get https://api.amberdata.com/market/options/order-book-snapshots//historical
Provides detailed historical snapshots of options order books, including bid and ask levels, underlying prices, market statistics, open interest, and Greeks, enabling in-depth analysis of market depth and options pricing over time across supported exchanges.
Time Range Limit
The maximum time range (difference between startDate and endDate) is 1 hour.
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 | array | 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 | null | The nanoseconds decimal part of the timestamp. |
| data[].underlyingPrice | number | null | Underlying price for implied volatility calculations. |
| data[].underlyingIndex | string | null | Name of the underlying future, or indexPrice. |
| data[].stats | object | null | |
| data[].stats.high | number | null | Highest price during 24h. |
| data[].stats.low | number | null | Lowest price during 24h. |
| data[].stats.price_change | number | null | 24-hour price change expressed as a percentage, null if there weren't any trades. |
| data[].stats.volume | number | null | Volume during last 24h in base currency. |
| data[].state | string | null | The state of the order book. Possible values are open and closed. |
| data[].openInterest | number | null | The amount of corresponding cryptocurrency contracts, e.g., BTC or ETH. |
| data[].minPrice | number | null | The minimum price for the future. Any sell orders you submit lower than this price will be clamped to this minimum. |
| data[].maxPrice | number | null | The maximum price for the future. Any buy orders you submit higher than this price, will be clamped to this maximum. |
| data[].markPrice | number | null | The mark price for the instrument. |
| data[].markIv | number | null | Implied volatility for mark price. |
| data[].lastPrice | number | null | The price for the last trade. |
| data[].interestRate | number | null | Interest rate used in implied volatility calculations. |
| data[].indexPrice | number | null | Current index price |
| data[].greeks | object | null | |
| data[].greeks.delta | number | null | The delta value for the option. |
| data[].greeks.gamma | number | null | The gamma value for the option. |
| data[].greeks.rho | number | null | The rho value for the option. |
| data[].greeks.theta | number | null | The theta value for the option. |
| data[].greeks.vega | number | null | The vega value for the option. |
| data[].estimatedDeliveryPrice | number | null | The settlement price for the instrument. Only when state = open. |
| data[].bids | array of [price, amount] | List of bids. |
| data[].bidIv | number | null | Implied volatility for best bid. |
| data[].bestBidPrice | number | null | The current best bid price, null if there aren't any bids. |
| data[].bestBidAmount | number | null | It represents the requested order size of all best bids. |
| data[].bestAskPrice | number | null | The current best ask price, null if there aren't any asks. |
| data[].bestAskAmount | number | null | It represents the requested order size of all best asks. |
| data[].asks | array of [price, amount] | List of asks. |
| data[].askIv | number | null | Implied volatility for best ask. |
| data[].sequence | number | null | The sequence number (equal to null if it is not provided by the exchange). |
| data[].metadata | object | null |