Trades/Flow
Decorated Trades
Definition
Decorated Trades provides a comprehensive view of option trades by including detailed data such as pre-trade and post-trade Best Bid and Offer (BBO) information. This endpoint enables users to analyze the traded prices, sizes, and implied volatilities, as well as compare these with the best bid and best ask prices and sizes. It also incorporates underlying futures prices, cash/spot market prices at the time of the trade, and the pre and post-trade open interest along with its impact. This enriched data set allows Amberdata to develop 30 proprietary heuristics to evaluate each trade from the taker’s perspective, assuming dealers are passive counterparties. In contrast, Undecorated Trades consist of raw times and sales data that are not integrated with Level 1 quote data due to the unavailability of such data at the time of the trade.Details
The following data fields are available for detailed analysis of options trades for ETFs and crypto-related equities:- Exchange Information: The platform or exchange where the trade occurred.
- Timestamps: Precise time of the trade.
- Trade ID: A unique identifier for each trade.
- Instrument Details: Information about the traded option, including strike price, expiration, and type (call/put).
- Trade Characteristics: Traded price, size, and implied volatility.
- 24-Hour Metrics: Volume and price changes over the past 24 hours.
- Pre-Trade BBO Data: Best bid and offer prices and sizes before the trade.
- Post-Trade BBO Data: Best bid and offer prices and sizes after the trade.
- Option Greeks: Delta, Gamma, Theta, Vega, and Rho values associated with the traded option.
- Open Interest: The number of outstanding contracts before and after the trade, along with the trade’s impact on open interest.
- Directional Indicators: Metrics indicating whether the trade was buyer- or seller-initiated.
API Endpoints
/Decorated TradesAvailability
| Exchange | Start Date (YYYY-MM-DD) | Granularity |
|---|---|---|
| Binance | 2025-03-07 | Tick-level |
| Deribit | 2021-09-01 | Tick-level |
| Bybit, Lyra, Thalex, OKEx (OKX) | 2024-06-01 | Tick-level |
Frequently Asked Questions
How do Decorated Trades differ from Undecorated Trades?- Decorated Trades include enriched data with pre-trade and post-trade BBOs, traded prices, sizes, implied volatilities, and additional metrics such as underlying futures prices and open interest impacts. Undecorated Trades provides raw times and sales data without this integrated quote data.