ThetaData
Search K

Appearance

Fetch information about stocks/equities from Theta Data.

Subscription Required

You must have a Standard or Pro Theta Data subscription, and Theta Data terminal running to use this Excel add-in!

STOCK_SNAPSHOT ​

Real-time stock data.

Parameters

  • req_type - The type of the request (see below).
  • [root] - Optional ticker symbol for the security; all tickers if not provided.

Snapshot Request Types ​

  • quote - Retrieve a real-time or 15-minute delayed BBO quote from the Nasdaq Basic or UTP & CTA feed depending upon the subscription.
  • ohlc - Retrieve a real-time or 15-minute delayed session OHLC from the Nasdaq Basic or UTP & CTA feed depending upon the subscription.
  • trade - Retrieve a real-time last trade from the Nasdaq Basic feed.

STOCK_AT_TIME ​

Stock data at a specific millisecond of the day.

Parameters

  • req_type - The type of the request (see below).
  • start_date - The start date (inclusive) of the request formatted as YYYY-MM-DD.
  • end_date - The end date (inclusive) of the request formatted as YYYY-MM-DD.
  • root - Required ticker symbol for the security (i.e. AAPL).
  • ivl - The milliseconds since 00:00:00.000 ET. The function will return the last row of data prior to this timestamp, or the entire day if not specified.

At-Time Request Types ​

  • quote - Retrieve the last NBBO quote at a specified millisecond of the day.
  • trade - Retrieve the last trade at a specified millisecond of the day.

STOCK_HISTORY ​

Historic stock data.

Parameters

  • req_type - The type of the request (see below).
  • start_date - The start date (inclusive) of the request formatted as YYYY-MM-DD.
  • end_date - The end date (inclusive) of the request formatted as YYYY-MM-DD.
  • root - Required ticker symbol for the security (i.e. AAPL).
  • [ivl] - The interval size in milliseconds, or tick-level data if omitted.

History Request Types ​

  • quote - Retrieve every NBBO quote reported by UTP and CTA.
  • ohlc - Aggregated OHLC bars that use SIP rules for each bar.
  • eod - Theta Data generated national EOD report.
  • trade - Retrieve every trade reported by UTP & CTA.
  • trade_quote - Retrieve every trade reported by UTP & CTA paired with the last BBO quote reported by UTP or CTA at the time of trade.
  • split - Retrieve daily last split message.
  • dividend - Retrieve stock dividend message.