Provides historical order book events for options contracts, detailing bid and ask levels, volumes, and order counts at specific timestamps to track market depth and activity over time across supported exchanges.
⚠️ IMPORTANT UPDATE ⚠️
Important Update
The old endpoint
https://api.amberdata.com/market/options/order-book-events/{instrument}/historicalhas been updated tohttps://api.amberdata.com/markets/options/order-book-events/{instrument}and is no longer being supported. Please update your integrations accordingly.See changes here
- Endpoint URL Change:
- Old:
https://api.amberdata.com/market/options/order-book-events/{instrument}/historical- New:
https://api.amberdata.com/markets/options/order-book-events/{instrument}- Metadata Changes:
startDateandendDatefields removed from the responsenextandapi-versionfields added to the response- Data Structure Changes:
- The structure of the data array remains largely the same, but there are some additional fields in the new schema.
- Field Value Changes:
- Field names and values are largely consistent, but note the renaming of
timestamptoexchangeTimestampand the addition ofinstrumentandexchangeTimestampNanoseconds- Other
- The
exchangeparameter is now required.- The
timeIntervalparameter is no longer supported.- Include the
Accept-Encoding:header in your API requests to take advantage of compressed responses.
Time Range Limit
The maximum time range (difference between startDate and endDate) is 1 hour.
In order to get more than the maximum allowed, you can use the
startDate&endDateparameters to move the time frame window to get the next n days/hours/minutes of data.This endpoint is used to retrieve historical data only and is updated every hour. If your query does not return any data, try the hour before using the
startDate&endDateparameters.
Not specifying startDate and endDate
If the startDate and endDate query parameters are not provided, the API will return the data from the previous 10 minutes.
RESPONSE DATA
| Field | Type | Description |
|---|---|---|
| metadata | object | The metadata associated with the data. |
| metadata.columns | array | The name of the columns associated with the returned liquidation data. |
| metadata.startDate | number | string | The first date/time for which data is available. |
| metadata.endDate | number | string | The last date/time for which data is available. |
| data | object | The order book data corresponding to the columns fields, aggregated by exchange. |
| data[].exchange | string | The name of the exchange, as specified by the filter provided or representing the supported exchanges for this instrument. |
| data[].timestamp | number | string | The time at which the event occurred. |
| data[].timestampNanoseconds | number | The nanoseconds decimal part of the timestamp. |
| data[].isBid | boolean | true if the order is a bid, false otherwise. |
| data[].price | number | Price level in the order book. |
| data[].amount | number | The number of contracts at the price level (an amount of zero indicates a delete from the order book). |
| data[].sequence | number | The sequence number (equal to null if it is not provided by the exchange). |