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ThetaData-API / thetadata-python

Real-time & historical data API for US stocks and options
https://thetadata.net
MIT License
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What is the aggregation when requesting quotes with interval size? #18

Closed PedroGFonseca closed 1 year ago

PedroGFonseca commented 1 year ago

My apologies if this is a stupid question.

When I request quotes on other exchanges every X minutes usually there is a "High" and "Low" (as it is for a period) but with get_hist_option it seems to be a single number. What is the aggregation that's being done?

ThetaData-API commented 1 year ago

Each interval is a millisecond of the day. We provide the exact quote at each interval. Whatever the last quote is at the exact time is the computed value. You can use OHLC_QUOTE to receive aggregated ohlc for quotes. Our REST API documents behavior of this much more than Python does. For API support, I highly recommend you join our discord server for faster replies: https://discord.thetadata.us.

PedroGFonseca commented 1 year ago

Ah so it's not aggregated it's just subset, makes sense