# API Reference
Scanner endpoint: https://api.orats.io/scanner
# Scan for trades
POST | https://api.orats.io/scanner/scan
# Using BacktestID to Scan for trades
Place the backtestID into the backtest field
{
"backtest" : "1DMYYa3AcBcBhTahmZ4iDAnMhJPLQE81CN",
"totalTrades" : 10,
"tradesPerSymbol" : 4,
"dataSource" : "delayed"
}
| Field | Definition |
|---|---|
| backtest | BacktestID or Backtest Input JSON. |
| totalTrades | Max amount of trades to show. |
| tradesPerSymbol | Max amount of trades per symbol to show. It is used for multi-symbol scans. |
| dataSource | delayed or real-time quotes being used. |
# Using Backtest JSON Input to Scan for trades
Place the backtest JSON Input into the backtest field
TIP
The scanner only requires the general and entry section of the backtest input.
{
"backtest" : {
"general": {
"startDate": "2007-01-03",
"endDate": "2019-06-18",
"symbols": [{
"symbol": "IBM",
"weight": null,
"signals": null
}]
},
"entry": {
"options": [{
"ratio": 1,
"optionType": "call",
"leg": 1,
"opening": {
"dte": {
"target": 40,
"min": 30,
"max": 50
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.35,
"min": 0.25,
"max": 0.45
}
}
}
}]
}
},
"totalTrades" : 10,
"tradesPerSymbol" : 4,
"dataSource" : "delayed"
}
# Scan Results
The output of the scan is in the form of an array of array objects.
| Field | Definition |
|---|---|
| date | trade date (Today's date) |
| ticker | Stock Symbol. |
| leg | Leg number of the trade. |
| ratio | Ratio of the option trade. (ie 1 for long and -1 for short. -2 could be the middle strike for 2 short options in a butterfly). |
| optionType | call or put. |
| expirDate | Expiration date. |
| strike | Strike of the option. |
| dte | Days to expiration. |
| stockPx | Stock price at the time of quote update time. |
| optionBid | Option bid price. |
| optionAsk | Option ask price. |
| tradeOptPx | Option price with slippage. |
| iVolBid | Implied volatility based on the option's bid price. |
| iVolAsk | Implied volatility based on the option's ask price. |
| tradeVol | ORATS final implied Volatility. |
| theoVol | Option theoretical value |
| fcstRatio | ORATS Forecast Price / tradeOptPx. Higher the better when buying. |
| delta | Delta of the option. |
| gamma | Gamma of the option. |
| vega | Vega of the option. |
| ivr | Implied Volatility Rank of the time of entry. |
| updatedAt | Update time of the option quote in UTC. |
# IBM Long Call Input
{
"backtest" : "1DMYYa3AcBcBhTahmZ4iDAnMhJPLQE81CN",
"totalTrades" : 10,
"tradesPerSymbol" : 4,
"dataSource" : "delayed"
}
# IBM Long Call Output
There are 4 total IBM Long call option trades.
[
[
{
"date": "2019-06-18",
"ticker": "IBM",
"leg": 1,
"ratio": 1,
"optionType": "call",
"expirDate": "2019-07-12",
"strike": 140,
"dte": 25,
"stockPx": 136.34,
"optionBid": 0.92,
"optionAsk": 0.97,
"tradeOptPx": 0.958,
"iVolBid": 0.157357,
"iVolAsk": 0.161607,
"tradeVol": 16.1,
"theoVol": 15.9,
"fcstRatio": 1.36,
"delta": 0.28,
"gamma": 0.0607008,
"vega": 0.117676,
"ivr": 21.96,
"updatedAt": "2019-06-18 17:28:40"
}
],
[
{
"date": "2019-06-18",
"ticker": "IBM",
"leg": 1,
"ratio": 1,
"optionType": "call",
"expirDate": "2019-07-12",
"strike": 139,
"dte": 25,
"stockPx": 136.34,
"optionBid": 1.25,
"optionAsk": 1.3,
"tradeOptPx": 1.287,
"iVolBid": 0.160294,
"iVolAsk": 0.16415,
"tradeVol": 16.3,
"theoVol": 16.2,
"fcstRatio": 1.29,
"delta": 0.34,
"gamma": 0.0653831,
"vega": 0.129682,
"ivr": 21.96,
"updatedAt": "2019-06-18 17:28:40"
}
],
[
{
"date": "2019-06-18",
"ticker": "IBM",
"leg": 1,
"ratio": 1,
"optionType": "call",
"expirDate": "2019-07-19",
"strike": 140,
"dte": 32,
"stockPx": 136.34,
"optionBid": 2.57,
"optionAsk": 2.61,
"tradeOptPx": 2.6,
"iVolBid": 0.250108,
"iVolAsk": 0.252728,
"tradeVol": 25.2,
"theoVol": 25.3,
"fcstRatio": 0.74,
"delta": 0.39,
"gamma": 0.0382206,
"vega": 0.152649,
"ivr": 21.96,
"updatedAt": "2019-06-18 17:28:40"
}
],
[
{
"date": "2019-06-18",
"ticker": "IBM",
"leg": 1,
"ratio": 1,
"optionType": "call",
"expirDate": "2019-07-19",
"strike": 145,
"dte": 32,
"stockPx": 136.34,
"optionBid": 1.03,
"optionAsk": 1.06,
"tradeOptPx": 1.052,
"iVolBid": 0.2349,
"iVolAsk": 0.237556,
"tradeVol": 23.7,
"theoVol": 24.1,
"fcstRatio": 0.62,
"delta": 0.21,
"gamma": 0.0302014,
"vega": 0.117624,
"ivr": 21.96,
"updatedAt": "2019-06-18 17:28:40"
}
]
]
# SPY and QQQ Short Straddle Input
{
"backtest" : "1GH8zWibLjZ6kuW2bMzr2xhJ5Kct2yCECH",
"totalTrades" : 10,
"tradesPerSymbol" : 3,
"dataSource" : "delayed"
}
# SPY and QQQ Short Straddle Output
There are 6 total trades with 3 SPY and 3 QQQ Short Straddle trades.
[
[
{
"date": "2019-06-18",
"ticker": "SPY",
"leg": 1,
"ratio": -1,
"optionType": "call",
"expirDate": "2019-07-17",
"strike": 292,
"dte": 30,
"stockPx": 292.21,
"optionBid": 3.96,
"optionAsk": 4.01,
"tradeOptPx": 3.977,
"iVolBid": 0.130762,
"iVolAsk": 0.132299,
"tradeVol": 13.1,
"theoVol": 12.7,
"fcstRatio": 0.94,
"delta": 0.48,
"gamma": 0.0384759,
"vega": 0.325298,
"ivr": 22.9,
"updatedAt": "2019-06-18 17:45:55"
},
{
"date": "2019-06-18",
"ticker": "SPY",
"leg": 2,
"ratio": -1,
"optionType": "put",
"expirDate": "2019-07-17",
"strike": 292,
"dte": 30,
"stockPx": 292.21,
"optionBid": 4.69,
"optionAsk": 4.72,
"tradeOptPx": 4.7,
"iVolBid": 0.131763,
"iVolAsk": 0.132688,
"tradeVol": 13.2,
"theoVol": 12.7,
"fcstRatio": 0.9,
"delta": -0.52,
"gamma": 0.0384759,
"vega": 0.325298,
"ivr": 22.9,
"updatedAt": "2019-06-18 17:45:55"
}
],
[
{
"date": "2019-06-18",
"ticker": "SPY",
"leg": 1,
"ratio": -1,
"optionType": "call",
"expirDate": "2019-07-17",
"strike": 291,
"dte": 30,
"stockPx": 292.21,
"optionBid": 4.55,
"optionAsk": 4.6,
"tradeOptPx": 4.567,
"iVolBid": 0.133818,
"iVolAsk": 0.135349,
"tradeVol": 13.4,
"theoVol": 13.1,
"fcstRatio": 0.95,
"delta": 0.52,
"gamma": 0.0372091,
"vega": 0.326471,
"ivr": 22.9,
"updatedAt": "2019-06-18 17:45:55"
},
{
"date": "2019-06-18",
"ticker": "SPY",
"leg": 2,
"ratio": -1,
"optionType": "put",
"expirDate": "2019-07-17",
"strike": 291,
"dte": 30,
"stockPx": 292.21,
"optionBid": 4.27,
"optionAsk": 4.3,
"tradeOptPx": 4.28,
"iVolBid": 0.134814,
"iVolAsk": 0.135734,
"tradeVol": 13.5,
"theoVol": 13.1,
"fcstRatio": 0.89,
"delta": -0.48,
"gamma": 0.0372091,
"vega": 0.326471,
"ivr": 22.9,
"updatedAt": "2019-06-18 17:45:55"
}
],
[
{
"date": "2019-06-18",
"ticker": "SPY",
"leg": 1,
"ratio": -1,
"optionType": "call",
"expirDate": "2019-07-19",
"strike": 292,
"dte": 32,
"stockPx": 292.21,
"optionBid": 4.21,
"optionAsk": 4.22,
"tradeOptPx": 4.213,
"iVolBid": 0.132904,
"iVolAsk": 0.133201,
"tradeVol": 13.3,
"theoVol": 13.2,
"fcstRatio": 0.94,
"delta": 0.49,
"gamma": 0.0358585,
"vega": 0.336238,
"ivr": 22.9,
"updatedAt": "2019-06-18 17:45:55"
},
{
"date": "2019-06-18",
"ticker": "SPY",
"leg": 2,
"ratio": -1,
"optionType": "put",
"expirDate": "2019-07-19",
"strike": 292,
"dte": 32,
"stockPx": 292.21,
"optionBid": 4.85,
"optionAsk": 4.86,
"tradeOptPx": 4.853,
"iVolBid": 0.133119,
"iVolAsk": 0.133417,
"tradeVol": 13.3,
"theoVol": 13.2,
"fcstRatio": 0.9,
"delta": -0.51,
"gamma": 0.0358585,
"vega": 0.336238,
"ivr": 22.9,
"updatedAt": "2019-06-18 17:45:55"
}
],
[
{
"date": "2019-06-18",
"ticker": "QQQ",
"leg": 1,
"ratio": -1,
"optionType": "call",
"expirDate": "2019-07-19",
"strike": 187,
"dte": 32,
"stockPx": 186.47,
"optionBid": 3.62,
"optionAsk": 3.64,
"tradeOptPx": 3.627,
"iVolBid": 0.180648,
"iVolAsk": 0.18157,
"tradeVol": 18.1,
"theoVol": 17.4,
"fcstRatio": 0.97,
"delta": 0.48,
"gamma": 0.0423484,
"vega": 0.216927,
"ivr": 22.92,
"updatedAt": "2019-06-18 17:45:51"
},
{
"date": "2019-06-18",
"ticker": "QQQ",
"leg": 2,
"ratio": -1,
"optionType": "put",
"expirDate": "2019-07-19",
"strike": 187,
"dte": 32,
"stockPx": 186.47,
"optionBid": 4.24,
"optionAsk": 4.26,
"tradeOptPx": 4.247,
"iVolBid": 0.180649,
"iVolAsk": 0.181573,
"tradeVol": 18.1,
"theoVol": 17.4,
"fcstRatio": 0.93,
"delta": -0.52,
"gamma": 0.0423484,
"vega": 0.216927,
"ivr": 22.92,
"updatedAt": "2019-06-18 17:45:51"
}
],
[
{
"date": "2019-06-18",
"ticker": "QQQ",
"leg": 1,
"ratio": -1,
"optionType": "call",
"expirDate": "2019-07-12",
"strike": 186.5,
"dte": 25,
"stockPx": 186.47,
"optionBid": 3.4,
"optionAsk": 3.43,
"tradeOptPx": 3.41,
"iVolBid": 0.183112,
"iVolAsk": 0.184688,
"tradeVol": 18.4,
"theoVol": 18.4,
"fcstRatio": 0.97,
"delta": 0.5,
"gamma": 0.0457009,
"vega": 0.190345,
"ivr": 22.92,
"updatedAt": "2019-06-18 17:45:51"
},
{
"date": "2019-06-18",
"ticker": "QQQ",
"leg": 2,
"ratio": -1,
"optionType": "put",
"expirDate": "2019-07-12",
"strike": 186.5,
"dte": 25,
"stockPx": 186.47,
"optionBid": 3.59,
"optionAsk": 3.62,
"tradeOptPx": 3.6,
"iVolBid": 0.183121,
"iVolAsk": 0.184698,
"tradeVol": 18.4,
"theoVol": 18.4,
"fcstRatio": 0.92,
"delta": -0.5,
"gamma": 0.0457009,
"vega": 0.190345,
"ivr": 22.92,
"updatedAt": "2019-06-18 17:45:51"
}
],
[
{
"date": "2019-06-18",
"ticker": "QQQ",
"leg": 1,
"ratio": -1,
"optionType": "call",
"expirDate": "2019-07-19",
"strike": 186,
"dte": 32,
"stockPx": 186.47,
"optionBid": 4.19,
"optionAsk": 4.22,
"tradeOptPx": 4.2,
"iVolBid": 0.18458,
"iVolAsk": 0.185971,
"tradeVol": 18.5,
"theoVol": 17.7,
"fcstRatio": 0.98,
"delta": 0.53,
"gamma": 0.0415906,
"vega": 0.215704,
"ivr": 22.92,
"updatedAt": "2019-06-18 17:45:51"
},
{
"date": "2019-06-18",
"ticker": "QQQ",
"leg": 2,
"ratio": -1,
"optionType": "put",
"expirDate": "2019-07-19",
"strike": 186,
"dte": 32,
"stockPx": 186.47,
"optionBid": 3.81,
"optionAsk": 3.83,
"tradeOptPx": 3.817,
"iVolBid": 0.184665,
"iVolAsk": 0.185592,
"tradeVol": 18.5,
"theoVol": 17.7,
"fcstRatio": 0.93,
"delta": -0.47,
"gamma": 0.0415906,
"vega": 0.215704,
"ivr": 22.92,
"updatedAt": "2019-06-18 17:45:51"
}
]
]