option_history_trade_greeks_all

FreeValueStandardPro

Retrieve all Greeks (first, second, and third order) computed on each individual trade for an option contract. Unlike interval-sampled Greeks, these are calculated at the exact moment of each trade.

Code Example

Rust

let g: Vec<GreeksTick> = 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")

Go

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

C++

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

Parameters

symbolstringrequired

Underlying symbol

expirationstringrequired

Expiration date in YYYYMMDD format

strikestringrequired

Strike price as scaled integer

rightstringrequired

"C" for call, "P" for put

datestringrequired

Date in YYYYMMDD format

start_timestringoptional

Start time as milliseconds from midnight

end_timestringoptional

End time as milliseconds from midnight

annual_dividendfloatoptional

Override annual dividend

rate_typestringoptional

Interest rate type

rate_valuefloatoptional

Override interest rate value

versionstringoptional

Greeks calculation version

max_dteintoptional

Maximum days to expiration

strike_rangeintoptional

Strike range filter

Response

pricefloat

Trade price

sizeint

Trade size

conditionint

Trade condition code

exchangeint

Exchange code

implied_volatilityfloat

IV at time of trade

deltafloat

Delta

thetafloat

Theta

vegafloat

Vega

rhofloat

Rho

epsilonfloat

Epsilon

lambdafloat

Lambda

gammafloat

Gamma

vannafloat

Vanna

charmfloat

Charm

vommafloat

Vomma

vetafloat

Veta

speedfloat

Speed

zommafloat

Zomma

colorfloat

Color

ultimafloat

Ultima

underlying_pricefloat

Underlying price at time of trade

datestring

Date

ms_of_dayint

Milliseconds from midnight

Notes

• Each row combines trade data with Greeks computed using the trade price and the underlying price at the exact moment of execution.
• For liquid contracts this can return a large number of rows. Use start_time/end_time to limit the window.