market:options:order:snapshots

Once you're connected to this subscription: wss://ws.amberdata.com/options, every subscription message must include an explicit instrument. This is mandatory across all market types.

You must always specify the instrument.
For Futures and Options, you must also include the exchange field.

See here for more details and examples.

Request

{
  "jsonrpc" : "2.0",
  "id"      : 1,
  "method"  : "subscribe",
  "params"  : [ "market:options:order:snapshots", { "instrument": "BTC-24JUN22-15000-P", "exchange": "deribit" } ]
}

Param	Type	Description
instrument	`string`	The asset instrument. (REQUIRED)
exchange	`string`	The exchange for which to retrieve asset instruments. (OPTIONAL)

Response

{
    "jsonrpc": "2.0",
    "method": "subscription",
    "params": {
        "subscription": "cd09d018-fa34-408d-aef7-8a5ef2c641b3",
        "result": {
            "exchange": "deribit",
            "instrument": "BTC-12APR24-71000-C",
            "timestamp": 1711571460000,
            "exchangeTimestamp": 1711571461951,
            "exchangeTimestampNanoseconds": 0,
            "underlyingPrice": 69599.7133,
            "underlyingIndex": "SYN.BTC-12APR24",
            "stats": {
                "volume_usd": 376871.48,
                "volume": 88.7,
                "price_change": -16.9492,
                "low": 0.049,
                "high": 0.0669
            },
            "state": "open",
            "openInterest": 293.2,
            "minPrice": 0.017,
            "maxPrice": 0.1,
            "markPrice": 0.0477,
            "markIv": 69.04,
            "lastPrice": 0.049,
            "interestRate": 0,
            "indexPrice": 68922.78,
            "greeks": {
                "rho": 12.53638,
                "theta": -127.22042,
                "vega": 57.04281,
                "gamma": 0.00004,
                "delta": 0.47249
            },
            "estimatedDeliveryPrice": 68922.78,
            "bids": [
                [
                    0.0475,
                    4.7
                ],
                [
                    0.047,
                    53.7
                ],
                [
                    0.0465,
                    13.4
                ]
            ],
            "bidIv": 68.75,
            "bestBidPrice": 0.0475,
            "bestBidAmount": 4.7,
            "bestAskPrice": 0.0485,
            "bestAskAmount": 26.4,
            "asks": [
                [
                    0.0485,
                    26.4
                ],
                [
                    0.049,
                    38.8
                ],
                [
                    0.0495,
                    8
                ]
            ],
            "askIv": 69.97,
            "sequence": 68116518368,
            "metadata": {
                "settlementPrice": 0.05367167
            }
        }
    }
}

Field	Type	Description
exchange	`string`	The exchange.
instrument	`string`	The instrument.
timestamp	`number`	The time at which the order book snapshot took place.
exchangeTimestamp	`number \	null`	Timestamp that the exchange returned.
exchangeTimestampNanoseconds	`number \	null`	Nanoseconds part of `exchangeTimestamp`.
underlyingPrice	`number \	null`	Underlying price for implied volatility calculations.
underlyingIndex	`string \	null`	Name of the underlying future, or `indexPrice`.
stats	`object \	null`
stats.high	`number \	null`	Highest price during 24h.
stats.low	`number \	null`	Lowest price during 24h.
stats.price_change	`number \	null`	24-hour price change expressed as a percentage, null if there weren't any trades.
stats.volume	`number \	null`	Volume during last 24h in base currency.
stats.volume_usd	`number \	null`
state	`string \	null`	The state of the order book. Possible values are `open` and `closed`.
openInterest	`number \	null`	The amount of corresponding cryptocurrency contracts, e.g., BTC or ETH.
minPrice	`number \	null`	The minimum price for the future. Any sell orders you submit lower than this price will be clamped to this minimum.
maxPrice	`number \	null`	The maximum price for the future. Any buy orders you submit higher than this price, will be clamped to this maximum.
markPrice	`number \	null`	The mark price for the instrument.
markIv	`number \	null`	Implied volatility for mark price.
lastPrice	`number \	null`	The price for the last trade.
interestRate	`number \	null`	Interest rate used in implied volatility calculations.
indexPrice	`number \	null`	Current index price
greeks	`object \	null`
greeks.delta	`number \	null`	The delta value for the option.
greeks.gamma	`number \	null`	The gamma value for the option.
greeks.rho	`number \	null`	The rho value for the option.
greeks.theta	`number \	null`	The theta value for the option.
greeks.vega	`number \	null`	The vega value for the option.
estimatedDeliveryPrice	`number \	null`	The settlement price for the instrument. Only when `state = open`.
bids	`array of [price, amount]`	List of bids.
bidIv	`number \	null`	Implied volatility for best bid.
bestBidPrice	`number \	null`	The current best bid price, `null` if there aren't any bids.
bestBidAmount	`number \	null`	It represents the requested order size of all best bids.
bestAskPrice	`number \	null`	The current best ask price, `null` if there aren't any asks.
bestAskAmount	`number \	null`	It represents the requested order size of all best asks.
asks	`array of [price, amount]`	List of asks.
askIv	`number \	null`	Implied volatility for best ask.
sequence	`number \	null`
metadata	`object \	null`

Example

const WebSocket = require('ws');
const ws = new WebSocket('wss://ws.amberdata.com/options', {headers: {x-api-key:'<api_key>'}});

ws.on('open', () => {
  ws.send(JSON.stringify({
      jsonrpc: '2.0',
      method: 'subscribe',
      params: ['market:options:order:snapshots'],
      id: 1,
    }));
});

ws.on('message', data => {
  console.log(JSON.stringify(JSON.parse(data), null, 2));
});