SubscribeRealtimeGreeks: Subscribe to Realtime Greek values of single Token, returns market data every second (detailed)
Supported parameters
| Exchange | String value like NFO | Name of supported exchange. How to get list of supported exchanges you can find here |
| Token | Token numbers of instruments | How to get list of available token numbers of instruments you can find here |
What is returned ?
| Exchange, Token(TokenNumber of Symbol), Timestamp, IV, Delta, Theta, Vega, Gamma, IVVwap, Vanna, Charm, Speed, Zomma, Color, Volga, Veta, ThetaGammaRatio, ThetaVegaRatio, DTR |
Sample request(JavaScript)
{
MessageType: "SubscribeRealtimeGreeks",
Exchange: "NFO",
Token: "111720"
};
var message = JSON.stringify(request);
websocket.send(message);
Example of returned data in JSON format. This data is returned every second
{
"Exchange":"NFO",
"Token":"111720",
"Timestamp":1629780225,
"IV":0.8839355707168579,
"Delta":0.013666640035808086,
"Theta":-0.19720613956451416,
"Vega":0.012686844915151596,
"Gamma":0.001089407247491181,
"IVVwap":0.8552509546279907,
"Vanna":11.769400596618652,
"Charm":-1.829452395439148,
"Speed":7.2279384767171E-05,
"Zomma":0.004981315229088068,
"Color":0.0007743027526885271,
"Volga":942.700927734375,
"Veta":175.59878540039062,
"ThetaGammaRatio":-181.02149963378906,
"ThetaVegaRatio":-15.544143676757812,
"DTR":-0.0693012923002243,
"MessageType":"SubscribeRealtimeGreeks"
}
FAQ
| We are receiving these values directly from NSE. Here are some FAQs which you may find useful : 1. Which model is used to compute Implied Volatility ? Is it Black Scholes or Black 76 ? Response: Black Scholes Model 2. If it is Black Scholes model, what is the interest rate assumed ? Response: Black Scholes Model, underlying, is taken as Futures or Synthetic futures( in case of expiries where future is not available). Thus Spot Price and Interest rate as a parameter gets removed |
