option_history_trade_greeks_first_order

FreeValueStandardPro

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

Code Example

Rust

let data = tdx.option_history_trade_greeks_first_order("SPY", "20260417", "550", "C", "20260315").await?;
for t in &data {
    println!("date={} ms_of_day={} implied_volatility={:.4} delta={:.4} theta={:.4} vega={:.4} rho={:.4}",
        t.date, t.ms_of_day, t.implied_volatility, t.delta, t.theta, t.vega, t.rho);
}

Python

data = tdx.option_history_trade_greeks_first_order("SPY", "20260417", "550", "C", "20260315")
for t in data:
    print(f"date={t.date} ms_of_day={t.ms_of_day} implied_volatility={t.implied_volatility:.4f} "
          f"delta={t.delta:.4f} theta={t.theta:.4f} vega={t.vega:.4f} rho={t.rho:.4f}")

TypeScript

const data = tdx.optionHistoryTradeGreeksFirstOrder('SPY', '20260417', '550', 'C', '20260315');
for (const t of data) {
    console.log(`date=${t.date} ms_of_day=${t.ms_of_day} implied_volatility=${t.implied_volatility} delta=${t.delta} theta=${t.theta} vega=${t.vega}`);
}

C++

auto data = client.option_history_trade_greeks_first_order("SPY", "20260417", "550", "C", "20260315");
for (const auto& t : data) {
    printf("date=%d ms_of_day=%d implied_volatility=%.4f delta=%.4f theta=%.4f vega=%.4f rho=%.4f\n",
        t.date, t.ms_of_day, t.implied_volatility, t.delta, t.theta, t.vega, t.rho);
}

Parameters

Parameters are identical to option_history_trade_greeks_all.

symbolstringrequired

Underlying symbol

expirationstringrequired

Expiration date in YYYYMMDD format

strikestringrequired

Strike price in dollars as a string

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

Sample Response

[
  {"date": 20260402, "ms_of_day": 34203497, "implied_volatility": 0.4290, "delta": 0.9742, "theta": -0.1645, "vega": 7.8120, "rho": 21.8812}
]

First-order Greeks at each trade. Requires Professional subscription.