thetadatadx 2.0.0

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

# With pandas DataFrame support
pip install thetadatadx[pandas]

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 61 endpoints are available. Methods return lists of dicts.

Stock Methods (14)

Method	Description
stock_list_symbols()	All stock symbols
stock_list_dates(request_type, symbol)	Available dates by request type
stock_snapshot_ohlc(symbols)	Latest OHLC snapshot
stock_snapshot_trade(symbols)	Latest trade snapshot
stock_snapshot_quote(symbols)	Latest NBBO quote snapshot
stock_snapshot_market_value(symbols)	Latest market value snapshot
stock_history_eod(symbol, start, end)	End-of-day data
stock_history_ohlc(symbol, date, interval)	Intraday OHLC bars
stock_history_ohlc_range(symbol, start, end, interval)	OHLC bars across date range
stock_history_trade(symbol, date)	All trades for a date
stock_history_quote(symbol, date, interval)	NBBO quotes
stock_history_trade_quote(symbol, date)	Combined trade+quote ticks
stock_at_time_trade(symbol, start, end, time)	Trade at specific time across dates
stock_at_time_quote(symbol, start, end, time)	Quote at specific time across dates

Option Methods (34)

Method	Description
option_list_symbols()	Option underlying symbols
option_list_dates(request_type, symbol, exp, strike, right)	Available dates for a contract
option_list_expirations(symbol)	Expiration dates
option_list_strikes(symbol, exp)	Strike prices
option_list_contracts(request_type, symbol, date)	All contracts for a date
option_snapshot_ohlc(symbol, exp, strike, right)	Latest OHLC snapshot
option_snapshot_trade(symbol, exp, strike, right)	Latest trade snapshot
option_snapshot_quote(symbol, exp, strike, right)	Latest quote snapshot
option_snapshot_open_interest(symbol, exp, strike, right)	Latest open interest
option_snapshot_market_value(symbol, exp, strike, right)	Latest market value
option_snapshot_greeks_implied_volatility(symbol, exp, strike, right)	IV snapshot
option_snapshot_greeks_all(symbol, exp, strike, right)	All Greeks snapshot
option_snapshot_greeks_first_order(symbol, exp, strike, right)	First-order Greeks
option_snapshot_greeks_second_order(symbol, exp, strike, right)	Second-order Greeks
option_snapshot_greeks_third_order(symbol, exp, strike, right)	Third-order Greeks
option_history_eod(symbol, exp, strike, right, start, end)	EOD option data
option_history_ohlc(symbol, exp, strike, right, date, interval)	Intraday OHLC bars
option_history_trade(symbol, exp, strike, right, date)	All trades
option_history_quote(symbol, exp, strike, right, date, interval)	NBBO quotes
option_history_trade_quote(symbol, exp, strike, right, date)	Combined trade+quote
option_history_open_interest(symbol, exp, strike, right, date)	Open interest history
option_history_greeks_eod(symbol, exp, strike, right, start, end)	EOD Greeks
option_history_greeks_all(symbol, exp, strike, right, date, interval)	All Greeks history
option_history_trade_greeks_all(symbol, exp, strike, right, date)	Greeks on each trade
option_history_greeks_first_order(symbol, exp, strike, right, date, interval)	First-order Greeks history
option_history_trade_greeks_first_order(symbol, exp, strike, right, date)	First-order on each trade
option_history_greeks_second_order(symbol, exp, strike, right, date, interval)	Second-order Greeks history
option_history_trade_greeks_second_order(symbol, exp, strike, right, date)	Second-order on each trade
option_history_greeks_third_order(symbol, exp, strike, right, date, interval)	Third-order Greeks history
option_history_trade_greeks_third_order(symbol, exp, strike, right, date)	Third-order on each trade
option_history_greeks_implied_volatility(symbol, exp, strike, right, date, interval)	IV history
option_history_trade_greeks_implied_volatility(symbol, exp, strike, right, date)	IV on each trade
option_at_time_trade(symbol, exp, strike, right, start, end, time)	Trade at specific time
option_at_time_quote(symbol, exp, strike, right, start, end, time)	Quote at specific time

Index Methods (9)

Method	Description
index_list_symbols()	All index symbols
index_list_dates(symbol)	Available dates for an index
index_snapshot_ohlc(symbol)	Latest OHLC snapshot
index_snapshot_price(symbol)	Latest price snapshot
index_snapshot_market_value(symbol)	Latest market value snapshot
index_history_eod(symbol, start, end)	End-of-day index data
index_history_ohlc(symbol, start, end, interval)	Intraday OHLC bars
index_history_price(symbol, date, interval)	Intraday price history
index_at_time_price(symbol, start, end, time)	Price at specific time

Calendar Methods (3)

Method	Description
calendar_open_today()	Is the market open today?
calendar_on_date(date)	Calendar info for a date
calendar_year(year)	Calendar for an entire year

Rate Methods (1)

Method	Description
interest_rate_history_eod(symbol, start, end)	Interest rate EOD history

FpssClient(creds, config)

Real-time streaming client.

Per-contract subscriptions (stocks)

Method	Description
subscribe_quotes(symbol)	Subscribe to quote data for a stock
subscribe_trades(symbol)	Subscribe to trade data for a stock
subscribe_open_interest(symbol)	Subscribe to open interest data for a stock
unsubscribe_quotes(symbol)	Unsubscribe from quote data for a stock
unsubscribe_trades(symbol)	Unsubscribe from trade data for a stock
unsubscribe_open_interest(symbol)	Unsubscribe from open interest data for a stock

Per-contract subscriptions (options)

Method	Description
subscribe_option_quotes(symbol, exp_date, is_call, strike)	Subscribe to option quote data
subscribe_option_trades(symbol, exp_date, is_call, strike)	Subscribe to option trade data
subscribe_option_open_interest(symbol, exp_date, is_call, strike)	Subscribe to option OI data
unsubscribe_option_quotes(symbol, exp_date, is_call, strike)	Unsubscribe from option quotes
unsubscribe_option_trades(symbol, exp_date, is_call, strike)	Unsubscribe from option trades

Full-type subscriptions

Method	Description
subscribe_full_trades(sec_type)	Subscribe to ALL trades for a security type ("STOCK", "OPTION", "INDEX")

Full trade stream behavior: When subscribed via subscribe_full_trades("OPTION"), the ThetaData FPSS server sends a bundle for every trade across ALL option contracts:

1. Pre-trade NBBO quote
2. OHLC bar for the traded contract
3. The trade itself
4. Two post-trade NBBO quotes

Events arrive as a mix of quote, trade, and ohlcvc kinds. Use contract_id to identify which contract each event belongs to, and filter on kind to select the data types you care about:

fpss = FpssClient(creds, config)
fpss.subscribe_full_trades("OPTION")

# Build a contract ID -> symbol map as assignments arrive
contracts = {}

while True:
    event = fpss.next_event(timeout_ms=100)
    if event is None:
        continue

    # Track contract assignments
    if event["kind"] == "contract_assigned":
        contracts[event["id"]] = event["detail"]
        continue

    contract = contracts.get(event.get("contract_id"), "unknown")

    # Filter by type -- you choose what you want
    if event["kind"] == "trade":
        print(f"[{contract}] TRADE {event['price']:.2f} x {event['size']}")
    elif event["kind"] == "quote":
        print(f"[{contract}] QUOTE bid={event['bid']:.2f} ask={event['ask']:.2f}")
    # Skip ohlcvc if you don't need bars

fpss.shutdown()

You can also subscribe to per-contract streams if you only need specific symbols rather than the full firehose.

State & lifecycle

Method	Description
is_authenticated()	Check if the client is currently authenticated
server_addr()	Get the server address the client is connected to
contract_map()	Get dict mapping contract IDs to string descriptions
contract_lookup(id)	Look up a single contract by ID (returns str or None)
active_subscriptions()	Get list of active subscriptions (list of dicts with "kind" and "contract")
next_event(timeout_ms=5000)	Poll for the next event (returns dict or None on timeout)
shutdown()	Graceful shutdown

to_dataframe(data)

Convert a list of tick dicts to a pandas DataFrame. Requires pip install thetadatadx[pandas].

_df method variants

All 61 DirectClient data methods have _df variants that return DataFrames directly: stock_history_eod_df(), stock_history_ohlc_df(), option_list_expirations_df(), index_history_eod_df(), etc.

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

graph TD
    A["Python code"] -- "PyO3 FFI" --> B["thetadatadx Rust crate"]
    B -- "tonic gRPC / TLS TCP" --> C["ThetaData servers"]

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

FPSS Streaming

Real-time market data via ThetaData's FPSS servers:

from thetadatadx import Credentials, FpssClient

creds = Credentials.from_file("creds.txt")
fpss = FpssClient(creds, buffer_size=1024)

# Subscribe to real-time quotes
fpss.subscribe("AAPL", "QUOTE")
fpss.subscribe("SPY", "TRADE")

# Poll for events
while True:
    event = fpss.next_event(timeout_ms=5000)
    if event is None:
        break  # timeout, no event received
    if event["type"] == "quote":
        print(f"Quote: {event['contract']} bid={event['bid']} ask={event['ask']}")
    elif event["type"] == "trade":
        print(f"Trade: {event['contract']} price={event['price']} size={event['size']}")

fpss.shutdown()

pandas DataFrame Conversion

Convert any result to a pandas DataFrame:

from thetadatadx import Credentials, Config, DirectClient, to_dataframe

creds = Credentials.from_file("creds.txt")
client = DirectClient(creds, Config.production())

# Option 1: convert an existing result
eod = client.stock_history_eod("AAPL", "20240101", "20240301")
df = to_dataframe(eod)
print(df.head())

# Option 2: use _df convenience methods
df = client.stock_history_eod_df("AAPL", "20240101", "20240301")
df = client.stock_history_ohlc_df("AAPL", "20240315", "60000")
df = client.option_list_expirations_df("SPY")

Install with: pip install thetadatadx[pandas]