option_history_trade_greeks_second_order

FreeValueStandardPro

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

Code Example

Rust

let data = tdx.option_history_trade_greeks_second_order("SPY", "20260417", "550", "C", "20260315").await?;
for t in &data {
    println!("date={} ms_of_day={} gamma={:.4} vanna={:.4} charm={:.4} vomma={:.4}",
        t.date, t.ms_of_day, t.gamma, t.vanna, t.charm, t.vomma);
}

Python

data = tdx.option_history_trade_greeks_second_order("SPY", "20260417", "550", "C", "20260315")
for t in data:
    print(f"date={t.date} ms_of_day={t.ms_of_day} gamma={t.gamma:.4f} "
          f"vanna={t.vanna:.4f} charm={t.charm:.4f} vomma={t.vomma:.4f}")

TypeScript

const data = tdx.optionHistoryTradeGreeksSecondOrder('SPY', '20260417', '550', 'C', '20260315');
for (const t of data) {
    console.log(`date=${t.date} ms_of_day=${t.ms_of_day} gamma=${t.gamma} vanna=${t.vanna} charm=${t.charm} vomma=${t.vomma}`);
}

C++

auto data = client.option_history_trade_greeks_second_order("SPY", "20260417", "550", "C", "20260315");
for (const auto& t : data) {
    printf("date=%d ms_of_day=%d gamma=%.4f vanna=%.4f charm=%.4f vomma=%.4f\n",
        t.date, t.ms_of_day, t.gamma, t.vanna, t.charm, t.vomma);
}

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

gammafloat

Gamma

vannafloat

Vanna

charmfloat

Charm

vommafloat

Vomma

vetafloat

Veta

underlying_pricefloat

Underlying price at time of trade

datestring

Date

ms_of_dayint

Milliseconds from midnight

Sample Response

[
  {"date": 20260402, "ms_of_day": 34203497, "gamma": 0.000756, "vanna": -0.026700, "charm": 0.001900, "vomma": 0.015200}
]

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