< API Reference
GET
/allaccess/time-and-sales/level2?sequence_number={sequence_number}&date={date}&symbol={symbol}
Obtain Level 2 across all market participants for options and equities. Sequence number from the trade or quote can be passed in to retrieve Level 2 data. Subscription to licensed data provider(s) is required for live and delayed requests.

Example URI

Live (4 points)

https://api.livevol.com/v1/live/allaccess/time-and-sales/level2?sequence_number=1000&date=2019-01-18&symbol=AAPL

Delayed (8 points)

https://api.livevol.com/v1/delayed/allaccess/time-and-sales/level2?sequence_number=1000&date=2019-01-18&symbol=AAPL

Historical (8 points)

Historical data available from 2003.
To make a historical request, set the 'date' parameter to a day prior to the current day using the live or delayed endpoint.

https://api.livevol.com/v1/live/allaccess/time-and-sales/level2?sequence_number=1000&date=2019-01-18&symbol=AAPL
https://api.livevol.com/v1/delayed/allaccess/time-and-sales/level2?sequence_number=1000&date=2019-01-18&symbol=AAPL

Request Information

URI Parameters

Name Description Type Additional information
sequence_number

Sequence number

integer

Required

Range: inclusive between 0 and 9.22337203685478E+18

date

Trading date

string

Required

Date in yyyy-MM-dd format. (i.e. 2019-01-18)

symbol

Stock symbol or OSI-formatted option symbol

string

Required

OSI-formatted Option Symbol consists of the following:

  • Root of underlying, index, or ETF
  • Expiration date, represented as yymmdd
  • Option type, represented as P or C for put or call
  • Strike, represented as the price x 1000, front padded with 0s totalling 8 digits
For ex., call option for AAPL expiring 03 / 05 / 2021 with strike of $70.00 can be denoted as AAPL210305C00070000.

Response Information

Resource Description

Collection of Level2

Name Description Type Additional information SIP Provider
bid_size

Bid size

integer

SIP subscription is required for live or delayed requests

CTA & UTP

OPRA

bid

Bid

decimal number

SIP subscription is required for live or delayed requests

CTA & UTP

OPRA

ask_size

Ask size

integer

SIP subscription is required for live or delayed requests

CTA & UTP

OPRA

ask

Ask

decimal number

SIP subscription is required for live or delayed requests

CTA & UTP

OPRA

exchange_id

Exchange id

byte

None

None

Response Formats

application/json, text/json

Sample:
[
  {
    "bid_size": 100,
    "bid": 300.1,
    "ask_size": 100,
    "ask": 300.8,
    "exchange_id": 3
  },
  {
    "bid_size": 2000,
    "bid": 300.2,
    "ask_size": 2000,
    "ask": 300.9,
    "exchange_id": 4
  }
]

application/xml, text/xml

Sample:
<level2s xmlns:i="http://www.w3.org/2001/XMLSchema-instance">
  <level2>
    <ask>300.8</ask>
    <ask_size>100</ask_size>
    <bid>300.1</bid>
    <bid_size>100</bid_size>
    <exchange_id>3</exchange_id>
  </level2>
  <level2>
    <ask>300.9</ask>
    <ask_size>2000</ask_size>
    <bid>300.2</bid>
    <bid_size>2000</bid_size>
    <exchange_id>4</exchange_id>
  </level2>
</level2s>