Trade Smarter with Automation

Security API

A Security variable represents a stock, option, index or ETF with properties containing real-time market pricing, greeks and other analytics. Security variables are defined by adding an item to the strategy's Watchlist or can be defined in the wake event with code. See the $data API for details about defining security variables with code.

You can use $log to inspect a security variable in the Alta5 Console:

Properties on a Security variable, such as the bid, ask or last, are streamed from the market in real-time and will always have the latest up-to-date value.

All Securities

  • Number

    The current ask for the security.

  • Number

    The quantity being offered at the ask price for the security.

  • Number

    The current bid for the security.

  • Number

    The current bid quantity for the security.

  • Number

    The difference between the last close price and the last trade price today.

  • Number

    The difference between the last close price and the last trade price today as a decimal percentage.

  • Number

    The daily close for the security.

  • String

    The display name for the security.

  • String

    The code for the exchange on which the security is traded.

  • Number

    The daily high for the security.

  • Number

    The last trade price for the security.

  • Number

    The daily low for the security.

  • Number

    The daily open for the security.

  • Number

    A calculated mid price for the security half way between the bid and ask price.

  • Number

    The quantity of the last trade for the security.

  • String

    The symbol for the security.

  • Number

    The daily volume for the security.

Equity and Index

  • Number

    Annual volatility for this security as a decimal. Calculated as sd30 * √252.

  • Number

    The standard deviation of the price of this security over a period of 30 days.

  • Number

    The standard deviation of the price of this security over a period of the last N days. N can be 5, 10, 15, 30, 90

Options

  • Number

    The number of days until expiration.

  • Number

    The delta greek value for the option.

  • Date

    The expiration date for the option.

  • Number

    The gamma greek value for the option.

  • Number

    The implied volatility value for the option. Also aliased as iv.

  • Number

    Total open interest for the option.

  • Number

    For call options, this is the difference between the underlying's price and the strike price. For put options, it is the difference between the strike price and the underlying's price.

  • Boolean

    True for call options.

  • Boolean

    True if the option is expired.

  • Boolean

    True for put options.

  • Boolean

    True if the option is in the money (ITM).

  • Boolean

    Alias for impliedVolatility.

  • Number

    The rho greek for the option.

  • Number

    The strike price value for the option.

  • Number

    The theta greek value for the option.

  • Number

    The option price - intrinsicValue.

  • String

    'call' or 'put'.

  • Security

    A Security object for the underlying.

  • Number

    The vega greek value for the option.