Greeks Data¶

The greeks realtime stream delivers continuously updating option Greeks and related option fields for a subscribed option contract.

This stream supports eligible option contracts from NSE, BSE, and MCX.

LLM guidance

Use this page when the application needs live Greeks for one or more option ref_id values. Use snapshot option-chain APIs for one-time inspection instead of continuously updating Greeks.

Basic Usage¶

from nubra_python_sdk.ticker import websocketdata
from nubra_python_sdk.marketdata.market_data import MarketData
from nubra_python_sdk.start_sdk import InitNubraSdk, NubraEnv

nubra = InitNubraSdk(NubraEnv.PROD, env_creds=True)
market_data = MarketData(nubra)

def get_atm_call_ref_id(instrument, exchange):
    chain = market_data.option_chain(instrument, exchange=exchange).chain
    atm_ce = next(
        (opt for opt in chain.ce if opt.strike_price == chain.at_the_money_strike),
        chain.ce[0],
    )
    return str(atm_ce.ref_id)

nse_option_ref_id = get_atm_call_ref_id("NIFTY", "NSE")
bse_option_ref_id = get_atm_call_ref_id("SENSEX", "BSE")
mcx_option_ref_id = get_atm_call_ref_id("CRUDEOIL", "MCX")

def on_greeks_data(msg):
    print("[GREEKS]", msg)

def on_connect(msg):
    print("[status]", msg)

def on_close(reason):
    print(f"Closed: {reason}")

def on_error(err):
    print(f"Error: {err}")

socket = websocketdata.NubraDataSocket(
    client=nubra,
    on_greeks_data=on_greeks_data,
    on_connect=on_connect,
    on_close=on_close,
    on_error=on_error,
)

socket.connect()
socket.subscribe([nse_option_ref_id], data_type="greeks")
socket.subscribe([bse_option_ref_id], data_type="greeks")
socket.subscribe([mcx_option_ref_id], data_type="greeks")
socket.keep_running()

Subscription Contract¶

Parameter	Type	Required	Meaning
`ref_ids`	`list[str]`	yes	option reference IDs
`data_type`	`str`	yes	must be `greeks`

Response Shape¶

Response Shape

class OptionData:
    ref_id: int
    timestamp: int
    strike_price: int
    lot_size: int
    last_traded_price: int | None
    last_traded_price_change: float | None
    iv: float | None
    delta: float | None
    gamma: float | None
    theta: float | None
    vega: float | None
    volume: int | None
    open_interest: int | None
    previous_open_interest: int | None

Response Contract¶

Field	Type	Meaning
`ref_id`	`int`	option instrument identifier
`timestamp`	`int`	event timestamp
`strike_price`	`int`	strike price
`lot_size`	`int`	lot size
`last_traded_price`	`int`	latest traded option price
`last_traded_price_change`	`float`	option price change field
`iv`	`float`	implied volatility
`delta`	`float`	delta
`gamma`	`float`	gamma
`theta`	`float`	theta
`vega`	`float`	vega
`volume`	`int`	traded volume
`open_interest`	`int`	open interest
`previous_open_interest`	`int`	previous open interest

Implementation Notes¶

Subscribe using option ref_id, not the underlying symbol.
Use option ref_id values resolved from the matching exchange option-chain snapshot.
This stream is useful when the application needs continuously updating sensitivity metrics.
Use the snapshot option-chain page when you only need one-time inspection.

Important Rules

This is a realtime stream, not a snapshot API.
greeks subscriptions require valid option ref_id values.
Greeks subscriptions support eligible option ref_id values from NSE, BSE, and MCX.
Use Get Instruments to retrieve the latest instrument expiries and resolve the correct option contract before subscribing by ref_id.
Do not reuse environment-specific identifiers across UAT and PROD.
Review Subscription Limits before opening large numbers of subscriptions.