thetadatadx 1.0.0

No-JVM ThetaData Terminal — native Rust SDK for direct market data access (Python bindings)

thetadatadx (Python)

Python SDK for ThetaData market data, powered by the thetadatadx Rust crate via PyO3.

This is NOT a Python reimplementation. Every call goes through compiled Rust — gRPC communication, protobuf parsing, zstd decompression, FIT tick decoding, and TCP streaming all happen at native speed. Python is just the interface.

Installation

pip install thetadatadx

Or build from source (requires Rust toolchain):

pip install maturin
maturin develop --release

Quick Start

from thetadatadx import Credentials, Config, DirectClient

# Authenticate and connect
creds = Credentials.from_file("creds.txt")
client = DirectClient(creds, Config.production())

# Fetch end-of-day data
eod = client.stock_history_eod("AAPL", "20240101", "20240301")
for tick in eod:
    print(f"{tick['date']}: O={tick['open']:.2f} H={tick['high']:.2f} "
          f"L={tick['low']:.2f} C={tick['close']:.2f} V={tick['volume']}")

# Intraday 1-minute OHLC bars
bars = client.stock_history_ohlc("AAPL", "20240315", "60000")
print(f"{len(bars)} bars")

# Option chain
exps = client.option_list_expirations("SPY")
strikes = client.option_list_strikes("SPY", exps[0])

Greeks Calculator

Full Black-Scholes calculator with 22 Greeks, running in Rust:

from thetadatadx import all_greeks, implied_volatility

# All Greeks at once
g = all_greeks(
    spot=450.0, strike=455.0, rate=0.05, div_yield=0.015,
    tte=30/365, option_price=8.50, is_call=True
)
print(f"IV={g['iv']:.4f} Delta={g['delta']:.4f} Gamma={g['gamma']:.6f}")

# Just IV
iv, err = implied_volatility(450.0, 455.0, 0.05, 0.015, 30/365, 8.50, True)

API

Credentials

• Credentials(email, password) — direct construction
• Credentials.from_file(path) — load from creds.txt

Config

• Config.production() — ThetaData NJ production servers
• Config.dev() — dev servers with shorter timeouts

DirectClient(creds, config)

All methods return lists of dicts.

Method	Description
stock_list_symbols()	All stock symbols
stock_history_eod(symbol, start, end)	EOD data
stock_history_ohlc(symbol, date, interval)	Intraday OHLC
stock_history_trade(symbol, date)	All trades
stock_history_quote(symbol, date, interval)	NBBO quotes
stock_snapshot_quote(symbols)	Live quote snapshot
option_list_expirations(symbol)	Expiration dates
option_list_strikes(symbol, exp)	Strike prices
option_list_symbols()	Option underlyings
index_list_symbols()	Index symbols

all_greeks(spot, strike, rate, div_yield, tte, price, is_call)

Returns dict with 22 Greeks: delta, gamma, theta, vega, rho, iv, vanna, charm, vomma, veta, speed, zomma, color, ultima, d1, d2, dual_delta, dual_gamma, epsilon, lambda.

implied_volatility(spot, strike, rate, div_yield, tte, price, is_call)

Returns (iv, error) tuple.

Architecture

Python code
    │  (PyO3 FFI)
    ▼
thetadatadx Rust crate
    │  (tonic gRPC / tokio TCP)
    ▼
ThetaData servers

No HTTP middleware, no Java terminal, no subprocess. Direct wire protocol access at Rust speed.