Decision Properties

Security object details and the various properties used to create decisions.

Overview

Decision recipes evaluate the properties of an underlying security object, which is simply a JSON object that houses the most current information about the underlying or option contract at the moment it's requested.

With few exceptions, the values of the security object for each underlying are updated in real-time, usually multiple times per second (actual update rate is dictated by the market).

Example security object:

{
  symbol: "SPY",
  description: "SPDR S&P 500 ETF Trust",
  stype: "etf",
  bidSize: 32,
  askSize: 2,
  bidTime: 1619119779000,
  askTime: 1619119779000,
  bid: 412.05,
  ask: 412.06,
  open: 415.89,
  high: 416.78,
  low: 411.13,
  close: 416.07,
  last: 412.0513,
  volume: 76149629,
  size: 0,
  time: 1619119779756,
  ivr: 7.023555,
  ...
  lastUpdate: "0.12s"
}

Security Properties

Aside from IV Rank, which is calculated and cached once daily, the following properties are calculated in real-time:

Property	Description
Last Price	The last traded price of the security
Close Price	The most recent market session's closing price
Open Price	Current session's open price
Low Price	Current session's low price
High Price	Current session's high price
Mark Price	Current mark price of the security, mid-price of bid/ask.
Change	Dollar change from previous session's close and the last price.
Change %	Dollar change written as a decimal percentage.
Volume	Current session's volume since start of trading (includes pre-market).
IV Rank	The Implied Volatility (IV) of the security over the last 52 weeks.
Greeks	Delta, Gamma, Theta, and Vega are all real-time data.

The Security Object for position leg properties stores value in a decimal type format. When referencing the position leg change or change % this will need to be expressed as a decimal. Therefore, a 100% change in the position leg value is represented as 1.00

Option Leg Properties

Extrinsic Value is the difference between the price of an option (or the premium) and that option's intrinsic value. It is comprised of the greek values theta and vega.

Intrinsic Value is the inherent worth of an option. Intrinsic value is indicated by the degree to which the option is in-the-money. It is the difference between the underlying security's price and the options strike price when the option is in-the-money.

Chance of ITM is the mathematical probability of the underlying being in-the-money at expiration.

OTM amount measures the distance between the underlying at its current price and the strike price. It indicates how many points (dollars) away the underlying is from being ITM. If the leg is ITM, then the OTM amount will be 0.