get https://api.amberdata.com/markets/derivatives/analytics/decorated-trades
This endpoint returns option "times and sales" data that's decorated with pre-trade level-1 orderbook data and post-trdae level-1 data. This is the core dataset of the Amberdata direction and GEX "Gamma Exposure" analysis. We use this orderbook impact to analyze the true aggressor of every trade, while assuming that market-makers (aka "dealers") are typically the passive trade participants.
RESPONSE DATA
| Field | Type | Description |
|---|---|---|
| payload.metadata.api-version | string | Version of the API. |
| payload.data[index].blockTradeId | string | The id of the block trade. |
| payload.data[index].currency | string | The currency |
| payload.data[index].delta | number | The greek delta value of the underlying option. |
| payload.data[index].exchange | string | The name of the exchange. |
| payload.data[index].exchangeTimestamp | number | string | The date & time as provided by the exchange. |
| payload.data[index].expirationTimestamp | number | string | The expiration timestamp. |
| payload.data[index].gamma | number | The greek gamma value of the underlying option. |
| payload.data[index].indexPrice | number | The index price (spot). |
| payload.data[index].instrument | string | The name of the instrument as provided by exchange. |
| payload.data[index].instrumentNormalized | string | The name of the instrument in Amberdata format. |
| payload.data[index].liquidation | boolean | True if the trade is the result of a liquidation. |
| payload.data[index].numberOfLegs | number | The number of legs in the block trade. |
| payload.data[index].openInterestChange | number | The change in open interest. |
| payload.data[index].postTradeAskIv | number | The post-trade ask implied volatility. |
| payload.data[index].postTradeAskPrice | The post-trade ask price. | |
| payload.data[index].postTradeAskVolume | number | The post-trade ask size. |
| payload.data[index].postTradeBidIv | number | The post-trade bid implied volatility. |
| payload.data[index].postTradeBidPrice | number | The post-trade bid price. |
| payload.data[index].postTradeBidVolume | number | The post-trade bid size. |
| payload.data[index].postTradeMarkIv | number | The post-trade mark implied volatility. |
| payload.data[index].postTradeMarkPrice | number | The post-trade mark price. |
| payload.data[index].postTradeMidIv | number | The post-trade mid implied volatility. |
| payload.data[index].postTradeMidPrice | number | The post-trade mid price. |
| payload.data[index].postTradeOpenInterest | number | The post-trade open interest. |
| payload.data[index].postTradeOrderBookTimestamp | timestamp | The timestamp of the order post-trade. |
| payload.data[index].preTradeAskIv | number | The pre-trade ask implied volatility. |
| payload.data[index].preTradeAskPrice | number | The pre-trade ask price. |
| payload.data[index].preTradeAskVolume | number | The pre-trade ask size. |
| payload.data[index].preTradeBidIv | number | The pre-trade bid implied volatility. |
| payload.data[index].preTradeBidPrice | number | The pre-trade bid price. |
| payload.data[index].preTradeBidVolume | number | The pre-trade bid size. |
| payload.data[index].preTradeMarkIv | number | The pre-trade mark implied volatility. |
| payload.data[index].preTradeMarkPrice | number | The pre-trade mark price. |
| payload.data[index].preTradeMidIv | number | The pre-trade mid implied volatility. |
| payload.data[index].preTradeMidPrice | number | The pre-trade mid price. |
| payload.data[index].preTradeOpenInterest | number | The pre-trade open interest. |
| payload.data[index].preTradeOrderBookTimestamp | timestamp | The timestamp of the order pre-trade. |
| payload.data[index].price | number | The trade price. |
| payload.data[index].priceLow24h | number | The lowest trade price in the past 24 hours. |
| payload.data[index].priceHigh24h | number | The highest trade price in the past 24 hours. |
| payload.data[index].priceUsd | number | The trade price (notional value). |
| payload.data[index].putCall | string | Whether this record is a put or a call. |
| payload.data[index].rho | number | The greek rho value of the underlying option. |
| payload.data[index].strike | string | The strike price. |
| payload.data[index].theta | number | The greek theta value of the underlying option. |
| payload.data[index].tickDirection | string | The direction of the tick. |
| payload.data[index].tradeAmount | number | The trade size. |
| payload.data[index].tradeId | string | The id of the trade. |
| payload.data[index].tradeIv | number | The trade implied volatility. |
| payload.data[index].underlyingPrice | number | The underlying price (ex: Deribit options are future options, the underlying is not spot but the corresponding future). |
| payload.data[index].vega | number | The greek vega value of the underlying option. |
| payload.data[index].volume24h | number | This is the 24hr rolling volume. |