Field Reference

Two capabilities

Every field carries two orthogonal capability flags. Filterable fields can appear in filterExpression terminal filters and as the sort.field value. Projectable fields show up on the response record by default, and on the table-shaped tools can additionally be referenced from the includes / excludes projection slots. Most fields are both.

Field names are matched case-, separator-, and whitespace-insensitively, so STRIKE_PRICE, strikePrice, and "strike price" all resolve to the same field. Each entry below shows the canonical UPPER_SNAKE_CASE name on the left and any declared aliases on the right.

Option trade fields

Fields backed by option trade data. Drives every endpoint under /v1/options/tool/*. Price-valued fields are dollars on the API surface.

TICKERaliasesSYMBOL

Underlying equity symbol.

SECTOR

GICS sector for the underlying equity. Enum-typed.

INDUSTRY

GICS industry for the underlying equity. Enum-typed.

EXCHANGE

Reporting exchange for the trade.

EXPIRATION_DATEaliasesEXPIRATION·EXPIRY

Option contract expiration calendar date (YYYY-MM-DD).

DTEaliasesDAYS_TO_EXPIRATION

Fractional days to expiration at trade time.

CONTRACT_TYPEaliasesOPTION_TYPE

Option contract type. Values: CALL, PUT.

STRIKE_PRICEaliasesSTRIKE

Strike price in dollars.

STOCK_PRICEaliasesSPOT·SPOT_PRICE·UNDERLYING_PRICE

Underlying equity price at trade time, in dollars.

ASK_PRICEaliasesASK

Market ask in dollars at trade time.

BID_PRICEaliasesBID

Market bid in dollars at trade time.

BID_ASK_SPREAD

Ask minus bid, in dollars.

OPTION_PRICEaliasesTRADE_PRICE

Execution price for the option in dollars.

PREMIUM

Trade premium in dollars (price × size × 100).

SIZEaliasesQUANTITY

Number of contracts traded.

VOLUME

Aggregated contract count over the bucket window.

OPEN_INTERESTaliasesOI

Open interest on the contract.

IMPLIED_VOLATILITYaliasesIV

Implied volatility, expressed as a decimal (0.32 = 32%).

MONEYNESS_IN_DOLLARSaliasesMONEYNESS_DOLLARS

Strike minus spot for calls (or spot minus strike for puts), in dollars.

MONEYNESS_IN_PERCENTaliasesMONEYNESS_PERCENT

Moneyness as a percentage of spot.

MONEY_TYPEaliasesMONEYNESS_TYPE

Moneyness bucket. Canonical values are AT_THE_MONEY, IN_THE_MONEY, OUT_OF_THE_MONEY; the standard abbreviations (ATM, ITM, OTM) are accepted as input aliases. See the Moneyness List below.

SENTIMENTaliasesSENTIMENT_TYPE·TRADE_SENTIMENT

Inferred trade sentiment. Values: BULLISH, BEARISH, NEUTRAL.

TRADE_SIDEaliasesSIDE·TRADE_SIDE_CODE

Trade side relative to the spread. Canonical values are ABOVE_ASK, ASK, MID_MARKET, BID, BELOW_BID; the two-letter codes (AA, A, M, B, BB) are accepted as input aliases but never appear in responses. See the Trade Side List below.

TRADE_TIME

Trade timestamp, epoch milliseconds.

TRADE_TYPE

OPRA trade condition that classifies how the trade was executed (auto-execution, ISO, auction, cross, floor trade, and the multi-leg / tied variations of each).

TRADE_CONSOLIDATION_TYPEaliasesCONSOLIDATION_TYPE

How a consolidated trade was grouped. Values: BLOCK, SPLIT, SWEEP. Only on Order Flow Consolidated.

Greeks

Filterable on every option trade endpoint. Higher-order greeks (charm, color, speed, etc.) are indexed and queryable, not just first-order.

DELTA

Rate of change of option price with respect to underlying price.

GAMMA

Rate of change of delta with respect to underlying price.

THETA

Rate of change of option price with respect to time.

VEGA

Rate of change of option price with respect to implied volatility.

RHO

Rate of change of option price with respect to interest rate.

CHARM

Rate of change of delta with respect to time.

COLOR

Rate of change of gamma with respect to time.

SPEED

Rate of change of gamma with respect to underlying price.

VANNA

Cross-sensitivity of delta to volatility (and vega to spot).

VOMMA

Rate of change of vega with respect to volatility.

VETA

Rate of change of vega with respect to time.

OMEGA

Elasticity: percent change in option price per percent change in spot.

SIGMA

Variance proxy. Per-endpoint definition.

ULTIMA

Third-order sensitivity of option price to volatility.

ZOMMA

Rate of change of gamma with respect to volatility.

Equity prints fields

Fields backed by processed equity print data. Drives every endpoint under /v1/equities/tool/*. The set is intentionally smaller than the option-trade surface; prints are a flatter record shape.

TICKERaliasesSYMBOL

Stock ticker symbol.

PRICEaliasesTRADE_PRICE

Execution price in dollars.

SIZEaliasesQUANTITY

Number of shares in the print.

NOTIONAL_VALUEaliasesNOTIONAL

Notional value in dollars (price × size).

PRINT_TYPEaliasesEQUITY_PRINT_TYPE·TYPE

Print venue classification. Values: DARK_POOL, LIT_POOL.

ASK_PRICEaliasesASK

Market ask in dollars at print time.

BID_PRICEaliasesBID

Market bid in dollars at print time.

ASK_SIZE

Shares available at the ask.

BID_SIZE

Shares available at the bid.

TRADE_SIDEaliasesSIDE·TRADE_SIDE_CODE

Trade side relative to the spread.

TRADE_TIME

Print timestamp, epoch milliseconds.

IS_DELAYED_PRINTaliasesIS_PHANTOM_PRINT·PHANTOM_PRINT·IS_PHANTOM·PHANTOM·DELAYED_PRINT·DELAYED·IS_DELAYED

Boolean. Whether the print was reported late.

Enum values

Every type enum referenced on the API surface, with the full set of canonical names and (where they exist) the input aliases the API accepts. Match is case-, separator-, and whitespace-insensitive, so ABOVE_ASK, aboveAsk, and "above ask" all resolve to the same constant.

Options

Contract Type List2 values

Option contract type. Referenced on every option-trade endpoint as the contractType / contractTypes field. The single-letter OSI codes are accepted as aliases.

CALLaliasesC
PUTaliasesP

Moneyness List3 values

Option moneyness classification. The standard finance-industry abbreviations (ATM / ITM / OTM) are accepted as aliases.

AT_THE_MONEYaliasesATM
IN_THE_MONEYaliasesITM
OUT_OF_THE_MONEYaliasesOTM

Sentiment List3 values

Bullish / bearish / neutral classification derived from (ContractType, TradeSide): ASK+CALL or BID+PUT → BULLISH; ASK+PUT or BID+CALL → BEARISH; MID_MARKET → NEUTRAL.

BEARISH
BULLISH
NEUTRAL

Trade Consolidation List3 values

The kind of consolidation a row represents on the Order Flow Consolidated endpoint: BLOCK (single large print), SPLIT (one order split into multiple prints on a single exchange), or SWEEP (one order split across multiple exchanges, walking the NBBO for best price).

BLOCK
SPLIT
SWEEP

Trade Side List5 values

Where a trade printed relative to the bid / ask spread. The two-letter codes (AA, A, M, B, BB) are accepted as aliases on input but never appear in responses. Order is price-descending to match the response iteration order.

ABOVE_ASKaliasesAA
Trade printed above the ask.
ASKaliasesA
Trade printed at the ask.
MID_MARKETaliasesMMID
Trade printed at the mid-market.
BIDaliasesB
Trade printed at the bid.
BELOW_BIDaliasesBB
Trade printed below the bid.

Trade Condition List33 values

OPRA trade-condition taxonomy classifying how each option trade was executed (auto-execution, ISO, auction, cross, floor trade, and the multi-leg / tied variations of each).

OUT_OF_SEQ
Out of sequence.
OPEN_OUT_OF_SEQ
Open report out of sequence.
OPEN_IN_SEQ
Open report in sequence.
SOLD_LAST
Sold last.
AUTO
Auto-execution.
REOPEN
Reopen.
CANCEL
Cancel.
CANCEL_LAST
Cancel last.
CANCEL_OPEN
Cancel open.
CANCEL_ONLY
Cancel only.
ISO
Intermarket sweep order.
AUCT
Single-leg auction, non-ISO.
AUCT_ISO
Single-leg auction, ISO.
CROSS
Single-leg cross, non-ISO.
CROSS_ISO
Single-leg cross, ISO.
FLR
Single-leg floor trade.
MULTI_AUTO_COB
Multi-leg auto-execution, complex order book.
MULTI_AUCT_COB
Multi-leg auction, complex order book.
MULTI_CROSS
Multi-leg cross.
M2M_FLR
Multi-leg floor trade executed against other multi-leg orders.
M2S_AUTO
Multi-leg auto-execution against single-leg orders.
TIED_MULTI_AUCT_COB
Tied multi-leg auction, complex order book.
M2S_AUCT
Multi-leg auction against single-leg orders.
M2S_FLR
Multi-leg floor trade against single-leg orders.
TIED_MULTI_AUTO_COB
Tied multi-leg auto-execution, complex order book.
TIED_MULTI_CROSS
Tied multi-leg cross.
TIED_MULTI_FLR_COB
Tied multi-leg floor trade, complex order book.
TIED_M2S_AUTO
Tied multi-leg auto-execution against single-leg orders.
TIED_M2S_AUCT
Tied multi-leg auction against single-leg orders.
TIED_M2S_FLR
Tied multi-leg floor trade against single-leg orders.
MULTI_FLR_PP
Multi-leg floor trade of proprietary products.
MULTI_COMP_PP
Multilateral compression trade of proprietary data products.
EXT_HOURS
Extended-hours trade.

Exchange List76 values

Nanex-coded exchange-venue taxonomy used across the options and equities surfaces. Includes display venues, ETF designations, MTF / dark venues, and upstream metadata indexes.

COMP
Nanex composite.
NQEX
Nasdaq Exchange.
NQAD
Nasdaq Alternative Display Facility.
NYSE
New York Stock Exchange.
AMEX
American Stock Exchange.
CBOE
Chicago Board Options Exchange.
ISEX
International Securities Exchange.
PACF
NYSE ARCA (Pacific).
CINC
National Stock Exchange (Cincinnati).
PHIL
Philadelphia Stock Exchange.
OPRA
Options Pricing Reporting Authority.
BOST
Boston Stock / Options Exchange.
NQNM
Nasdaq Global+Select Market (NMS).
NQSC
Nasdaq Capital Market (SmallCap).
NQBB
Nasdaq Bulletin Board.
NQPK
Nasdaq OTC.
NQIX
Nasdaq Indexes (GIDS).
CHIC
Chicago Stock Exchange.
TSE
Toronto Stock Exchange.
CDNX
Canadian Venture Exchange.
CME
Chicago Mercantile Exchange.
NYBT
New York Board of Trade.
MRCY
ISE Mercury.
COMX
COMEX (division of NYMEX).
CBOT
Chicago Board of Trade.
NYMX
New York Mercantile Exchange.
KCBT
Kansas City Board of Trade.
MGEX
Minneapolis Grain Exchange.
NYBO
NYSE / ARCA Bonds.
NQBS
Nasdaq Basic.
DOWJ
Dow Jones Indices.
GEMI
ISE Gemini.
SIMX
Singapore International Monetary Exchange.
FTSE
London Stock Exchange (FTSE).
EURX
Eurex.
IMPL
Implied price.
DTN
Data Transmission Network.
LMT
London Metals Exchange Matched Trades.
LME
London Metals Exchange.
IPEX
Intercontinental Exchange (IPE).
NQMF
Nasdaq Mutual Funds (MFDS).
FCEC
COMEX Clearport.
C2
CBOE C2 Option Exchange.
MIAX
Miami Exchange (MIAX).
CLRP
NYMEX Clearport.
BARK
Barclays.
EMLD
Miami Emerald Options Exchange.
NQBX
Nasdaq Boston.
HOTS
HotSpot Eurex US.
EUUS
Eurex US.
EUEU
Eurex EU.
ENCM
Euronext Commodities.
ENID
Euronext Index Derivatives.
ENIR
Euronext Interest Rates.
CFE
CBOE Futures Exchange.
PBOT
Philadelphia Board of Trade.
FCME
CME Floor.
NQNX
FINRA / Nasdaq Trade Reporting Facility.
BTRF
BSE Trade Reporting Facility.
NTRF
NYSE Trade Reporting Facility.
BATS
BATS Trading.
FCBT
CBOT Floor.
PINK
Pink Sheets.
BATY
BATS Trading (Y).
EDGE
Direct Edge.
EDGX
Direct Edge X.
RUSL
Russell Indexes.
CMEX
CME Indexes.
IEX
Investors Exchange.
PERL
Miami Pearl Options Exchange.
LSE
London Stock Exchange.
GIF
NYSE Global Index Feed.
TSIX
TSX Indexes.
MEMX
Members Exchange (MEMX).
LTSE
Long-Term Stock Exchange.
SPHR
MIAX Sapphire.

Equities

Exchange Notification List36 values

Nasdaq / SIP / OPRA notification taxonomy: trade halts, regulatory events, IPO milestones, circuit breakers. Referenced by the Exchange Notifications endpoint's types filter and type response field.

C3
Issuer news not forthcoming; quotations and trading to resume.
C4
Qualifications halt ended; maintenance requirements met; trading resumes.
C9
Qualifications halt concluded; filings met; quotations and trades resume.
C11
Trade halt concluded by other regulatory authority; quotations and trades resume.
D
Security deletion from Nasdaq / CQS.
IPO1
IPO issue not yet trading.
IPOQ
IPO security released for quotation.
IPOE
IPO security positioning window extension.
H4
Non-compliance.
H9
Not current.
H10
SEC trading suspension.
H11
Regulatory concern.
LUDP
Volatility trading pause.
LUDS
Volatility trading pause, straddle condition.
M
Volatility trading pause.
M1
Corporate action.
M2
Quotation not available.
MWC0
Market-wide circuit breaker halt: carry over from previous day.
MWC1
Market-wide circuit breaker halt: level 1.
MWC2
Market-wide circuit breaker halt: level 2.
MWC3
Market-wide circuit breaker halt: level 3.
MWCQ
Market-wide circuit breaker resumption.
O1
Operations halt; contact market operations.
R1
New issue available.
R2
Issue available.
R4
Qualifications issues reviewed or resolved; quotations and trading to resume.
R9
Filing requirements satisfied or resolved; quotations and trading to resume.
REG_SHO
Regulation SHO.
T1
News pending.
T2
News released.
T3
News and resumption times.
T5
Single-stock trading pause in effect.
T6
Extraordinary market activity.
T7
Single-stock trading pause / quotation-only period.
T8
Exchange-traded fund (ETF).
T12
Additional information requested by Nasdaq.

Sector List12 values

FMP sector taxonomy. Referenced by the Market Map endpoint's sectors filter and sector response field, and by the SECTOR filter on every option-trade endpoint.

BASIC_MATERIALS
COMMUNICATION_SERVICES
CONSUMER_CYCLICAL
CONSUMER_DEFENSIVE
ENERGY
FINANCIAL_SERVICES
HEALTHCARE
INDUSTRIALS
NOT_APPLICABLE
REAL_ESTATE
TECHNOLOGY
UTILITIES

Industry List160 values

FMP industry taxonomy. The double-underscore separator (e.g. ASSET_MANAGEMENT__BONDS) is a real character in the canonical name and survives the case / separator normalization unchanged.

ADVERTISING_AGENCIES
AEROSPACE_AND_DEFENSE
AGRICULTURAL_FARM_PRODUCTS
AGRICULTURAL_INPUTS
AGRICULTURAL__COMMODITIES_MILLING
AGRICULTURAL__MACHINERY
AIRLINES_AIRPORTS_AND_AIR_SERVICES
ALUMINUM
APPAREL__FOOTWEAR_AND_ACCESSORIES
APPAREL__MANUFACTURERS
APPAREL__RETAIL
ASSET_MANAGEMENT
ASSET_MANAGEMENT__BONDS
ASSET_MANAGEMENT__CRYPTOCURRENCY
ASSET_MANAGEMENT__GLOBAL
ASSET_MANAGEMENT__INCOME
ASSET_MANAGEMENT__LEVERAGED
AUTO__DEALERSHIPS
AUTO__MANUFACTURERS
AUTO__PARTS
AUTO__RECREATIONAL_VEHICLES
BANKS
BANKS__DIVERSIFIED
BANKS__REGIONAL
BEVERAGES__ALCOHOLIC
BEVERAGES__NON_ALCOHOLIC
BEVERAGES__WINERIES_AND_DISTILLERIES
BIOTECHNOLOGY
BROADCASTING
BUSINESS_EQUIPMENT_AND_SUPPLIES
CHEMICALS
CHEMICALS__SPECIALTY
COAL
COMMUNICATION_EQUIPMENT
COMPUTER_HARDWARE
CONGLOMERATES
CONSTRUCTION
CONSTRUCTION_MATERIALS
CONSULTING_SERVICES
CONSUMER_ELECTRONICS
COPPER
DEPARTMENT_STORES
DISCOUNT_STORES
DIVERSIFIED_UTILITIES
DRUG_MANUFACTURERS__GENERAL
DRUG_MANUFACTURERS__SPECIALTY_AND_GENERIC
EDUCATION_AND_TRAINING_SERVICES
ELECTRICAL_EQUIPMENT_AND_PARTS
ELECTRONIC_GAMING_AND_MULTIMEDIA
ENGINEERING_AND_CONSTRUCTION
ENTERTAINMENT
ENVIRONMENTAL_SERVICES
FINANCIAL__CAPITAL_MARKETS
FINANCIAL__CONGLOMERATES
FINANCIAL__CREDIT_SERVICES
FINANCIAL__DATA_AND_STOCK_EXCHANGES
FINANCIAL__DIVERSIFIED
FINANCIAL__MORTGAGES
FOOD_CONFECTIONERS
FOOD_DISTRIBUTION
FURNISHINGS_FIXTURES_AND_APPLIANCES
GAMBLING_RESORTS_AND_CASINOS
GENERAL_TRANSPORTATION
GENERAL_UTILITIES
GOLD
GROCERY_STORES
HARDWARE_EQUIPMENT_AND_PARTS
HOME_IMPROVEMENT
HOUSEHOLD_AND_PERSONAL_PRODUCTS
INDEPENDENT_POWER_PRODUCERS
INDUSTRIAL_MATERIALS
INDUSTRIAL__CAPITAL_GOODS
INDUSTRIAL__DISTRIBUTION
INDUSTRIAL__INFRASTRUCTURE_OPERATIONS
INDUSTRIAL__MACHINERY
INDUSTRIAL__POLLUTION_AND_TREATMENT_CONTROLS
INDUSTRIAL__SPECIALTIES
INFORMATION_TECHNOLOGY_SERVICES
INSURANCE__BROKERS
INSURANCE__DIVERSIFIED
INSURANCE__LIFE
INSURANCE__PROPERTY_AND_CASUALTY
INSURANCE__REINSURANCE
INSURANCE__SPECIALTY
INTEGRATED_FREIGHT_AND_LOGISTICS
INTERNET_CONTENT_AND_INFORMATION
INVESTMENT__BANKING_AND_INVESTMENT_SERVICES
LEISURE
LUXURY_GOODS
MANUFACTURING__METAL_FABRICATION
MANUFACTURING__MISCELLANEOUS
MANUFACTURING__TEXTILES
MANUFACTURING__TOOLS_AND_ACCESSORIES
MARINE_SHIPPING
MEDIA_AND_ENTERTAINMENT
MEDICAL__CARE_FACILITIES
MEDICAL__DEVICES
MEDICAL__DIAGNOSTICS_AND_RESEARCH
MEDICAL__DISTRIBUTION
MEDICAL__EQUIPMENT_AND_SERVICES
MEDICAL__HEALTHCARE_INFORMATION_SERVICES
MEDICAL__HEALTHCARE_PLANS
MEDICAL__INSTRUMENTS_AND_SUPPLIES
MEDICAL__PHARMACEUTICALS
MEDICAL__SPECIALTIES
NOT_APPLICABLE
OIL_AND_GAS_DRILLING
OIL_AND_GAS_ENERGY
OIL_AND_GAS_EQUIPMENT_AND_SERVICES
OIL_AND_GAS_EXPLORATION_AND_PRODUCTION
OIL_AND_GAS_INTEGRATED
OIL_AND_GAS_MIDSTREAM
OIL_AND_GAS_REFINING_AND_MARKETING
OTHER_PRECIOUS_METALS
PACKAGED_FOODS
PACKAGING_AND_CONTAINERS
PAPER_LUMBER_AND_FOREST_PRODUCTS
PERSONAL_PRODUCTS_AND_SERVICES
PUBLISHING
RAILROADS
REAL_ESTATE__DEVELOPMENT
REAL_ESTATE__DIVERSIFIED
REAL_ESTATE__GENERAL
REAL_ESTATE__SERVICES
REGULATED_ELECTRIC
REGULATED_GAS
REGULATED_WATER
REIT__DIVERSIFIED
REIT__HEALTHCARE_FACILITIES
REIT__HOTEL_AND_MOTEL
REIT__INDUSTRIAL
REIT__MORTGAGE
REIT__OFFICE
REIT__RESIDENTIAL
REIT__RETAIL
REIT__SPECIALTY
RENEWABLE_UTILITIES
RENTAL_AND_LEASING_SERVICES
RESIDENTIAL_CONSTRUCTION
RESTAURANTS
SECURITY_AND_PROTECTION_SERVICES
SEMICONDUCTORS
SHELL_COMPANIES
SILVER
SOFTWARE__APPLICATION
SOFTWARE__INFRASTRUCTURE
SOFTWARE__SERVICES
SOLAR
SPECIALTY_BUSINESS_SERVICES
SPECIALTY_RETAIL
STAFFING_AND_EMPLOYMENT_SERVICES
STEEL
TECHNOLOGY_DISTRIBUTORS
TELECOMMUNICATIONS_SERVICES
TOBACCO
TRAVEL_LODGING
TRAVEL_SERVICES
TRUCKING
URANIUM
WASTE_MANAGEMENT

News

News Topic List121 values

Quant Data's topic taxonomy. Each topic has two interchangeable input forms: the canonical UPPER_SNAKE_CASE name and the search-index display string. Both resolve to the same constant.