Greeks Data¶

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

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.start_sdk import InitNubraSdk, NubraEnv

nubra = InitNubraSdk(NubraEnv.PROD, env_creds=True)
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(["1058227"], data_type="greeks", exchange="NSE")
socket.keep_running()

Subscription Contract¶

Parameter	Type	Required	Meaning
`ref_ids`	`list[str]`	yes	option reference IDs
`data_type`	`str`	yes	must be `greeks`
`exchange`	`str`	no	exchange override

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.
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.
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.