Volume Profile
Returns the volume profile (volume - sweep, floor, cross, ask, bid, etc. - per fill price) for an option symbol on a given trading day. Date must be the current or a past date. If no date is given, returns data for the current/last market day.
Authorizations
Bearer authentication header of the form Bearer <token>, where <token> is your auth token.
Path Parameters
An option contract in the OSI format.
"TSLA230526P00167500"
Query Parameters
A trading date in the format of YYYY-MM-DD. This is optional and by default the last trading date.
"2024-01-18T00:00:00.000Z"
Response
Volume data for an option contract at a specific price level on a particular trading day. Includes breakdowns of volume by trade type (ask, bid, mid, multi-leg, sweep, floor, cross).
The amount of volume that happened on the ask side.
Ask side is defined as (ask + bid) / 2 < fill price.
119403
The amount of volume that happened on the bid side.
Bid side is defined as (ask + bid) / 2 > fill price.
122789
The amount of cross volume. Cross volume consists of all transaction that have the cross trade code.
0
A trading date in ISO format.
"2023-09-08T00:00:00.000Z"
The amount of floor volume. Floor volume consists of all transaction that have the floor trade code.
142
The amount of volume that happened in the middle of the ask and bid.
Mid is defined as (ask + bid) / 2 == fill price.
22707
The amount of volume that happened as part of a multileg trade with another contract. This can be spreads/rolls/condors/butterflies and more.
7486
The fill price of the option trade.
"21.50"
The amount of sweep volume. Sweep volume consists of all transaction that have the sweep trade code.
18260
The amount of transaction for this contract.
39690
The contract volume.
264899
