Weekend Snapshot Availability & More!

Weekend Snapshot Availability

All snapshots are now available during the weekend and immediately after midnight the next trading day.

Datacenter Expansion

Above is a picture of our new 4-cabinet cage in the EWR2 data center. We decided to take this space a few months earlier than we might have needed so we can start building out phase 3 of our network infrastructure, which will include 100G capability and 10/40G ISP uplinks.

Most of our physical space is used by our storage servers, which have a combined capacity of 2 Petabytes. We also have anywhere between 4-8 servers constantly reprocessing our historic data so we can add new analytics or aggregated datapoints for our clients. This cage can support up to 10 cabinets, which gives us plenty of room scale quickly.

 Some of our services will be offline on Saturday October 5th between 11am and 1pm EST while we migrate to this cage. Actual downtime should be limited to 10-20 minutes. Luckily our cage is just 50 feet from our old set of cabinets, so this migration is just a matter of carting over 35 or so servers to the new cage. It will be a long day!

Cornell Trading Competition

Theta Data is a proud sponsor of the Cornell Trading Competition. We will be hosting a competition at the event this year and will be giving away some limited-edition Theta Data swag.

Faster Historical Requests

NVMe is now in production! Below is a quick speed comparison for bulk at time. Any quote-based data with an ivl (interval size in milliseconds) divisible 60,000 (1 minute) will see significant speed increases. 

New NVMe MDDS

url: http://127.0.0.1:25510/v2/bulk_at_time/option/quote?root=SPXW&exp=0&start_date=20210406&end_date=20210406&ivl=35580000

latency: 3738ms

Old HDD MDDS

url: http://127.0.0.1:25510/v2/bulk_at_time/option/quote?root=SPXW&exp=0&start_date=20210406&end_date=20210406&ivl=35580000

latency: 75418ms

What’s next?: 3:45pm EOD Reports

We are 2 weeks away from unveiling full history and a new request for a 3:45pm EOD report that uses quotes and trades as well as backfilling our current EOD history to add quotes for the EOD pricing.

Theta Data Integration with LEAN CLI

Theta Data is happy to share a new integration with the QuantConnect LEAN CLI application. This integration allows you to deploy algorithmic trading strategies far more easily than was previously possible - with all the data and broker connector plumbing handled. 

QuantConnect’s LEAN CLI is a pip package for its open-source algorithm trading engine, LEAN. LEAN supports 11 asset classes and has open-source connectors to 20+ brokerages. Its engine lets you focus on your strategy and avoid writing heavy modeling or connector code. The QuantConnect-Theta Data plugin is completely open-source and will be maintained and extended as we grow.

QuantConnect's potential is pretty epic. With a few lines of Python code, you can search through thousands of options contracts, sort, and filter on greeks, and invest with complex strategies. Unlike any other platform in the world, LEAN can handle accurate backtesting of your option margin used in derivative and hedging strategies. 

The plugin supports downloading data in LEAN format, backtesting, jupyter research, parameter optimization, and live trading -- using Tick, Second, and Minute bars on spot asset classes, and minute, hour, daily bars for derivatives . Examples of how to use this integration are below:

Downloading Data:

$ lean data download --data-provider-historical ThetaData --data-type Trade --resolution Daily --security-type Option --ticker NVDA,AMD --start 20240303 --end 20240404 --thetadata-subscription-plan Standard

Backtesting:

$ lean backtest "My Project" --data-provider-historical ThetaData --thetadata-subscription-plan Standard

Research Notebook:

$ lean research "My Project" --data-provider-historical ThetaData --thetadata-subscription-plan Standard

Live Trading:

$ lean live deploy "My Project" --data-provider-live ThetaData --thetadata-subscription-plan Standard --brokerage "Paper Trading"

You can read more about the integration on our QuantConnect integration page.

Live Stocks Data, Dividends & More Features!

*Upgrade your terminal to the latest stable version for the best experience and support.

Equities Data

• Full Trade Stream: Provides every trade reported on the Nasdaq Basic Feed with the last BBO quote at the time of trade.

• Bulk Equity Snapshot: returns a real time last BBO quote or OHLC for every stock from the Nasdaq Basic Feed in 25ms.

• Live Current Day History: By specifying the venue parameter, you can now retrieve real-time, current day historic data for equities.

• Dividends: We now support historical dividend data.

Options Data

• Trade Greeks Performance Boost: You can now specify the perf_boost=true parameter to read 1 second intervals for the underlying instead of tick-level quotes. This significantly improves the speed of historic trades greeks requests. 

• Real-time Option Greeks: All equity option greeks snapshot endpoints use the real-time underlying price as a source.

• Historic All Greeks: We now return 1st, 2nd, and 3rd order greeks in a single response for both trades and quotes.

• List Contracts by Root: You can now list all contracts that were quoted or traded on a specific day for a specific symbol(s).
  

Bulk Historic Data Improvements: You can now request historic data for the entire underlying symbol by specifying exp=0. Below is a list of current exp=0 support. We have also optimized these exp=0 requests to perform less random disk operations than our old method. We have plans to expand this support to other requests like trade_quote and trade_greeks soon.

• Quote (NBBO) 1-minute intervals

• Trades

• EOD

• Bulk at time Quote and Trades
  

Other Cool Features

• Stream Resubscription: Theta Terminal 1.6.3 or later will automatically resubscribe to all previous streams upon a reconnect to Theta Data. This makes weekend maintenances or unexpected disconnects much more graceful.

• Verify Stream Requests: You can now verify if your WebSocket streaming requests were successful.

• Start & End Time: You can now specify the start and end time you’d like to access tick level or intervals data on.

August Timeline 

• Full 12 years of cached and v2 (anything that isn’t quotes) for OPRA options and UTP equities data.

• New EOD reports that use 15:45 ET as the time of generation. A greeks report that uses this time will also follow.

• Everything but tick-level OPRA NBBO will be moved to NVMe storage for faster retrieval.

• Instantaneous availability of data from the previous day.

• Snapshot support after our midnight reset, which would make snapshots work over the weekend.

• Strike range for bulk historic data requests.

September Timeline

• A sandbox week of history that anyone can access, regardless of subscription tier.

• Bulk historic support for other requests.

• Expansion of our presence in the EWR2 campus by over 300%.

• Colocation in the NY4 campus.

• New Website featuring API keys

Password Reset Email

Several days ago, we inadvertently sent out a password reset email for a test site we will deploy sometime in the future. This email can be ignored.