Livevol Web API - GET allaccess/time-and-sales/level2

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 9.223372036854776E+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.

Name

Description

Type

Additional information

sequence_number

Sequence number

integer

Required

Range: inclusive between 0 and 9.223372036854776E+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>