SubscribeRealtimeGreeks

SubscribeRealtimeGreeks: Subscribe to Realtime Greek values of single Token, returns market data every second (detailed)

Supported parameters
ExchangeString value like NFOName of supported exchange. How to get list of supported exchanges you can find here
TokenToken numbers of instrumentsHow 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

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