDB / Arrow-Flight / cuDF / polars-arrow pipelines that want to consume Arrow without a pandas or polars roundtrip:

python

import duckdb

table = tdx.stock_history_eod("AAPL", "20240101", "20240301").to_arrow()
con = duckdb.connect()
con.register("eod", table)         # DuckDB reads the same buffers
con.sql("SELECT AVG(close) FROM eod").show()

Requires pip install thetadatadx[arrow] (pyarrow only; no pandas/polars dep).

`<TickName>List.to_list() -> list[TickClass]`

Return the wrapped rows as a plain Python list[TickClass] for callers that need a mutable container or a sequence API that insists on list rather than the frozen wrapper:

python

rows = tdx.stock_history_eod("AAPL", "20240101", "20240301").to_list()

No extra dependency.

Empty-result behaviour

An empty query returns an empty <TickName>List; the chainable terminals still emit a typed schema. .to_arrow() on an empty list produces a pyarrow.Table with zero rows and the full column layout for that tick type, so downstream pipelines that assert a fixed schema survive empty market-hours windows without branching on len(ticks) == 0:

python

empty = tdx.stock_history_eod("AAPL", "20260101", "20260101")
assert len(empty) == 0
table = empty.to_arrow()          # zero rows, EodTick column schema

API Reference ​

Client Construction ​

Stock Endpoints ​

stock_list_symbols ​

stock_list_dates ​

stock_snapshot_ohlc ​

stock_snapshot_trade ​

stock_snapshot_quote ​

stock_snapshot_market_value ​

stock_history_eod ​

stock_history_ohlc ​

stock_history_ohlc_range ​

stock_history_trade ​

stock_history_quote ​

stock_history_trade_quote ​

stock_at_time_trade ​

stock_at_time_quote ​

Option Endpoints ​

option_list_symbols ​

option_list_dates ​

option_list_expirations ​

option_list_strikes ​

option_list_contracts ​

option_snapshot_ohlc ​

option_snapshot_trade ​

option_snapshot_quote ​

option_snapshot_open_interest ​

option_snapshot_market_value ​

option_snapshot_greeks_implied_volatility ​

option_snapshot_greeks_all ​

option_snapshot_greeks_first_order ​

option_snapshot_greeks_second_order ​

option_snapshot_greeks_third_order ​

option_history_eod ​

option_history_ohlc ​

option_history_trade ​

option_history_quote ​

option_history_trade_quote ​

option_history_open_interest ​

option_history_greeks_eod ​

option_history_greeks_all ​

option_history_trade_greeks_all ​

option_history_greeks_first_order ​

option_history_trade_greeks_first_order ​

option_history_greeks_second_order ​

option_history_trade_greeks_second_order ​

option_history_greeks_third_order ​

option_history_trade_greeks_third_order ​

option_history_greeks_implied_volatility ​

option_history_trade_greeks_implied_volatility ​

option_at_time_trade ​

option_at_time_quote ​

Index Endpoints ​

index_list_symbols ​

index_list_dates ​

index_snapshot_ohlc ​

index_snapshot_price ​

index_snapshot_market_value ​

index_history_eod ​

index_history_ohlc ​

index_history_price ​

index_at_time_price ​

Calendar Endpoints ​

calendar_open_today ​

calendar_on_date ​

calendar_year ​

Interest Rate Endpoints ​

interest_rate_history_eod ​

Greeks Calculator ​

all_greeks ​

implied_volatility ​

Individual Greek Functions ​

First-Order Greeks ​

Second-Order Greeks ​

Third-Order Greeks ​

Auxiliary ​

Streaming (FPSS) ​

Starting the Stream ​

Subscribing ​

Unsubscribing ​

API Reference

Client Construction

Stock Endpoints

stock_list_symbols

stock_list_dates

stock_snapshot_ohlc

stock_snapshot_trade

stock_snapshot_quote

stock_snapshot_market_value

stock_history_eod

stock_history_ohlc

stock_history_ohlc_range

stock_history_trade

stock_history_quote

stock_history_trade_quote

stock_at_time_trade

stock_at_time_quote

Option Endpoints

option_list_symbols

option_list_dates

option_list_expirations

option_list_strikes

option_list_contracts

option_snapshot_ohlc

option_snapshot_trade

option_snapshot_quote

option_snapshot_open_interest

option_snapshot_market_value

option_snapshot_greeks_implied_volatility

option_snapshot_greeks_all

option_snapshot_greeks_first_order

option_snapshot_greeks_second_order

option_snapshot_greeks_third_order

option_history_eod

option_history_ohlc

option_history_trade

option_history_quote

option_history_trade_quote

option_history_open_interest

option_history_greeks_eod

option_history_greeks_all

option_history_trade_greeks_all

option_history_greeks_first_order

option_history_trade_greeks_first_order

option_history_greeks_second_order

option_history_trade_greeks_second_order

option_history_greeks_third_order

option_history_trade_greeks_third_order

option_history_greeks_implied_volatility

option_history_trade_greeks_implied_volatility

option_at_time_trade

option_at_time_quote

Index Endpoints

index_list_symbols

index_list_dates

index_snapshot_ohlc

index_snapshot_price

index_snapshot_market_value

index_history_eod

index_history_ohlc

index_history_price

index_at_time_price

Calendar Endpoints

calendar_open_today

calendar_on_date

calendar_year

Interest Rate Endpoints

interest_rate_history_eod

Greeks Calculator

all_greeks

implied_volatility

Individual Greek Functions

First-Order Greeks

Second-Order Greeks

Third-Order Greeks

Auxiliary

Streaming (FPSS)

Starting the Stream

Subscribing

Unsubscribing