ThetaData

Appearance

OHLC ​

StandardPro

REQUIRED

The Theta Terminal must be running to access data.

Behavior

  • Aggregated OHLC bars that use SIP rules for each bar. Time timestamp of the bar represents the opening time of the bar.
  • For a trade to be part of the bar: bar time <= trade time < bar timestamp + ivl, where ivl is the specified interval size in milliseconds.
  • Exchanges typically generate a price report every second for popular indices like SPX.

Sample URL

Paste the URL below into your browser while the Theta Terminal is running.

http://127.0.0.1:25510/v2/hist/index/ohlc?root=SPX&start_date=20240102&end_date=20240102&ivl=60000

Parameters ​

Query Parameters

rootRequired  -

The symbol of the security. Option underlyings for indices might have special tickers.

Type: string
start_dateRequired  -

The start date (inclusive) of the request formatted as YYYYMMDD.

Type: integer
end_dateRequired  -

The end date (inclusive) of the request formatted as YYYYMMDD.

Type: integer
ivlRequired  -

The interval size in milliseconds. 1 minute intervals is 60000.

Type: integer
rth  -

If this value is set to false and the request is for aggregated / intervalized data, the response will contain intervals from 00:00:000 ET to 23:59:999 ET. If the ivl is 0 or is unspecified, then rth will be forced to false. This means that all data for the day, even if it was outside regular trading hours would be returned. The default behavior is to only return data during regular trading hours (09:30:00.000 ET to 16:00.000 ET).

Type: boolean (Default: true)
start_time  -

If specified, the response will include all ticks on or after this number of milliseconds since midnight ET.

Type: string
end_time  -

If specified, the response will include all ticks on or before this number of milliseconds since midnight ET.

Type: string
use_csv  -

Output is in comma-separated values if true, legacy JSON if false.

Type: boolean (Default: false)
pretty_time  -

If this value is set to true, ms_of_day and date will take the format of 09:30:00.000 and 2020-01-01; if set to false, ms_of_day will return the timestamp in milliseconds since midnight EST.

Type: boolean (Default: false)

Responses ​

OK

Sample Code

py