Unusual Options Screener API
General overview
dxFeed Unusual Options Screener is a streaming WebSocket-based SaaS API allowing to filter out unusual option Trade events-based on user-defined criteria. An application using this API shall execute the following flow:
Connect to the appropriate WebSocket endpoint.
Subscribe to the required unusual options feed.
Subscription request
dxFeed Unusual Options Screener subscribes a user to the OPRA feed options Trade, Summary, and TimeAndSale events, merged with CTA/UTP trades. One can subscribe to the unusual options feed of interest, sending a JSON formed message containing following fields:
Filters (optional), where several predefined filters could be specified
And/or script (optional)
Symbols (mandatory), use specific symbols to filter options by certain underlying(s), or
*for the whole option universe
While optional, either filters or script need to be specified. Scripts are expressions of out = function form, where function shall be a boolean function written with dxScript. When several filters and/or script are specified, a merged event is returned if either of them holds true for the event.
Merged feed fields
When used in the script expressions, merged event fields shall be referenced as mergedOption.field. Currently, dxFeed Unusual Options Screener supports the following fields:
Response payload | Script expression | Description |
|---|---|---|
us | underlyingSymbol | Symbol of the option underlying |
up | underlyingPrice | Price of the option underlying at the time of option trade |
s | symbol | Option symbol |
clp | callPut | Is option call or put, |
e | expiration | Option expiration date (day number since 1 January 1970) |
st | strike | Option strike |
p | price | Option price |
sz | size | Option size |
bp | bidPrice | Option bid |
ap | askPrice | Option ask |
sc | saleConditions | Option TimeAndSale Sale Condition |
v | volume | Option trade volume |
oi | openInterest | Option open interest |
t | n/a | Option trade timestamp |
Auxiliary functions
Additionally, to generic dxScript capabilities, dxFeed Unusual Options Screener supports the following functions in the script expression:
nowDayId() - returns current day number since 1 January 1970
eventDay() - day number of the original event since 1 January 1970
Example subscription request
{
"filters": [
"dxLarge",
"dxSpeculative"
],
"script": "out = mergedOption.strike > 50",
"symbols": [
"AMZN",
"TSLA"
]
}Sample response
{
"us": "BTCUSDT:CXBINA",
"up": 49904.56704003,
"s": ".BTC321090321C50000:CXBINA",
"clp": "C",
"e": 20210903,
"st": 50000,
"p": 633.43,
"sz": 0.003,
"bp": 633.43,
"ap": 744.93,
"dv": 1.183,
"oi": 0,
"t" : 1633342593694
}Predefined filters
dxFeed Unusual Options Screener supports the following predefined filters:
Name | Description | Script |
|---|---|---|
dxOutliers | dxFeed AI-powered proprietary filter | n/a |
dxLarge | Large option trades | "script": "out = mergedOption.price*mergedOption.size > 10000" |
dxSpeculative | Speculative trades | "script": "out = mergedOption.price < 0.5 && (mergedOption.expiration - nowDayId() < 14) && mergedOption.size > 50" |
Ping/Pong
WebSocket specification introduces ping/pong functionality, which is supported by the dxFeed Unusual Options Screener. Read more