API Reference

ThetaDataDx provides a unified client for accessing ThetaData market data. Historical data flows over MDDS/gRPC; real-time streaming flows over FPSS/TCP. The SDK ships native bindings for Rust, Python, Go, and C++, all backed by the same compiled Rust core.

61 typed endpoints + 4 streaming variants + 22 Greeks functions + IV solver.

Client Construction

RustPythonGoC++

rust

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

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

python

from thetadatadx import Credentials, Config, ThetaDataDx

creds = Credentials.from_file("creds.txt")
tdx = ThetaDataDx(creds, Config.production())

creds, err := thetadatadx.CredentialsFromFile("creds.txt")
defer creds.Close()

config := thetadatadx.ProductionConfig()
defer config.Close()

client, err := thetadatadx.Connect(creds, config)
defer client.Close()

cpp

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

Stock Endpoints

stock_list_symbols

List all available stock ticker symbols.

RustPythonGoC++

rust

let symbols: Vec<String> = tdx.stock_list_symbols().await?;

python

symbols = tdx.stock_list_symbols()

symbols, err := client.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.

RustPythonGoC++

rust

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

python

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

dates, err := client.StockListDates("EOD", "AAPL")

cpp

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

Parameter	Type	Required	Description
`request_type`	string	Yes	Data type: `"EOD"`, `"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.

RustPythonGoC++

rust

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

python

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

bars, err := client.StockSnapshotOHLC([]string{"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.

RustPythonGoC++

rust

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

python

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

trades, err := client.StockSnapshotTrade([]string{"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.

RustPythonGoC++

rust

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

python

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

quotes, err := client.StockSnapshotQuote([]string{"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.

RustPythonGoC++

rust

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

python

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

mv, err := client.StockSnapshotMarketValue([]string{"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: Vec<MarketValueTick> with market cap, shares outstanding, enterprise value, book value, free float.

stock_history_eod

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

RustPythonGoC++

rust

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

python

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

eod, err := client.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.

RustPythonGoC++

rust

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

python

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

bars, err := client.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	Bar interval in milliseconds (e.g. `"60000"` for 1-minute)
`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.

RustPythonGoC++

rust

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

python

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

bars, err := client.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	Bar interval in milliseconds

Returns: List of OhlcTick.

stock_history_trade

All trades for a stock on a given date.

RustPythonGoC++

rust

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

python

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

trades, err := client.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.

RustPythonGoC++

rust

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

python

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

quotes, err := client.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	Sampling interval in ms (`"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.

RustPythonGoC++

rust

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

python

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

tq, err := client.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: Vec<TradeQuoteTick> with combined trade + quote fields.

Tier: Pro

stock_at_time_trade

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

RustPythonGoC++

rust

let trades = tdx.stock_at_time_trade("AAPL", "20240101", "20240301", "34200000").await?;

python

trades = tdx.stock_at_time_trade("AAPL", "20240101", "20240301", "34200000")

trades, err := client.StockAtTimeTrade("AAPL", "20240101", "20240301", "34200000")

cpp

auto trades = client.stock_at_time_trade("AAPL", "20240101", "20240301", "34200000");

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	Ms from midnight ET (e.g. `"34200000"` = 9:30 AM)
`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.

RustPythonGoC++

rust

let quotes = tdx.stock_at_time_quote("AAPL", "20240101", "20240301", "34200000").await?;

python

quotes = tdx.stock_at_time_quote("AAPL", "20240101", "20240301", "34200000")

quotes, err := client.StockAtTimeQuote("AAPL", "20240101", "20240301", "34200000")

cpp

auto quotes = client.stock_at_time_quote("AAPL", "20240101", "20240301", "34200000");

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	Ms from midnight ET
`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 as scaled integer string (e.g. "500000" for $500)
right - "C" for call, "P" for put

option_list_symbols

List all available option underlying symbols.

RustPythonGoC++

rust

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

python

symbols = tdx.option_list_symbols()

symbols, err := client.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.

RustPythonGoC++

rust

let dates = tdx.option_list_dates("EOD", "SPY", "20241220", "500000", "C").await?;

python

dates = tdx.option_list_dates("EOD", "SPY", "20241220", "500000", "C")

dates, err := client.OptionListDates("EOD", "SPY", "20241220", "500000", "C")

cpp

auto dates = client.option_list_dates("EOD", "SPY", "20241220", "500000", "C");

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

Returns: List of date strings (YYYYMMDD).

option_list_expirations

List all expiration dates for an underlying.

RustPythonGoC++

rust

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

python

exps = tdx.option_list_expirations("SPY")

exps, err := client.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.

RustPythonGoC++

rust

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

python

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

strikes, err := client.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 (scaled integers).

option_list_contracts

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

RustPythonGoC++

rust

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

python

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

contracts, err := client.OptionListContracts("EOD", "SPY", "20240315")

cpp

auto contracts = client.option_list_contracts("EOD", "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: Vec<OptionContract> with root, expiration, strike, right.

option_snapshot_ohlc

Latest OHLC snapshot for an option contract.

RustPythonGoC++

rust

let bars = tdx.option_snapshot_ohlc("SPY", "20241220", "500000", "C").await?;

python

bars = tdx.option_snapshot_ohlc("SPY", "20241220", "500000", "C")

bars, err := client.OptionSnapshotOHLC("SPY", "20241220", "500000", "C")

cpp

auto bars = client.option_snapshot_ohlc("SPY", "20241220", "500000", "C");

Parameter	Type	Required	Description
`symbol`	string	Yes	Underlying symbol
`expiration`	string	Yes	Expiration date (`YYYYMMDD`)
`strike`	string	Yes	Strike price (scaled integer)
`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.

RustPythonGoC++

rust

let trades = tdx.option_snapshot_trade("SPY", "20241220", "500000", "C").await?;

python

trades = tdx.option_snapshot_trade("SPY", "20241220", "500000", "C")

trades, err := client.OptionSnapshotTrade("SPY", "20241220", "500000", "C")

cpp

auto trades = client.option_snapshot_trade("SPY", "20241220", "500000", "C");

Parameter	Type	Required	Description
`symbol`	string	Yes	Underlying symbol
`expiration`	string	Yes	Expiration date
`strike`	string	Yes	Strike price (scaled integer)
`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.

RustPythonGoC++

rust

let quotes = tdx.option_snapshot_quote("SPY", "20241220", "500000", "C").await?;

python

quotes = tdx.option_snapshot_quote("SPY", "20241220", "500000", "C")

quotes, err := client.OptionSnapshotQuote("SPY", "20241220", "500000", "C")

cpp

auto quotes = client.option_snapshot_quote("SPY", "20241220", "500000", "C");

Parameter	Type	Required	Description
`symbol`	string	Yes	Underlying symbol
`expiration`	string	Yes	Expiration date
`strike`	string	Yes	Strike price (scaled integer)
`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.

RustPythonGoC++

rust

let oi = tdx.option_snapshot_open_interest("SPY", "20241220", "500000", "C").await?;

python

oi = tdx.option_snapshot_open_interest("SPY", "20241220", "500000", "C")

oi, err := client.OptionSnapshotOpenInterest("SPY", "20241220", "500000", "C")

cpp

auto oi = client.option_snapshot_open_interest("SPY", "20241220", "500000", "C");

Parameter	Type	Required	Description
`symbol`	string	Yes	Underlying symbol
`expiration`	string	Yes	Expiration date
`strike`	string	Yes	Strike price (scaled integer)
`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: Vec<OpenInterestTick> with ms_of_day, open_interest, date.

option_snapshot_market_value

Latest market value snapshot for an option contract.

RustPythonGoC++

rust

let mv = tdx.option_snapshot_market_value("SPY", "20241220", "500000", "C").await?;

python

mv = tdx.option_snapshot_market_value("SPY", "20241220", "500000", "C")

mv, err := client.OptionSnapshotMarketValue("SPY", "20241220", "500000", "C")

cpp

auto mv = client.option_snapshot_market_value("SPY", "20241220", "500000", "C");

Parameter	Type	Required	Description
`symbol`	string	Yes	Underlying symbol
`expiration`	string	Yes	Expiration date
`strike`	string	Yes	Strike price (scaled integer)
`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: Vec<MarketValueTick> with market cap, shares outstanding, enterprise value, book value, free float.

option_snapshot_greeks_implied_volatility

Implied volatility snapshot for an option contract.

RustPythonGoC++

rust

let iv = tdx.option_snapshot_greeks_implied_volatility("SPY", "20241220", "500000", "C").await?;

python

iv = tdx.option_snapshot_greeks_implied_volatility("SPY", "20241220", "500000", "C")

iv, err := client.OptionSnapshotGreeksIV("SPY", "20241220", "500000", "C")

cpp

auto iv = client.option_snapshot_greeks_implied_volatility("SPY", "20241220", "500000", "C");

Parameter	Type	Required	Description
`symbol`	string	Yes	Underlying symbol
`expiration`	string	Yes	Expiration date
`strike`	string	Yes	Strike price (scaled integer)
`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: Vec<IvTick> with implied_volatility, iv_error.

Tier: Pro

option_snapshot_greeks_all

Snapshot of all Greeks for an option contract.

RustPythonGoC++

rust

let greeks = tdx.option_snapshot_greeks_all("SPY", "20241220", "500000", "C").await?;

python

greeks = tdx.option_snapshot_greeks_all("SPY", "20241220", "500000", "C")

greeks, err := client.OptionSnapshotGreeksAll("SPY", "20241220", "500000", "C")

cpp

auto greeks = client.option_snapshot_greeks_all("SPY", "20241220", "500000", "C");

Parameter	Type	Required	Description
`symbol`	string	Yes	Underlying symbol
`expiration`	string	Yes	Expiration date
`strike`	string	Yes	Strike price (scaled integer)
`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: Vec<GreeksTick> with all 22 Greeks.

Tier: Pro

option_snapshot_greeks_first_order

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

RustPythonGoC++

rust

let g = tdx.option_snapshot_greeks_first_order("SPY", "20241220", "500000", "C").await?;

python

g = tdx.option_snapshot_greeks_first_order("SPY", "20241220", "500000", "C")

g, err := client.OptionSnapshotGreeksFirstOrder("SPY", "20241220", "500000", "C")

cpp

auto g = client.option_snapshot_greeks_first_order("SPY", "20241220", "500000", "C");

Parameters are identical to option_snapshot_greeks_all.

Returns: Vec<GreeksTick> with first-order Greeks (delta, theta, vega, rho).

Tier: Pro

option_snapshot_greeks_second_order

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

RustPythonGoC++

rust

let g = tdx.option_snapshot_greeks_second_order("SPY", "20241220", "500000", "C").await?;

python

g = tdx.option_snapshot_greeks_second_order("SPY", "20241220", "500000", "C")

g, err := client.OptionSnapshotGreeksSecondOrder("SPY", "20241220", "500000", "C")

cpp

auto g = client.option_snapshot_greeks_second_order("SPY", "20241220", "500000", "C");

Parameters are identical to option_snapshot_greeks_all.

Returns: Vec<GreeksTick> with second-order Greeks (gamma, vanna, charm, vomma).

Tier: Pro

option_snapshot_greeks_third_order

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

RustPythonGoC++

rust

let g = tdx.option_snapshot_greeks_third_order("SPY", "20241220", "500000", "C").await?;

python

g = tdx.option_snapshot_greeks_third_order("SPY", "20241220", "500000", "C")

g, err := client.OptionSnapshotGreeksThirdOrder("SPY", "20241220", "500000", "C")

cpp

auto g = client.option_snapshot_greeks_third_order("SPY", "20241220", "500000", "C");

Parameters are identical to option_snapshot_greeks_all.

Returns: Vec<GreeksTick> with third-order Greeks (speed, zomma, color, ultima).

Tier: Pro

option_history_eod

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

RustPythonGoC++

rust

let eod = tdx.option_history_eod(
    "SPY", "20241220", "500000", "C", "20240101", "20240301"
).await?;

python

eod = tdx.option_history_eod("SPY", "20241220", "500000", "C", "20240101", "20240301")

eod, err := client.OptionHistoryEOD("SPY", "20241220", "500000", "C", "20240101", "20240301")

cpp

auto eod = client.option_history_eod("SPY", "20241220", "500000", "C", "20240101", "20240301");

Parameter	Type	Required	Description
`symbol`	string	Yes	Underlying symbol
`expiration`	string	Yes	Expiration date
`strike`	string	Yes	Strike price (scaled integer)
`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.

RustPythonGoC++

rust

let bars = tdx.option_history_ohlc(
    "SPY", "20241220", "500000", "C", "20240315", "60000"
).await?;

python

bars = tdx.option_history_ohlc("SPY", "20241220", "500000", "C", "20240315", "60000")

bars, err := client.OptionHistoryOHLC("SPY", "20241220", "500000", "C", "20240315", "60000")

cpp

auto bars = client.option_history_ohlc("SPY", "20241220", "500000", "C", "20240315", "60000");

Parameter	Type	Required	Description
`symbol`	string	Yes	Underlying symbol
`expiration`	string	Yes	Expiration date
`strike`	string	Yes	Strike price (scaled integer)
`right`	string	Yes	`"C"` or `"P"`
`date`	string	Yes	Date (`YYYYMMDD`)
`interval`	string	Yes	Bar interval in milliseconds
`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.

RustPythonGoC++

rust

let trades = tdx.option_history_trade("SPY", "20241220", "500000", "C", "20240315").await?;

python

trades = tdx.option_history_trade("SPY", "20241220", "500000", "C", "20240315")

trades, err := client.OptionHistoryTrade("SPY", "20241220", "500000", "C", "20240315")

cpp

auto trades = client.option_history_trade("SPY", "20241220", "500000", "C", "20240315");

Parameter	Type	Required	Description
`symbol`	string	Yes	Underlying symbol
`expiration`	string	Yes	Expiration date
`strike`	string	Yes	Strike price (scaled integer)
`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.

RustPythonGoC++

rust

let quotes = tdx.option_history_quote(
    "SPY", "20241220", "500000", "C", "20240315", "60000"
).await?;

python

quotes = tdx.option_history_quote("SPY", "20241220", "500000", "C", "20240315", "60000")

quotes, err := client.OptionHistoryQuote("SPY", "20241220", "500000", "C", "20240315", "60000")

cpp

auto quotes = client.option_history_quote("SPY", "20241220", "500000", "C", "20240315", "60000");

Parameter	Type	Required	Description
`symbol`	string	Yes	Underlying symbol
`expiration`	string	Yes	Expiration date
`strike`	string	Yes	Strike price (scaled integer)
`right`	string	Yes	`"C"` or `"P"`
`date`	string	Yes	Date (`YYYYMMDD`)
`interval`	string	Yes	Sampling interval in ms
`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.

RustPythonGoC++

rust

let tq = tdx.option_history_trade_quote("SPY", "20241220", "500000", "C", "20240315").await?;

python

tq = tdx.option_history_trade_quote("SPY", "20241220", "500000", "C", "20240315")

tq, err := client.OptionHistoryTradeQuote("SPY", "20241220", "500000", "C", "20240315")

cpp

auto tq = client.option_history_trade_quote("SPY", "20241220", "500000", "C", "20240315");

Parameter	Type	Required	Description
`symbol`	string	Yes	Underlying symbol
`expiration`	string	Yes	Expiration date
`strike`	string	Yes	Strike price (scaled integer)
`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.

RustPythonGoC++

rust

let oi = tdx.option_history_open_interest("SPY", "20241220", "500000", "C", "20240315").await?;

python

oi = tdx.option_history_open_interest("SPY", "20241220", "500000", "C", "20240315")

oi, err := client.OptionHistoryOpenInterest("SPY", "20241220", "500000", "C", "20240315")

cpp

auto oi = client.option_history_open_interest("SPY", "20241220", "500000", "C", "20240315");

Parameter	Type	Required	Description
`symbol`	string	Yes	Underlying symbol
`expiration`	string	Yes	Expiration date
`strike`	string	Yes	Strike price (scaled integer)
`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: Vec<OpenInterestTick> with ms_of_day, open_interest, date.

option_history_greeks_eod

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

RustPythonGoC++

rust

let g = tdx.option_history_greeks_eod(
    "SPY", "20241220", "500000", "C", "20240101", "20240301"
).await?;

python

g = tdx.option_history_greeks_eod("SPY", "20241220", "500000", "C", "20240101", "20240301")

g, err := client.OptionHistoryGreeksEOD("SPY", "20241220", "500000", "C", "20240101", "20240301")

cpp

auto g = client.option_history_greeks_eod("SPY", "20241220", "500000", "C", "20240101", "20240301");

Parameter	Type	Required	Description
`symbol`	string	Yes	Underlying symbol
`expiration`	string	Yes	Expiration date
`strike`	string	Yes	Strike price (scaled integer)
`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: Vec<GreeksTick> with EOD Greeks per date.

Tier: Pro

option_history_greeks_all

All Greeks history at a given interval (intraday).

RustPythonGoC++

rust

let g = tdx.option_history_greeks_all(
    "SPY", "20241220", "500000", "C", "20240315", "60000"
).await?;

python

g = tdx.option_history_greeks_all("SPY", "20241220", "500000", "C", "20240315", "60000")

g, err := client.OptionHistoryGreeksAll("SPY", "20241220", "500000", "C", "20240315", "60000")

cpp

auto g = client.option_history_greeks_all("SPY", "20241220", "500000", "C", "20240315", "60000");

Parameter	Type	Required	Description
`symbol`	string	Yes	Underlying symbol
`expiration`	string	Yes	Expiration date
`strike`	string	Yes	Strike price (scaled integer)
`right`	string	Yes	`"C"` or `"P"`
`date`	string	Yes	Date (`YYYYMMDD`)
`interval`	string	Yes	Sampling interval in ms
`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: Vec<GreeksTick> with all 22 Greeks at each interval.

Tier: Pro

option_history_trade_greeks_all

All Greeks computed on each individual trade.

RustPythonGoC++

rust

let g = tdx.option_history_trade_greeks_all("SPY", "20241220", "500000", "C", "20240315").await?;

python

g = tdx.option_history_trade_greeks_all("SPY", "20241220", "500000", "C", "20240315")

g, err := client.OptionHistoryTradeGreeksAll("SPY", "20241220", "500000", "C", "20240315")

cpp

auto g = client.option_history_trade_greeks_all("SPY", "20241220", "500000", "C", "20240315");

Parameter	Type	Required	Description
`symbol`	string	Yes	Underlying symbol
`expiration`	string	Yes	Expiration date
`strike`	string	Yes	Strike price (scaled integer)
`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: Vec<GreeksTick> with all 22 Greeks per trade.

Tier: Pro

option_history_greeks_first_order

First-order Greeks history at a given interval.

RustPythonGoC++

rust

let g = tdx.option_history_greeks_first_order(
    "SPY", "20241220", "500000", "C", "20240315", "60000"
).await?;

python

g = tdx.option_history_greeks_first_order("SPY", "20241220", "500000", "C", "20240315", "60000")

g, err := client.OptionHistoryGreeksFirstOrder("SPY", "20241220", "500000", "C", "20240315", "60000")

cpp

auto g = client.option_history_greeks_first_order("SPY", "20241220", "500000", "C", "20240315", "60000");

Parameters are identical to option_history_greeks_all.

Returns: Vec<GreeksTick> with first-order Greeks at each interval.

Tier: Pro

option_history_trade_greeks_first_order

First-order Greeks computed on each individual trade.

RustPythonGoC++

rust

let g = tdx.option_history_trade_greeks_first_order(
    "SPY", "20241220", "500000", "C", "20240315"
).await?;

python

g = tdx.option_history_trade_greeks_first_order("SPY", "20241220", "500000", "C", "20240315")

g, err := client.OptionHistoryTradeGreeksFirstOrder("SPY", "20241220", "500000", "C", "20240315")

cpp

auto g = client.option_history_trade_greeks_first_order("SPY", "20241220", "500000", "C", "20240315");

Parameters are identical to option_history_trade_greeks_all.

Returns: Vec<GreeksTick> with first-order Greeks per trade.

Tier: Pro

option_history_greeks_second_order

Second-order Greeks history at a given interval.

RustPythonGoC++

rust

let g = tdx.option_history_greeks_second_order(
    "SPY", "20241220", "500000", "C", "20240315", "60000"
).await?;

python

g = tdx.option_history_greeks_second_order("SPY", "20241220", "500000", "C", "20240315", "60000")

g, err := client.OptionHistoryGreeksSecondOrder("SPY", "20241220", "500000", "C", "20240315", "60000")

cpp

auto g = client.option_history_greeks_second_order("SPY", "20241220", "500000", "C", "20240315", "60000");

Parameters are identical to option_history_greeks_all.

Returns: Vec<GreeksTick> with second-order Greeks at each interval.

Tier: Pro

option_history_trade_greeks_second_order

Second-order Greeks computed on each individual trade.

RustPythonGoC++

rust

let g = tdx.option_history_trade_greeks_second_order(
    "SPY", "20241220", "500000", "C", "20240315"
).await?;

python

g = tdx.option_history_trade_greeks_second_order("SPY", "20241220", "500000", "C", "20240315")

g, err := client.OptionHistoryTradeGreeksSecondOrder("SPY", "20241220", "500000", "C", "20240315")

cpp

auto g = client.option_history_trade_greeks_second_order("SPY", "20241220", "500000", "C", "20240315");

Parameters are identical to option_history_trade_greeks_all.

Returns: Vec<GreeksTick> with second-order Greeks per trade.

Tier: Pro

option_history_greeks_third_order

Third-order Greeks history at a given interval.

RustPythonGoC++

rust

let g = tdx.option_history_greeks_third_order(
    "SPY", "20241220", "500000", "C", "20240315", "60000"
).await?;

python

g = tdx.option_history_greeks_third_order("SPY", "20241220", "500000", "C", "20240315", "60000")

g, err := client.OptionHistoryGreeksThirdOrder("SPY", "20241220", "500000", "C", "20240315", "60000")

cpp

auto g = client.option_history_greeks_third_order("SPY", "20241220", "500000", "C", "20240315", "60000");

Parameters are identical to option_history_greeks_all.

Returns: Vec<GreeksTick> with third-order Greeks at each interval.

Tier: Pro

option_history_trade_greeks_third_order

Third-order Greeks computed on each individual trade.

RustPythonGoC++

rust

let g = tdx.option_history_trade_greeks_third_order(
    "SPY", "20241220", "500000", "C", "20240315"
).await?;

python

g = tdx.option_history_trade_greeks_third_order("SPY", "20241220", "500000", "C", "20240315")

g, err := client.OptionHistoryTradeGreeksThirdOrder("SPY", "20241220", "500000", "C", "20240315")

cpp

auto g = client.option_history_trade_greeks_third_order("SPY", "20241220", "500000", "C", "20240315");

Parameters are identical to option_history_trade_greeks_all.

Returns: Vec<GreeksTick> with third-order Greeks per trade.

Tier: Pro

option_history_greeks_implied_volatility

Implied volatility history at a given interval.

RustPythonGoC++

rust

let iv = tdx.option_history_greeks_implied_volatility(
    "SPY", "20241220", "500000", "C", "20240315", "60000"
).await?;

python

iv = tdx.option_history_greeks_implied_volatility("SPY", "20241220", "500000", "C", "20240315", "60000")

iv, err := client.OptionHistoryGreeksImpliedVolatility("SPY", "20241220", "500000", "C", "20240315", "60000")

cpp

auto iv = client.option_history_greeks_implied_volatility("SPY", "20241220", "500000", "C", "20240315", "60000");

Parameters are identical to option_history_greeks_all.

Returns: Vec<IvTick> with implied volatility at each interval.

Tier: Pro

option_history_trade_greeks_implied_volatility

Implied volatility computed on each individual trade.

RustPythonGoC++

rust

let iv = tdx.option_history_trade_greeks_implied_volatility(
    "SPY", "20241220", "500000", "C", "20240315"
).await?;

python

iv = tdx.option_history_trade_greeks_implied_volatility("SPY", "20241220", "500000", "C", "20240315")

iv, err := client.OptionHistoryTradeGreeksImpliedVolatility("SPY", "20241220", "500000", "C", "20240315")

cpp

auto iv = client.option_history_trade_greeks_implied_volatility("SPY", "20241220", "500000", "C", "20240315");

Parameters are identical to option_history_trade_greeks_all.

Returns: Vec<IvTick> 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.

RustPythonGoC++

rust

let trades = tdx.option_at_time_trade(
    "SPY", "20241220", "500000", "C", "20240101", "20240301", "34200000"
).await?;

python

trades = tdx.option_at_time_trade("SPY", "20241220", "500000", "C", "20240101", "20240301", "34200000")

trades, err := client.OptionAtTimeTrade("SPY", "20241220", "500000", "C", "20240101", "20240301", "34200000")

cpp

auto trades = client.option_at_time_trade("SPY", "20241220", "500000", "C", "20240101", "20240301", "34200000");

Parameter	Type	Required	Description
`symbol`	string	Yes	Underlying symbol
`expiration`	string	Yes	Expiration date
`strike`	string	Yes	Strike price (scaled integer)
`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	Ms from midnight ET
`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.

RustPythonGoC++

rust

let quotes = tdx.option_at_time_quote(
    "SPY", "20241220", "500000", "C", "20240101", "20240301", "34200000"
).await?;

python

quotes = tdx.option_at_time_quote("SPY", "20241220", "500000", "C", "20240101", "20240301", "34200000")

quotes, err := client.OptionAtTimeQuote("SPY", "20241220", "500000", "C", "20240101", "20240301", "34200000")

cpp

auto quotes = client.option_at_time_quote("SPY", "20241220", "500000", "C", "20240101", "20240301", "34200000");

Parameter	Type	Required	Description
`symbol`	string	Yes	Underlying symbol
`expiration`	string	Yes	Expiration date
`strike`	string	Yes	Strike price (scaled integer)
`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	Ms from midnight ET
`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.

RustPythonGoC++

rust

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

python

symbols = tdx.index_list_symbols()

symbols, err := client.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.

RustPythonGoC++

rust

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

python

dates = tdx.index_list_dates("SPX")

dates, err := client.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.

RustPythonGoC++

rust

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

python

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

bars, err := client.IndexSnapshotOHLC([]string{"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.

RustPythonGoC++

rust

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

python

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

prices, err := client.IndexSnapshotPrice([]string{"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: Vec<PriceTick> with ms_of_day, price, date.

index_snapshot_market_value

Latest market value snapshot for one or more indices.

RustPythonGoC++

rust

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

python

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

mv, err := client.IndexSnapshotMarketValue([]string{"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: Vec<MarketValueTick> with market cap, shares outstanding, enterprise value, book value, free float.

index_history_eod

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

RustPythonGoC++

rust

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

python

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

eod, err := client.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.

RustPythonGoC++

rust

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

python

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

bars, err := client.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	Bar interval in milliseconds
`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.

RustPythonGoC++

rust

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

python

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

prices, err := client.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	Sampling interval in ms
`start_time`	string	No	Start time (ms from midnight)
`end_time`	string	No	End time (ms from midnight)

Returns: Vec<PriceTick> with price at each interval.

index_at_time_price

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

RustPythonGoC++

rust

let prices = tdx.index_at_time_price("SPX", "20240101", "20240301", "34200000").await?;

python

prices = tdx.index_at_time_price("SPX", "20240101", "20240301", "34200000")

prices, err := client.IndexAtTimePrice("SPX", "20240101", "20240301", "34200000")

cpp

auto prices = client.index_at_time_price("SPX", "20240101", "20240301", "34200000");

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	Ms from midnight ET

Returns: Vec<PriceTick> with one price per date.

Calendar Endpoints

calendar_open_today

Check whether the market is open today.

RustPythonGoC++

rust

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

python

info = tdx.calendar_open_today()

info, err := client.CalendarOpenToday()

cpp

auto info = client.calendar_open_today();

Parameters: None

Returns: Vec<CalendarDay> with is_open, open_time, close_time.

calendar_on_date

Calendar information for a specific date.

RustPythonGoC++

rust

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

python

info = tdx.calendar_on_date("20240315")

info, err := client.CalendarOnDate("20240315")

cpp

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

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

Returns: Vec<CalendarDay> with calendar info for the date.

calendar_year

Calendar information for an entire year.

RustPythonGoC++

rust

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

python

cal = tdx.calendar_year("2024")

cal, err := client.CalendarYear("2024")

cpp

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

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

Returns: Vec<CalendarDay> with calendar info for every trading day.

Interest Rate Endpoints

interest_rate_history_eod

End-of-day interest rate history.

RustPythonGoC++

rust

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

python

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

rates, err := client.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: Vec<InterestRateTick> 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 22 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.

RustPythonGoC++

rust

use thetadatadx::greeks;

let g = greeks::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
    true,           // is_call
);
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, True)
print(f"IV: {g['iv']:.4f}, Delta: {g['delta']:.4f}")

g, err := thetadatadx.AllGreeks(450.0, 455.0, 0.05, 0.015, 30.0/365.0, 8.50, true)
fmt.Printf("IV: %.4f, Delta: %.4f\n", g.IV, g.Delta)

cpp

auto g = tdx::all_greeks(450.0, 455.0, 0.05, 0.015, 30.0 / 365.0, 8.50, true);
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
`is_call`	bool	Yes	`true` for call, `false` for put

Returns: GreeksResult containing all 22 fields.

implied_volatility

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

RustPythonGoC++

rust

let (iv, err) = greeks::implied_volatility(450.0, 455.0, 0.05, 0.015, 30.0/365.0, 8.50, true);

python

from thetadatadx import implied_volatility

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

iv, ivErr, err := thetadatadx.ImpliedVolatility(450.0, 455.0, 0.05, 0.015, 30.0/365.0, 8.50, true)

cpp

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

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
`is_call`	bool	Yes	`true` for call, `false` for put

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; Go and C++ use a dedicated FpssClient.

Starting the Stream

RustPythonGoC++

rust

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

python

tdx.start_streaming()

fpss := thetadatadx.NewFpssClient(creds, config)
defer fpss.Close()

cpp

tdx::FpssClient fpss(creds, tdx::Config::production());

Subscribing

RustPythonGoC++

rust

let req_id = tdx.subscribe_quotes(&Contract::stock("AAPL"))?;
let req_id = tdx.subscribe_trades(&Contract::stock("AAPL"))?;
let req_id = tdx.subscribe_open_interest(&Contract::stock("AAPL"))?;
let req_id = tdx.subscribe_full_trades(SecType::Stock)?;

python

tdx.subscribe_quotes("AAPL")
tdx.subscribe_trades("AAPL")

reqID, err := fpss.SubscribeQuotes("AAPL")
reqID, err := fpss.SubscribeTrades("AAPL")
reqID, err := fpss.SubscribeOpenInterest("AAPL")
reqID, err := fpss.SubscribeFullTrades("STOCK")

cpp

int req_id = fpss.subscribe_quotes("AAPL");
int req_id = fpss.subscribe_trades("AAPL");
int req_id = fpss.subscribe_open_interest("AAPL");
int req_id = fpss.subscribe_full_trades("STOCK");

Method	Description
`subscribe_quotes`	Subscribe to real-time NBBO quote updates
`subscribe_trades`	Subscribe to real-time trade updates
`subscribe_open_interest`	Subscribe to open interest updates
`subscribe_full_trades`	Subscribe to all trades for a security type

All subscription methods return a request ID. The server confirms via a ReqResponse control event.

Unsubscribing

RustPythonGoC++

rust

tdx.unsubscribe_quotes(&Contract::stock("AAPL"))?;
tdx.unsubscribe_trades(&Contract::stock("AAPL"))?;
tdx.unsubscribe_open_interest(&Contract::stock("AAPL"))?;

python

# Not exposed in Python - use stop_streaming()

fpss.UnsubscribeQuotes("AAPL")
fpss.UnsubscribeTrades("AAPL")
fpss.UnsubscribeOpenInterest("AAPL")

cpp

fpss.unsubscribe_quotes("AAPL");
fpss.unsubscribe_trades("AAPL");
fpss.unsubscribe_open_interest("AAPL");

Receiving Events

RustPythonGoC++

rust

// Events arrive via the callback passed to start_streaming()
tdx.start_streaming(|event| {
    if let FpssEvent::Data(FpssData::Trade { contract_id, price, size, .. }) = event {
        println!("Trade: contract={}, price={}, size={}", contract_id, price, size);
    }
})?;

python

event = tdx.next_event(timeout_ms=5000)  # returns dict or None
if event:
    print(event)

event, err := fpss.NextEvent(5000)  // returns json.RawMessage or nil

cpp

std::string event = fpss.next_event(5000);  // empty string on timeout

Shutting Down

RustPythonGoC++

rust

tdx.stop_streaming();

python

tdx.stop_streaming()

fpss.Shutdown()

cpp

fpss.shutdown();

Streaming State

Method	Returns	Description
`is_streaming`	bool	Check if the streaming connection is live
`contract_map` / `contract_lookup`	map/string	Look up server-assigned contract IDs
`active_subscriptions`	list/JSON	Get list of active subscriptions

FpssEvent Types

Events are delivered as one of three categories:

FpssData - Market data events:

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)

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)

RawData - Unparsed frames with unknown message codes.

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

For historical endpoints that can return millions of rows, _stream variants process data chunk-by-chunk without loading everything into memory. Available in Rust only.

stock_history_trade_stream

rust

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

stock_history_quote_stream

rust

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

option_history_trade_stream

rust

tdx.option_history_trade_stream("SPY", "20241220", "500000", "C", "20240315", |trades: &[TradeTick]| {
    println!("Chunk: {} trades", trades.len());
}).await?;

option_history_quote_stream

rust

tdx.option_history_quote_stream("SPY", "20241220", "500000", "C", "20240315", "0", |quotes: &[QuoteTick]| {
    println!("Chunk: {} quotes", quotes.len());
}).await?;

Types and Enums

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`	i32	Fixed-point price (use `get_price()`)
`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
`price_type`	i32	Decimal type for price decoding
`date`	i32	Date as YYYYMMDD integer

Helper methods: get_price(), is_cancelled(), regular_trading_hours(), is_seller(), is_incremental_volume()

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`	i32	Fixed-point prices
`bid_condition` / `ask_condition`	i32	Condition codes
`price_type`	i32	Decimal type for price decoding
`date`	i32	Date as YYYYMMDD integer

Helper methods: bid_price(), ask_price(), midpoint_price(), midpoint_value()

OhlcTick

An aggregated OHLC bar.

Field	Type	Description
`ms_of_day`	i32	Bar start time (ms from midnight ET)
`open` / `high` / `low` / `close`	i32	Fixed-point OHLC prices
`volume`	i32	Total volume in bar
`count`	i32	Number of trades in bar
`price_type`	i32	Decimal type for price decoding
`date`	i32	Date as YYYYMMDD integer

Helper methods: open_price(), high_price(), low_price(), close_price()

EodTick

Full end-of-day snapshot with OHLC + closing quote data (18 fields).

Field	Type	Description
`ms_of_day` / `ms_of_day2`	i32	Timestamps
`open` / `high` / `low` / `close`	i32	Fixed-point OHLC prices
`volume`	i32	Total daily volume
`count`	i32	Total trade count
`bid_size` / `ask_size`	i32	Closing quote sizes
`bid_exchange` / `ask_exchange`	i32	Closing quote exchanges
`bid` / `ask`	i32	Closing bid/ask (fixed-point)
`bid_condition` / `ask_condition`	i32	Closing quote conditions
`price_type`	i32	Decimal type
`date`	i32	Date as YYYYMMDD

Helper methods: open_price(), high_price(), low_price(), close_price(), bid_price(), ask_price(), midpoint_value()

TradeQuoteTick

Combined trade + quote tick (25 fields). Contains the full trade data plus the prevailing NBBO quote at the time of the trade.

Helper methods: trade_price(), bid_price(), ask_price()

OpenInterestTick

Field	Type	Description
`ms_of_day`	i32	Milliseconds since midnight ET
`open_interest`	i32	Open interest count
`date`	i32	Date as YYYYMMDD

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

Fixed-point price with variable decimal precision.

real_price = value * 10^(price_type - 10)

price_type	Multiplier	Example
0	Zero	`(0, 0)` = `0.0`
6	0.0001	`(1502500, 6)` = `150.2500`
7	0.001	`(5, 7)` = `0.005`
8	0.01	`(15025, 8)` = `150.25`
10	1.0	`(100, 10)` = `100.0`
12	100.0	`(5, 12)` = `500.0`

Methods: to_f64(), is_zero(), Display (formats with correct decimals)

Prices with different price_type values can be compared directly - they are normalized internally.

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.

RustPythonGoC++

rust

Contract::stock("AAPL")
Contract::index("SPX")
Contract::rate("SOFR")
Contract::option("SPY", 20261218, true, 60000)  // call, strike 60000

python

# Passed as string symbol to subscribe methods
tdx.subscribe_quotes("AAPL")

// Passed as string symbol to subscribe methods
fpss.SubscribeQuotes("AAPL")

cpp

// Passed as string symbol to subscribe methods
fpss.subscribe_quotes("AAPL");

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

Credentials

RustPythonGoC++

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")

creds, err := thetadatadx.CredentialsFromFile("creds.txt")
creds := thetadatadx.NewCredentials("email@example.com", "password")

cpp

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

Error Types

RustPythonGoC++

rust

pub enum Error {
    Auth(String),          // Invalid credentials (401/404)
    Http(String),          // Network or server issue
    Grpc(tonic::Status),   // gRPC transport error
    NoData,                // Symbol does not exist
}

python

# All errors raise RuntimeError with descriptive message

// All methods return (result, error)

cpp

// All methods throw std::runtime_error on failure

Python-Specific Features

DataFrame Support

All 61 data methods have _df variants that return pandas DataFrames directly:

python

df = tdx.stock_history_eod_df("AAPL", "20240101", "20240301")
df = tdx.option_history_ohlc_df("SPY", "20241220", "500000", "C", "20240315", "60000")

Requires pip install thetadatadx[pandas].

Polars Support

python

from thetadatadx import to_polars

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

Requires pip install thetadatadx[polars].

Manual Conversion

python

from thetadatadx import to_dataframe

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

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