option_history_trade_greeks_first_order

FreeValueStandardPro

Retrieve first-order Greeks computed on each individual trade for an option contract.

Code Example

Rust

let g: Vec<GreeksTick> = 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")

Go

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

C++

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

Parameters

Parameters are identical to option_history_trade_greeks_all.

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

underlying_pricefloat

Underlying price at time of trade

datestring

Date

ms_of_dayint

Milliseconds from midnight