Definition

The "Decorated Trades" endpoint provides a comprehensive view of options trades for ETFs and crypto-related equities, enriched with detailed data that goes beyond raw trade information. It includes pre-trade and post-trade Best Bid and Offer (BBO) data, enabling users to analyze trades in the context of market conditions at the time.
This endpoint captures traded prices, sizes, and implied volatilities, comparing them with the best bid and ask prices and sizes. Additionally, it incorporates underlying index or spot prices at the time of the trade, pre-trade and post-trade open interest, and the impact of the trade on open interest levels. The enriched data set supports the development of proprietary heuristics to evaluate each trade from the taker’s perspective, assuming that dealers act as passive counterparties.

In contrast, "Undecorated Trades" are raw trade data that lack integration with Level 1 quote data due to the unavailability of such information at the time of the trade. This distinction highlights the added value of decorated trade data for in-depth analysis.

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Details

The "Decorated Trades" endpoint provides the following data fields for a 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

/markets/derivatives/analytics/trades-flow/decorated-trades/tradfi

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Availability

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Frequently Asked Questions