Streaming real-time options data with ThetaData

The Options Price Reporting Authority (OPRA) functions as a securities information processor, aggregating options quotes and transaction details from predominant U.S. exchanges. Approximately 1.4 million active options contracts are traded, generating in excess of 3 terabytes of data on a daily basis. OPRA is responsible for the real-time consolidation and dissemination of this data. ThetaData, through its connection to OPRA, facilitates the distribution of this data in an unfiltered format to non-professional users. Furthermore, ThetaData’s Python API is capable of streaming quotes and trades with a latency measured in milliseconds. This efficiency is achieved by compressing the data to approximately 1/30th of its original volume.

The Theta Terminal is an intermediate layer that bridges our data-providing server with the Python API. The terminal runs as a background process. It hosts a local server on your machine, to which...