Options Greeks & Strategy APIs FAQs¶

Below are the most common questions related to real-time Options Greeks, multi-leg strategy execution, automation of adjustments, and latency details. Click any question to expand the detailed answer.

Real-Time Greeks & Analytics¶

How do I fetch real-time Options Greeks from Nubra?

Nubra provides real-time Greeks through two methods:

Via WebSocket — for streaming live Greeks (recommended)¶

You can subscribe to the option instrument using the WebSocket API.

Every tick delivered via the on_option_data callback includes:

IV (Implied Volatility)
Delta
Gamma
Theta
Vega
OI / OI change
LTP / LTP change
Volume
Timestamp
ATM strike
Full CE/PE chain snapshot

Example:

socket.subscribe(["NIFTY:20250626"], data_type="option", exchange="NSE")

Real-time updates flow through:

def on_option_data(msg):
    print("[OPTION]", msg)

The WebSocket delivers continuous Greeks updates in every tick using OptionData:

class OptionData:
    iv: float
    delta: float
    gamma: float
    theta: float
    vega: float

Via REST — for snapshot Greeks¶

Use the Option Chain API:

nubra = InitNubraSdk(NubraEnv.PROD)
mdInstance = MarketData(nubra)
result = mdInstance.option_chain("NIFTY", exchange="NSE")

This returns the entire option chain with CE/PE Greeks included.

WebSocket = real-time streaming
REST = single snapshot

Both offer complete Greeks for all strikes.

Need more assistance?

What are the latency and refresh intervals for Greeks data?

Nubra does not apply a fixed refresh interval or polling frequency to Greeks.

Instead, Greeks are pushed in real time whenever the underlying market data updates.

In other words:

No fixed latency target is defined yet
No periodic refresh cycle
Greeks are recalculated and streamed immediately on every data update (tick-by-tick)

Need more assistance?

Can I use Greeks to calculate implied volatility or delta-neutral strategies?

Yes. Nubra gives you all data required for IV modeling or delta-neutral hedging:

You receive:

IV
Delta
Gamma
Theta
Vega
ATM strike
Current underlying price
Bid/Ask
OI / Volume
Timestamps

This allows you to build:

Delta-neutral hedges
Gamma scalping systems
Theta decay models
IV crush / IV expansion strategies
Custom IV estimators
Black-Scholes recalculations using streaming inputs

Most users:

Consume real-time Greeks via WebSocket
Use REST for strike-by-strike snapshots
Build triggers based on delta, IV, skew, etc.
Execute orders via create_order, multi_order, or flexi_order

All Greeks can be piped directly into strategy logic.

Need more assistance?

Strategy Execution & Adjustment¶

Are multi-leg (straddle, strangle, spread) APIs supported directly?

Yes — through Flexi Basket Order, which is built specifically for multi-leg strategies.

You can execute:

Straddles
Strangles
Vertical spreads
Ratio spreads
Iron condors (same underlying)
Directional debit/credit spreads
Any multi-legged options structure

The Flexi Basket API allows:

Multiple legs
Unified entry price
Basket-level stop-loss
Basket-level target
Basket-level exit time
Momentum triggers
Qty multipliers
OCO (SL/Target only one triggers)

Example:

result = trade.flexi_order({
    "exchange": "NSE",
    "basket_name": "OptionStrategy",
    "orders": [
        {"ref_id": ce_ref, "order_qty": 1, "order_side": "ORDER_SIDE_BUY"},
        {"ref_id": pe_ref, "order_qty": 1, "order_side": "ORDER_SIDE_SELL"}
    ],
    "basket_params": {
        "order_side": "ORDER_SIDE_BUY",
        "price_type": "LIMIT",
        "entry_price": 72000,
        "multiplier": 2
    }
})