option_history_trade_greeks_third_order

FreeValueStandardPro

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

Code Example

Rust

let data = tdx.option_history_trade_greeks_third_order("SPY", "20260417", "550", "C", "20260315").await?;
for t in &data {
    println!("date={} ms_of_day={} speed={:.4} zomma={:.4} color={:.4} ultima={:.4}",
        t.date, t.ms_of_day, t.speed, t.zomma, t.color, t.ultima);
}

Python

data = tdx.option_history_trade_greeks_third_order("SPY", "20260417", "550", "C", "20260315")
for t in data:
    print(f"date={t.date} ms_of_day={t.ms_of_day} speed={t.speed:.4f} "
          f"zomma={t.zomma:.4f} color={t.color:.4f} ultima={t.ultima:.4f}")

TypeScript

const data = tdx.optionHistoryTradeGreeksThirdOrder('SPY', '20260417', '550', 'C', '20260315');
for (const t of data) {
    console.log(`date=${t.date} ms_of_day=${t.ms_of_day} speed=${t.speed} zomma=${t.zomma} color=${t.color} ultima=${t.ultima}`);
}

C++

auto data = client.option_history_trade_greeks_third_order("SPY", "20260417", "550", "C", "20260315");
for (const auto& t : data) {
    printf("date=%d ms_of_day=%d speed=%.4f zomma=%.4f color=%.4f ultima=%.4f\n",
        t.date, t.ms_of_day, t.speed, t.zomma, t.color, t.ultima);
}

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

speedfloat

Speed

zommafloat

Zomma

colorfloat

Color

ultimafloat

Ultima

underlying_pricefloat

Underlying price at time of trade

datestring

Date

ms_of_dayint

Milliseconds from midnight

Sample Response

[
  {"date": 20260402, "ms_of_day": 34203497, "speed": -0.00000940, "zomma": 0.00005180, "color": -0.00000350, "ultima": 0.00014200}
]

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