/allaccess/time-and-sales/pre-trade-snapshot-and-interval?min_time={min_time}&max_time={max_time}&time_ranges={time_ranges}&condition_id={condition_id}&mode={mode}&start_sequence_number={start_sequence_number}&exchange_id={exchange_id}&limit={limit}&order_by_time={order_by_time}&date={date}&symbol={symbol}
Example URI
Live (6 points)
https://api.livevol.com/v1/live/allaccess/time-and-sales/pre-trade-snapshot-and-interval?min_time=09:30:00.001&max_time=15:39:58.123&time_ranges=09:30:01-09:30:05,09:30:11-09:30:15&condition_id=0&mode=NBBO_CHANGES&start_sequence_number=0&exchange_id=1&limit=10&order_by_time=ASC&date=2019-01-18&symbol=AAPL
Delayed (10 points)
https://api.livevol.com/v1/delayed/allaccess/time-and-sales/pre-trade-snapshot-and-interval?min_time=09:30:00.001&max_time=15:39:58.123&time_ranges=09:30:01-09:30:05,09:30:11-09:30:15&condition_id=0&mode=NBBO_CHANGES&start_sequence_number=0&exchange_id=1&limit=10&order_by_time=ASC&date=2019-01-18&symbol=AAPL
Historical (10 points)
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/pre-trade-snapshot-and-interval?min_time=09:30:00.001&max_time=15:39:58.123&time_ranges=09:30:01-09:30:05,09:30:11-09:30:15&condition_id=0&mode=NBBO_CHANGES&start_sequence_number=0&exchange_id=1&limit=10&order_by_time=ASC&date=2019-01-18&symbol=AAPL
https://api.livevol.com/v1/delayed/allaccess/time-and-sales/pre-trade-snapshot-and-interval?min_time=09:30:00.001&max_time=15:39:58.123&time_ranges=09:30:01-09:30:05,09:30:11-09:30:15&condition_id=0&mode=NBBO_CHANGES&start_sequence_number=0&exchange_id=1&limit=10&order_by_time=ASC&date=2019-01-18&symbol=AAPL
Request Information
URI Parameters
| Name | Description | Type | Additional information |
|---|---|---|---|
| min_time |
First millisecond after midnight which will be included in the results (i.e. "09:30:00.001") (Eastern Standard Time) |
time interval |
Constraint: value should be less than or equal to max_time value Range: inclusive between 00:00:00.000 and 23:59:59.999 |
| max_time |
Last millisecond after midnight which will be included in the results (i.e. "15:39:58.123") (Eastern Standard Time) |
time interval |
Constraint: value should be greater than or equal to min_time value Range: inclusive between 00:00:00.000 and 23:59:59.999 |
| time_ranges |
Can be used instead of (or as a complement to) min_time max_time |
string |
None |
| condition_id | string |
None |
|
| mode |
Mode |
string |
Allowed values are [ ALL_QUOTES, NBBO_CHANGES, QUOTES_ON_NBBO ] Default value is: ALL_QUOTES |
| start_sequence_number |
Start sequence number |
integer |
Range: inclusive between 0 and 9.223372036854776E+18 |
| exchange_id | byte |
Range: inclusive between 0 and 255 |
|
| limit |
Limit |
integer |
Default value is: 10000 Range: inclusive between 0 and 10000 |
| order_by_time |
Descending or ascending order by time |
string |
Allowed values are [ ASC, DESC ] Default value is: ASC |
| 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:
|
Response Information
Resource Description
Collection of TradesMixedWithQuotesGroup
| Name | Description | Type | Additional information | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| leading_quotes |
Latest quote from each exchange prior to the specified time range (for non-zero bid size and ask size). |
Collection of types:
UnderlyingQuote OptionQuote |
None |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
UnderlyingQuote
OptionQuote
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| interval_data |
Trades and Quotes in time interval |
Collection of types:
OptionTrade OptionQuote Collection of types: UnderlyingTrade UnderlyingQuote |
None |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
OptionTrade
OptionQuote
UnderlyingTrade
UnderlyingQuote
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| start_time |
First millisecond after midnight which will be included in the results (i.e. "09:30:00.001") (Eastern Standard Time) |
string |
None |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| end_time |
Last millisecond after midnight which will be included in the results (i.e. "15:39:58.123") (Eastern Standard Time) |
string |
None |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Response Formats
application/json, text/json
[
{
"leading_quotes": [
{
"bid_size": 100,
"bid": 300.1,
"ask_size": 100,
"ask": 300.8,
"underlying_bid": 299.5,
"underlying_ask": 301.5,
"flag": 1,
"best_ask_exchange": 3,
"best_bid_exchange": 3,
"timestamp": "09:30:00.001",
"exchange_id": 3,
"condition_id": 5,
"seq_no": 3123313,
"nbbo_bid": 10.05,
"nbbo_bid_size": 100,
"nbbo_ask": 10.75,
"nbbo_ask_size": 85
},
{
"bid_size": 2000,
"bid": 300.2,
"ask_size": 2000,
"ask": 300.9,
"underlying_bid": 499.9,
"underlying_ask": 501.9,
"flag": 2,
"best_ask_exchange": 4,
"best_bid_exchange": 4,
"timestamp": "15:39:58.123",
"exchange_id": 4,
"condition_id": 6,
"seq_no": 412333312,
"nbbo_bid": 10.55,
"nbbo_bid_size": 120,
"nbbo_ask": 10.95,
"nbbo_ask_size": 90
}
],
"interval_data": [
{
"security": "D200925C00030000",
"root": "D",
"expiry": "2020-09-25",
"strike": 30.0,
"option_type": "P",
"option_ask": 10.75,
"option_ask_size": 85,
"option_bid": 10.05,
"option_bid_size": 100,
"option_trade_price": 300.5,
"option_trade_size": 100,
"option_trade_at": "Below Bid",
"underlying_bid": 299.5,
"underlying_ask": 301.5,
"condition_id": 5,
"exchange_id": 3,
"exchange_seq_no": 3333,
"cancel_flag": 0,
"timestamp": "09:30:00.001",
"seq_no": 3123313
},
{
"bid_size": 2000,
"bid": 300.2,
"ask_size": 2000,
"ask": 300.9,
"underlying_bid": 499.9,
"underlying_ask": 501.9,
"flag": 2,
"best_ask_exchange": 4,
"best_bid_exchange": 4,
"timestamp": "15:39:58.123",
"exchange_id": 4,
"condition_id": 6,
"seq_no": 412333312,
"nbbo_bid": 10.55,
"nbbo_bid_size": 120,
"nbbo_ask": 10.95,
"nbbo_ask_size": 90
}
],
"start_time": "09:30:01.000",
"end_time": "09:30:05.000"
},
{
"leading_quotes": [
{
"bid_size": 100,
"bid": 300.1,
"ask_size": 100,
"ask": 300.8,
"underlying_bid": 299.5,
"underlying_ask": 301.5,
"flag": 1,
"best_ask_exchange": 3,
"best_bid_exchange": 3,
"timestamp": "09:30:00.001",
"exchange_id": 3,
"condition_id": 5,
"seq_no": 3123313,
"nbbo_bid": 10.05,
"nbbo_bid_size": 100,
"nbbo_ask": 10.75,
"nbbo_ask_size": 85
},
{
"bid_size": 2000,
"bid": 300.2,
"ask_size": 2000,
"ask": 300.9,
"underlying_bid": 499.9,
"underlying_ask": 501.9,
"flag": 2,
"best_ask_exchange": 4,
"best_bid_exchange": 4,
"timestamp": "15:39:58.123",
"exchange_id": 4,
"condition_id": 6,
"seq_no": 412333312,
"nbbo_bid": 10.55,
"nbbo_bid_size": 120,
"nbbo_ask": 10.95,
"nbbo_ask_size": 90
}
],
"interval_data": [
{
"security": "D200925C00030000",
"root": "D",
"expiry": "2020-09-25",
"strike": 30.0,
"option_type": "P",
"option_ask": 10.75,
"option_ask_size": 85,
"option_bid": 10.05,
"option_bid_size": 100,
"option_trade_price": 300.5,
"option_trade_size": 100,
"option_trade_at": "Below Bid",
"underlying_bid": 299.5,
"underlying_ask": 301.5,
"condition_id": 5,
"exchange_id": 3,
"exchange_seq_no": 3333,
"cancel_flag": 0,
"timestamp": "09:30:00.001",
"seq_no": 3123313
},
{
"bid_size": 2000,
"bid": 300.2,
"ask_size": 2000,
"ask": 300.9,
"underlying_bid": 499.9,
"underlying_ask": 501.9,
"flag": 2,
"best_ask_exchange": 4,
"best_bid_exchange": 4,
"timestamp": "15:39:58.123",
"exchange_id": 4,
"condition_id": 6,
"seq_no": 412333312,
"nbbo_bid": 10.55,
"nbbo_bid_size": 120,
"nbbo_ask": 10.95,
"nbbo_ask_size": 90
}
],
"start_time": "09:30:11.000",
"end_time": "09:30:15.000"
}
]application/xml, text/xml
<trades_and_quotes_groups xmlns:i="http://www.w3.org/2001/XMLSchema-instance">
<trades_and_quotes_group>
<end_time>09:30:05.000</end_time>
<interval_data>
<message xmlns="" i:type="option_trade">
<condition_id>5</condition_id>
<exchange_id>3</exchange_id>
<nbbo_ask>10.75</nbbo_ask>
<nbbo_ask_size>85</nbbo_ask_size>
<nbbo_bid>10.05</nbbo_bid>
<nbbo_bid_size>100</nbbo_bid_size>
<seq_no>3123313</seq_no>
<timestamp>09:30:00.001</timestamp>
<cancel_flag>0</cancel_flag>
<exchange_seq_no>3333</exchange_seq_no>
<price>300.5</price>
<security>D200925C00030000</security>
<size>100</size>
<trade_at>Below Bid</trade_at>
<expiry>2020-09-25</expiry>
<option_type>P</option_type>
<root>D</root>
<strike>30</strike>
<underlying_ask>301.5</underlying_ask>
<underlying_bid>299.5</underlying_bid>
</message>
<message xmlns="" i:type="option_quote">
<condition_id>6</condition_id>
<exchange_id>4</exchange_id>
<nbbo_ask>10.95</nbbo_ask>
<nbbo_ask_size>90</nbbo_ask_size>
<nbbo_bid>10.55</nbbo_bid>
<nbbo_bid_size>120</nbbo_bid_size>
<seq_no>412333312</seq_no>
<timestamp>15:39:58.123</timestamp>
<ask>300.9</ask>
<ask_size>2000</ask_size>
<best_ask_exchange>4</best_ask_exchange>
<best_bid_exchange>4</best_bid_exchange>
<bid>300.2</bid>
<bid_size>2000</bid_size>
<flag>2</flag>
<underlying_ask>501.9</underlying_ask>
<underlying_bid>499.9</underlying_bid>
</message>
</interval_data>
<leading_quotes>
<quote xmlns="" i:type="option_quote">
<condition_id>5</condition_id>
<exchange_id>3</exchange_id>
<nbbo_ask>10.75</nbbo_ask>
<nbbo_ask_size>85</nbbo_ask_size>
<nbbo_bid>10.05</nbbo_bid>
<nbbo_bid_size>100</nbbo_bid_size>
<seq_no>3123313</seq_no>
<timestamp>09:30:00.001</timestamp>
<ask>300.8</ask>
<ask_size>100</ask_size>
<best_ask_exchange>3</best_ask_exchange>
<best_bid_exchange>3</best_bid_exchange>
<bid>300.1</bid>
<bid_size>100</bid_size>
<flag>1</flag>
<underlying_ask>301.5</underlying_ask>
<underlying_bid>299.5</underlying_bid>
</quote>
<quote xmlns="" i:type="option_quote">
<condition_id>6</condition_id>
<exchange_id>4</exchange_id>
<nbbo_ask>10.95</nbbo_ask>
<nbbo_ask_size>90</nbbo_ask_size>
<nbbo_bid>10.55</nbbo_bid>
<nbbo_bid_size>120</nbbo_bid_size>
<seq_no>412333312</seq_no>
<timestamp>15:39:58.123</timestamp>
<ask>300.9</ask>
<ask_size>2000</ask_size>
<best_ask_exchange>4</best_ask_exchange>
<best_bid_exchange>4</best_bid_exchange>
<bid>300.2</bid>
<bid_size>2000</bid_size>
<flag>2</flag>
<underlying_ask>501.9</underlying_ask>
<underlying_bid>499.9</underlying_bid>
</quote>
</leading_quotes>
<start_time>09:30:01.000</start_time>
</trades_and_quotes_group>
<trades_and_quotes_group>
<end_time>09:30:15.000</end_time>
<interval_data>
<message xmlns="" i:type="option_trade">
<condition_id>5</condition_id>
<exchange_id>3</exchange_id>
<nbbo_ask>10.75</nbbo_ask>
<nbbo_ask_size>85</nbbo_ask_size>
<nbbo_bid>10.05</nbbo_bid>
<nbbo_bid_size>100</nbbo_bid_size>
<seq_no>3123313</seq_no>
<timestamp>09:30:00.001</timestamp>
<cancel_flag>0</cancel_flag>
<exchange_seq_no>3333</exchange_seq_no>
<price>300.5</price>
<security>D200925C00030000</security>
<size>100</size>
<trade_at>Below Bid</trade_at>
<expiry>2020-09-25</expiry>
<option_type>P</option_type>
<root>D</root>
<strike>30</strike>
<underlying_ask>301.5</underlying_ask>
<underlying_bid>299.5</underlying_bid>
</message>
<message xmlns="" i:type="option_quote">
<condition_id>6</condition_id>
<exchange_id>4</exchange_id>
<nbbo_ask>10.95</nbbo_ask>
<nbbo_ask_size>90</nbbo_ask_size>
<nbbo_bid>10.55</nbbo_bid>
<nbbo_bid_size>120</nbbo_bid_size>
<seq_no>412333312</seq_no>
<timestamp>15:39:58.123</timestamp>
<ask>300.9</ask>
<ask_size>2000</ask_size>
<best_ask_exchange>4</best_ask_exchange>
<best_bid_exchange>4</best_bid_exchange>
<bid>300.2</bid>
<bid_size>2000</bid_size>
<flag>2</flag>
<underlying_ask>501.9</underlying_ask>
<underlying_bid>499.9</underlying_bid>
</message>
</interval_data>
<leading_quotes>
<quote xmlns="" i:type="option_quote">
<condition_id>5</condition_id>
<exchange_id>3</exchange_id>
<nbbo_ask>10.75</nbbo_ask>
<nbbo_ask_size>85</nbbo_ask_size>
<nbbo_bid>10.05</nbbo_bid>
<nbbo_bid_size>100</nbbo_bid_size>
<seq_no>3123313</seq_no>
<timestamp>09:30:00.001</timestamp>
<ask>300.8</ask>
<ask_size>100</ask_size>
<best_ask_exchange>3</best_ask_exchange>
<best_bid_exchange>3</best_bid_exchange>
<bid>300.1</bid>
<bid_size>100</bid_size>
<flag>1</flag>
<underlying_ask>301.5</underlying_ask>
<underlying_bid>299.5</underlying_bid>
</quote>
<quote xmlns="" i:type="option_quote">
<condition_id>6</condition_id>
<exchange_id>4</exchange_id>
<nbbo_ask>10.95</nbbo_ask>
<nbbo_ask_size>90</nbbo_ask_size>
<nbbo_bid>10.55</nbbo_bid>
<nbbo_bid_size>120</nbbo_bid_size>
<seq_no>412333312</seq_no>
<timestamp>15:39:58.123</timestamp>
<ask>300.9</ask>
<ask_size>2000</ask_size>
<best_ask_exchange>4</best_ask_exchange>
<best_bid_exchange>4</best_bid_exchange>
<bid>300.2</bid>
<bid_size>2000</bid_size>
<flag>2</flag>
<underlying_ask>501.9</underlying_ask>
<underlying_bid>499.9</underlying_bid>
</quote>
</leading_quotes>
<start_time>09:30:11.000</start_time>
</trades_and_quotes_group>
</trades_and_quotes_groups>