< API Reference
GET
/allaccess/time-and-sales/quotes?start_sequence_number={start_sequence_number}&exchange_id={exchange_id}&condition_id={condition_id}&limit={limit}&order_by_time={order_by_time}&min_time={min_time}&max_time={max_time}&date={date}&symbol={symbol}
Get current and historical quotes for option and equities. Sequence number can be used to page through the trade data. Subscription to licensed data provider(s) is required for live and delayed requests.

Example URI

Live (15 points)

https://api.livevol.com/v1/live/allaccess/time-and-sales/quotes?start_sequence_number=0&exchange_id=1&condition_id=11&limit=10&order_by_time=ASC&min_time=09:30:00.001&max_time=10:00:00.001&date=2019-01-18&symbol=AAPL

Delayed (30 points)

https://api.livevol.com/v1/delayed/allaccess/time-and-sales/quotes?start_sequence_number=0&exchange_id=1&condition_id=11&limit=10&order_by_time=ASC&min_time=09:30:00.001&max_time=10:00:00.001&date=2019-01-18&symbol=AAPL

Historical (15 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/quotes?start_sequence_number=0&exchange_id=1&condition_id=11&limit=10&order_by_time=ASC&min_time=09:30:00.001&max_time=10:00:00.001&date=2019-01-18&symbol=AAPL
https://api.livevol.com/v1/delayed/allaccess/time-and-sales/quotes?start_sequence_number=0&exchange_id=1&condition_id=11&limit=10&order_by_time=ASC&min_time=09:30:00.001&max_time=10:00:00.001&date=2019-01-18&symbol=AAPL

Request Information

URI Parameters

Name Description Type Additional information
start_sequence_number

Start sequence number

integer

Range: inclusive between 0 and 9.22337203685478E+18

exchange_id

Exchange id

byte

Range: inclusive between 0 and 255

condition_id

Comma-separated list of Condition ids

string

None

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

min_time

First millisecond after midnight which will be included in the results (i.e. "09:30:00.001") (Eastern Standard Time)

time interval

Required

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. "10:00:00.001") (Eastern Standard Time)

time interval

Required

Constraint: value should be greater than or equal to min_time value

Range: inclusive between 00:00:00.000 and 23:59:59.999

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 types:
UnderlyingQuote

Name Description Type Additional information SIP Provider
bid_size

Bid size

integer

SIP subscription is required for live or delayed requests

CTA & UTP

CSMI

bid

Bid

decimal number

SIP subscription is required for live or delayed requests

CTA & UTP

CSMI

ask_size

Ask size

integer

SIP subscription is required for live or delayed requests

CTA & UTP

CSMI

ask

Ask

decimal number

SIP subscription is required for live or delayed requests

CTA & UTP

CSMI

flag

Bit mask flag

integer

1=NBBO_BEST_BID, 2=NBBO_BEST_ASK

None

best_ask_exchange

Best ask exchange

byte

None

None

best_bid_exchange

Best bid exchange

byte

None

None

timestamp

Timestamp

string

None

None

exchange_id

Exchange id

byte

None

None

condition_id

Condition id

byte

None

None

seq_no

Sequence number

integer

None

None

nbbo_bid

NBBO bid

decimal number

None

None

nbbo_bid_size

NBBO bid size

integer

None

None

nbbo_ask

NBBO ask

decimal number

None

None

nbbo_ask_size

NBBO ask size

integer

None

None

OptionQuote
Name Description Type Additional information SIP Provider
bid_size

Bid size

integer

SIP subscription is required for live or delayed requests

OPRA

bid

Bid

decimal number

SIP subscription is required for live or delayed requests

OPRA

ask_size

Ask size

integer

SIP subscription is required for live or delayed requests

OPRA

ask

Ask

decimal number

SIP subscription is required for live or delayed requests

OPRA

underlying_bid

Underlying bid

decimal number

SIP subscription is required for live or delayed requests; otherwise, returns null

CTA & UTP

CSMI

underlying_ask

Underlying ask

decimal number

SIP subscription is required for live or delayed requests; otherwise, returns null

CTA & UTP

CSMI

flag

Bit mask flag

integer

1=NBBO_BEST_BID, 2=NBBO_BEST_ASK

None

best_ask_exchange

Best ask exchange

byte

None

None

best_bid_exchange

Best bid exchange

byte

None

None

timestamp

Timestamp

string

None

None

exchange_id

Exchange id

byte

None

None

condition_id

Condition id

byte

None

None

seq_no

Sequence number

integer

None

None

nbbo_bid

NBBO bid

decimal number

None

None

nbbo_bid_size

NBBO bid size

integer

None

None

nbbo_ask

NBBO ask

decimal number

None

None

nbbo_ask_size

NBBO ask size

integer

None

None

Response Formats

application/json, text/json

Sample:
{
  "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
}

application/xml, text/xml

Sample:
<option_quote xmlns:i="http://www.w3.org/2001/XMLSchema-instance">
  <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>
</option_quote>