ThetaData

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Price ​

ValueStandardPro

REQUIRED

The Theta Terminal must be running to access data.

Behavior

  • Retrieves historical indices price reports. Exchanges typically generate a price report every second for popular indices like SPX.
  • The highest granularity data available is returned if the ivl parameter isn't specified.
  • When the ivl parameter is specified, the returned data represents the price at the exact time of each timestamp. If the timestamp in the response is 10:30:00, the price field represents the price at that exact time of the day.
  • A price update from the exchange is omitted if the price remained the same from the previous update.

Sample URL

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

http://127.0.0.1:25510/v2/hist/index/price?root=SPX&start_date=20240102&end_date=20240102&ivl=900000

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
ivl  -

The interval size in milliseconds. 1 minute intervals is 60000. Omitting this value or setting it to 0will provide tick-level data instead of aggregated / intervalized data.

Type: integer (Default: 0)
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