# Vanda Analytics Aggregates API

Cash and options aggregate metrics, including time series, snapshots, leaderboards, and analytical summaries.

Version: 1.0.0

## Security

### HTTPBearer

Type: http
Scheme: bearer

## Download OpenAPI description

[Vanda Analytics Aggregates API](https://docs.vanda-analytics.com/_bundle/apis/vanda-msvc-aggregates-manual.yaml)

## Aggregates

### Get aggregate timeseries data

 - [GET /aggregates/timeseries](https://docs.vanda-analytics.com/apis/vanda-msvc-aggregates-manual/aggregates/get_timeseries_aggregates_timeseries_get.md): Retrieve timeseries data for one or more aggregates over a specified date range.
    
    Supported intervals: 10min, 30min, 1h, 3h, 1d, 1w, 1m, 1y
    Asset classes: cash, options
    
    Pagination:
    - page_number: Page to retrieve (starts at 1)
    - records_per_page: Number of records per page
    - Response includes pagination metadata with total_record_count, total_pages, and navigation

### Get latest aggregate snapshot

 - [GET /aggregates/snapshot](https://docs.vanda-analytics.com/apis/vanda-msvc-aggregates-manual/aggregates/get_snapshot_aggregates_snapshot_get.md): Retrieve the most recent data point for one or more aggregates.
    
    Pagination:
    - page_number: Page to retrieve (starts at 1)
    - records_per_page: Number of records per page
    - Response includes pagination metadata with total_record_count, total_pages, and navigation

### Get aggregate leaderboard

 - [GET /aggregates/leaderboard](https://docs.vanda-analytics.com/apis/vanda-msvc-aggregates-manual/aggregates/get_leaderboard_aggregates_leaderboard_get.md): Retrieve top-performing aggregates ranked by a specified metric.
    
    Filter Behaviour:
    - No filters: Returns all active aggregates (up to records_per_page limit)
    - With filters: Applies type/subtype filtering
    
    Date Filtering:
    - date: Specific date filter
    - start_date + end_date: Date range filter
    - No date params: Returns latest available data
    
    Vanda ID Filtering:
    - vanda_ids: Comma-separated Vanda IDs to filter leaderboard
    - Example: "VNDA2000001,VNDA2000138,VNDA2000130"
    - Automatically converts vanda_ids to aggregate_ids for filtering
    
    Options Type/Notional:
    - type=CALL: Ranks by call_turnover
    - type=PUT: Ranks by put_turnover
    - type=ALL: Ranks by cp_turnover
    - notional=CALL: Ranks by call_notional
    - notional=PUT: Ranks by put_notional
    - notional=ALL: Ranks by cp_notional
    
    Options Moneyness/Size:
    - moneyness: TOTAL, ITM, ATM, OTM
    - size: TOTAL, SMALL, LARGE
    
    Type/Subtype Filtering:
    - types: Filter aggregates by type
    - subtypes: Filter aggregates by subtype
    - Both support comma-separated values for multiple filters
    
    Pagination:
    - page_number: Page to retrieve (starts at 1)
    - records_per_page: Number of records per page
    - Response includes pagination metadata with total_record_count, total_pages, and navigation
    
    Integration Use Cases:
    - Top movers by turnover
    - Top performers by price change
    - Type-based rankings
    - All aggregates leaderboard
    - Options by moneyness/size
    - Specific securities leaderboard via vanda_ids

### Get aggregate statistics

 - [GET /aggregates/stats](https://docs.vanda-analytics.com/apis/vanda-msvc-aggregates-manual/aggregates/get_aggregate_stats_aggregates_stats_get.md): Calculate aggregated statistics over a date range.

### Get timeseries for single aggregate

 - [GET /aggregates/{aggregate_id}/timeseries](https://docs.vanda-analytics.com/apis/vanda-msvc-aggregates-manual/aggregates/get_single_aggregate_timeseries_aggregates__aggregate_id__timeseries_get.md): Convenience endpoint for single aggregate timeseries (cached 60 seconds)

### Get latest data point for aggregate

 - [GET /aggregates/{aggregate_id}/latest](https://docs.vanda-analytics.com/apis/vanda-msvc-aggregates-manual/aggregates/get_single_aggregate_latest_aggregates__aggregate_id__latest_get.md): Retrieve the most recent data point for a single aggregate (cached 60 seconds)

## Analytics

### Calculate correlation between two aggregates

 - [POST /aggregates/analytics/correlation](https://docs.vanda-analytics.com/apis/vanda-msvc-aggregates-manual/analytics/calculate_correlation_aggregates_analytics_correlation_post.md): Calculate Pearson correlation coefficient between two aggregates over a date range (Testing).
    
    Returns correlation coefficient between -1 (perfect negative) and 1 (perfect positive).

### Analyse trend for aggregate

 - [POST /aggregates/analytics/trend](https://docs.vanda-analytics.com/apis/vanda-msvc-aggregates-manual/analytics/analyze_trend_aggregates_analytics_trend_post.md): Perform linear regression trend analysis on an aggregate's metric (Testing).

### Calculate volatility metrics

 - [POST /aggregates/analytics/volatility](https://docs.vanda-analytics.com/apis/vanda-msvc-aggregates-manual/analytics/calculate_volatility_aggregates_analytics_volatility_post.md): Calculate volatility metrics for an aggregate (Testing).

## Comparison

### Compare multiple aggregates

 - [POST /aggregates/comparison/compare](https://docs.vanda-analytics.com/apis/vanda-msvc-aggregates-manual/comparison/compare_aggregates_aggregates_comparison_compare_post.md): Compare metrics across multiple aggregates over a date range (Testing).

### Get side-by-side comparison

 - [POST /aggregates/comparison/side-by-side](https://docs.vanda-analytics.com/apis/vanda-msvc-aggregates-manual/comparison/side_by_side_comparison_aggregates_comparison_side_by_side_post.md): Get timeseries data for multiple aggregates for side-by-side comparison (Testing).

## Reference

### Search aggregates

 - [GET /aggregates/reference/search](https://docs.vanda-analytics.com/apis/vanda-msvc-aggregates-manual/reference/search_aggregates_aggregates_reference_search_get.md): Comprehensive search across aggregates and their constituents.
    
    Searches the following fields:
    - Aggregate: vanda_id, type, subtype
    - Constituent securities: vanda_id, figi, symbol, name, sector, industry
    
    Returns aggregates matching any of these criteria (cached 5 minutes).

### Get all types and subtypes

 - [GET /aggregates/reference/types](https://docs.vanda-analytics.com/apis/vanda-msvc-aggregates-manual/reference/get_types_and_subtypes_aggregates_reference_types_get.md): Retrieve all unique aggregate types and their associated subtypes
    from the aggregate master table (cached 1 hour).

### List all aggregate types

 - [GET /aggregates/reference/types/list](https://docs.vanda-analytics.com/apis/vanda-msvc-aggregates-manual/reference/list_aggregate_types_aggregates_reference_types_list_get.md): Get list of all unique aggregate types (cached 1 hour)

### List subtypes

 - [GET /aggregates/reference/subtypes](https://docs.vanda-analytics.com/apis/vanda-msvc-aggregates-manual/reference/list_aggregate_subtypes_aggregates_reference_subtypes_get.md): Get list of unique subtypes, optionally filtered by type (cached 1 hour)

### List all index aggregates

 - [GET /aggregates/reference/list/indices](https://docs.vanda-analytics.com/apis/vanda-msvc-aggregates-manual/reference/list_indices_aggregates_reference_list_indices_get.md): Retrieve list of all index aggregates (cached 1 hour)

### List all sector/industry aggregates

 - [GET /aggregates/reference/list/sectors-industries](https://docs.vanda-analytics.com/apis/vanda-msvc-aggregates-manual/reference/list_sectors_industries_aggregates_reference_list_sectors_industries_get.md): Retrieve list of all sector and industry aggregates (cached 1 hour)

### Get aggregate metadata by Vanda ID

 - [GET /aggregates/reference/{vanda_id}](https://docs.vanda-analytics.com/apis/vanda-msvc-aggregates-manual/reference/get_aggregate_metadata_aggregates_reference__vanda_id__get.md): Retrieve metadata for an aggregate by its Vanda ID.

### Get aggregate constituents

 - [GET /aggregates/reference/{vanda_id}/constituents](https://docs.vanda-analytics.com/apis/vanda-msvc-aggregates-manual/reference/get_constituents_aggregates_reference__vanda_id__constituents_get.md): Retrieve constituent security IDs for an aggregate.

## Summary

### Get comprehensive aggregate summary

 - [GET /aggregates/summary/{aggregate_id}](https://docs.vanda-analytics.com/apis/vanda-msvc-aggregates-manual/summary/get_aggregate_summary_aggregates_summary__aggregate_id__get.md): Get comprehensive summary for an aggregate including:
    - Latest data point
    - Trend analysis (30-day lookback)
    - Constituent count
    - Metadata

### Get top constituents

 - [POST /aggregates/summary/top-constituents](https://docs.vanda-analytics.com/apis/vanda-msvc-aggregates-manual/summary/get_top_constituents_aggregates_summary_top_constituents_post.md): Get top N constituents of an aggregate ranked by a metric.
    
    Integration Use cases:
    - Top contributors to index
    - Sector leaders
    - Most active securities in aggregate