Note: Our data buckets are configured as Requester Pays buckets, meaning your company will be responsible for any Amazon data transfer fees incurred during downloads. To access the data, you must include the following in your request headers: Header: x-amz-request-payer: requester or Parameter: --request-payer requester(for CLI requests).

Ensure this setting is included in all requests to avoid access issues.

Derivative Analytics Datasets

Market Type	Sample Files
Decorated Trades	Download
Delta Surface Constant	Download
Delta Surface Floating	Download
Level 1 Quote	Download

Derivative Analytics Data Fields & Descriptions

Decorated Trades

Field	Description
tradeId	The id of the trade.
instrumentNormalized	The name of the instrument in Amberdata format.
blockTradeId	The id of the block trade.
currency	The currency
delta	The greek delta value of the underlying option.
exchangeTimestamp	The date & time as provided by the exchange.
expirationTimestamp	The expiration timestamp.
gamma	The greek gamma value of the underlying option.
indexPrice	The index price (spot).
instrument	The name of the instrument as provided by exchange.
isBuySide	Indicates whether the trade was on the buy side (true) or sell side (false).
liquidation	True if the trade is the result of a liquidation.
numberOfLegs	The number of legs in the block trade.
openInterestChange	The change in open interest.
postTradeAskIv	The post-trade ask implied volatility.
postTradeAskPrice	The post-trade ask price.
postTradeAskVolume	The post-trade ask size.
postTradeBidIv	The post-trade bid implied volatility.
postTradeBidPrice	The post-trade bid price.
postTradeBidVolume	The post-trade bid size.
postTradeMarkIv	The post-trade mark implied volatility.
postTradeMarkPrice	The post-trade mark price.
postTradeMidIv	The post-trade mid implied volatility.
postTradeMidPrice	The post-trade mid price.
postTradeOpenInterest	The post-trade open interest.
postTradeOrderbookTimestamp	The timestamp of the order post-trade.
preTradeAskIv	The pre-trade ask implied volatility.
preTradeAskPrice	The pre-trade ask price.
preTradeAskVolume	The pre-trade ask size.
preTradeBidIv	The pre-trade bid implied volatility.
preTradeBidPrice	The pre-trade bid price.
preTradeBidVolume	The pre-trade bid size.
preTradeMarkIv	The pre-trade mark implied volatility.
preTradeMarkPrice	The pre-trade mark price.
preTradeMidIv	The pre-trade mid implied volatility.
preTradeMidPrice	The pre-trade mid price.
preTradeOpenInterest	The pre-trade open interest.
preTradeOrderbookTimestamp	The timestamp of the order pre-trade.
price	The trade price.
priceHigh24h	The highest trade price in the past 24 hours.
priceLow24h	The lowest trade price in the past 24 hours.
priceUsd	The trade price (notional value).
putCall	Whether this record is a put or a call.
rho	The greek rho value of the underlying option.
sequence	The sequence number for the trade data provided by the exchange; if available.
strike	The strike price.
theta	The greek theta value of the underlying option.
tickDirection	The direction of the tick.
tradeAmount	The trade size.
tradeIv	The trade implied volatility.
underlyingPrice	The underlying price (ex: Deribit options are future options, the underlying is not spot but the corresponding future).
vega	The greek vega value of the underlying option.
volume24h	This is the 24hr rolling volume.

Delta Surface Constant

Field	Description
hifiTimestamp	This is the data timestamp
daysToExpiration	Remaining DTE (daysToExpiration).
currency	The currency.
atm	The "at-the-money" implied volatility. This is weighted between the closest OTM put and closest OTM call. The weights are proportional to the distance of the strike prices vs underlying price.
delta50	This is the IV for the selected delta point on the curve.
deltaCall05	This is the IV for the selected delta point on the curve.
deltaCall10	This is the IV for the selected delta point on the curve.
deltaCall15	This is the IV for the selected delta point on the curve.
deltaCall20	This is the IV for the selected delta point on the curve.
deltaCall25	This is the IV for the selected delta point on the curve.
deltaCall30	This is the IV for the selected delta point on the curve.
deltaCall35	This is the IV for the selected delta point on the curve.
deltaCall40	This is the IV for the selected delta point on the curve.
deltaCall45	This is the IV for the selected delta point on the curve.
deltaPut05	This is the IV for the selected delta point on the curve.
deltaPut10	This is the IV for the selected delta point on the curve.
deltaPut15	This is the IV for the selected delta point on the curve.
deltaPut20	This is the IV for the selected delta point on the curve.
deltaPut25	This is the IV for the selected delta point on the curve.
deltaPut30	This is the IV for the selected delta point on the curve.
deltaPut35	This is the IV for the selected delta point on the curve.
deltaPut40	This is the IV for the selected delta point on the curve.
deltaPut45	This is the IV for the selected delta point on the curve.
expirationTimestamp	This is the option expiration date.
indexPrice	The index price (spot).
multiplier	The contract multiplier.
openInterest	The open interest at the time of this record.
underlyingPrice	Underlying futures price with the corresponding DTE.

Delta Surface Floating

Field	Description
hifiTimestamp	This is the data timestamp
expirationTimestamp	This is the option expiration date.
currency	The currency.
atm	The "at-the-money" implied volatility. This is weighted between the closest OTM put and closest OTM call. The weights are proportional to the distance of the strike prices vs underlying price.
daysToExpiration	Remaining DTE (daysToExpiration).
delta50	This is the IV for the selected delta point on the curve.
deltaCall05	This is the IV for the selected delta point on the curve.
deltaCall10	This is the IV for the selected delta point on the curve.
deltaCall15	This is the IV for the selected delta point on the curve.
deltaCall20	This is the IV for the selected delta point on the curve.
deltaCall25	This is the IV for the selected delta point on the curve.
deltaCall30	This is the IV for the selected delta point on the curve.
deltaCall35	This is the IV for the selected delta point on the curve.
deltaCall40	This is the IV for the selected delta point on the curve.
deltaCall45	This is the IV for the selected delta point on the curve.
deltaPut05	This is the IV for the selected delta point on the curve.
deltaPut10	This is the IV for the selected delta point on the curve.
deltaPut15	This is the IV for the selected delta point on the curve.
deltaPut20	This is the IV for the selected delta point on the curve.
deltaPut25	This is the IV for the selected delta point on the curve.
deltaPut30	This is the IV for the selected delta point on the curve.
deltaPut35	This is the IV for the selected delta point on the curve.
deltaPut40	This is the IV for the selected delta point on the curve.
deltaPut45	This is the IV for the selected delta point on the curve.
indexPrice	The index price (spot).
multiplier	The contract multiplier.
openInterest	The open interest at the time of this record.
underlyingPrice	Underlying futures price with the corresponding DTE.

Level 1 Quote

Field	Description
ask	The ask.
askIv	The ask implied volatility.
askVolume	The ask size.
bid	The bid.
bidIv	The bid implied volatility.
bidVolume	The bid size.
currency	The currency.
delta	The greek delta value of the underlying option.
exchangeTimestamp	The date & time as provided by the exchange.
expirationTimestamp	The expiration timestamp.
gamma	The greek gamma value of the underlying option.
hifiTimestamp	The date & time of the aggregated record.
indexPrice	The index price (spot).
instrument	The name of the instrument as provided by exchange.
instrumentNormalized	The name of the instrument in Amberdata format.
isAtm	The "at-the-money" flag for the given expiration cycle. Each expiration has exactly one ATM put and ATM call.
isCarryForward	Whether this record was a carry forward from the previous data point (if there is not quote updates, the most recent quote is carried forward).
isExchangeProvidedGreeks	Whether the Greeks were provided by the exchange or calculated by Amberdata.
markIv	The mark implied volatility.
markPrice	The mark price.
multiplier	The contract multiplier.
openInterest	The open interest at the time of this record.
putCall	Whether this record is a put or a call.
rho	The greek rho value of the underlying option.
strike	The strike price.
theta	The greek theta value of the underlying option.
underlyingPrice	The underlying price (ex: Deribit options are future options, the underlying is not spot but the corresponding future).
vega	The greek vega value of the underlying option.
volume	This is the 24hr rolling volume.

FAQs

Why is delivery via S3 important?

With data in S3, our customers can bulk download historical data in an analytics friendly format. This allows them to dig deep into the data and perform their own proprietary research and test trading strategies without being limited by our REST API throughput.

How does a customer get access to these datasets?

Customers will need to have their own AWS credentials in which we will provision for S3 access. If you are interested in downloading data via S3, please contact your Account Executive.

Why Parquet format instead of a GZIP compressed JSON file?

Parquet is a columnar storage format for structured data that is optimized for querying and analysis. In Parquet format, data is stored in columns rather than rows, allowing for more efficient compression and encoding of data. This can result in significant performance improvements for analytical workloads that involve large datasets and complex queries. Parquet is widely used in big data environments for data warehousing, analytics, and machine learning applications and can be easily integrated into existing data pipelines.

How do I download a parquet sample file and open it to see which fields are returned?

If you only want to see the fields, simply download the sample parquet file, load it as a pandas dataframe in Python and use dataframe.dtypes, that'll give you a quick output of the field types. Here is the code available for you to try out:

#Import the pandas library
import pandas as pd

# Replace 'your_parquet_file.parquet' with the path to your Parquet file
parquet_file = 'your_parquet_file.parquet'

# Load the Parquet file as a pandas DataFrame
df = pd.read_parquet(parquet_file)

# Display the data types of the DataFrame
print(df.dtypes)

Now if you wanted to actually read the parquet data, once you've downloaded the sample parquet file, you can run the following Python code:

#Import the pandas library
import pandas as pd   

# Replace 'your_parquet_file.parquet' with the path to your Parquet file
parquet_file = 'your_parquet_file.parquet' 

pd.read_parquet(parquet_file, engine='pyarrow')