< API Reference
GET
/allaccess/time-and-sales/trades-and-quotes?condition_id={condition_id}&quote_condition_id={quote_condition_id}&trade_condition_id={trade_condition_id}&mode={mode}&start_sequence_number={start_sequence_number}&exchange_id={exchange_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 trades and quotes for option and equities in a single response. Leverage filters on time, exchange, condition and more. 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/trades-and-quotes?condition_id=sample%20string%201&quote_condition_id=11&trade_condition_id=0&mode=NBBO_CHANGES&start_sequence_number=0&exchange_id=1&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/trades-and-quotes?condition_id=sample%20string%201&quote_condition_id=11&trade_condition_id=0&mode=NBBO_CHANGES&start_sequence_number=0&exchange_id=1&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)

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/trades-and-quotes?condition_id=sample%20string%201&quote_condition_id=11&trade_condition_id=0&mode=NBBO_CHANGES&start_sequence_number=0&exchange_id=1&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/trades-and-quotes?condition_id=sample%20string%201&quote_condition_id=11&trade_condition_id=0&mode=NBBO_CHANGES&start_sequence_number=0&exchange_id=1&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
quote_condition_id

Comma-separated list of Quote condition ids

string

None

trade_condition_id

Comma-separated list of Trade condition ids

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 9.22337203685478E+18

exchange_id

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

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:
Trade

Name Description Type Additional information SIP Provider
size

Size

integer

None

None

price

Price

decimal number

None

None

flag

Cancel flag (0=normal, 1=canceled trade, 2=cancel trade message)

integer

None

None

exch_sequence_number

Exchange sequence number

integer

None

None

time

Time (Eastern Standard Time)

string

None

None

exchange_id

Exchange id

byte

None

None

condition_id

Condition id

byte

None

None

sequence_number

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

Quote
Name Description Type Additional information SIP Provider
best_ask_exchange

Best ask exchange

byte

None

None

best_bid_exchange

Best bid exchange

byte

None

None

bid_size

Bid size

integer

None

None

bid

Bid

decimal number

None

None

ask_size

Ask size

integer

None

None

ask

Ask

decimal number

None

None

flag

Bit mask flag [NBBO_BEST_BID(int value 1), NBBO_BEST_ASK(int value 2)]

integer

None

None

time

Time (Eastern Standard Time)

string

None

None

exchange_id

Exchange id

byte

None

None

condition_id

Condition id

byte

None

None

sequence_number

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
underlying_bid

Underlying bid

decimal number

None

None

underlying_ask

Underlying ask

decimal number

None

None

bid_size

Bid size

integer

None

None

bid

Bid

decimal number

None

None

ask_size

Ask size

integer

None

None

ask

Ask

decimal number

None

None

flag

Bit mask flag [NBBO_BEST_BID(int value 1), NBBO_BEST_ASK(int value 2)]

integer

None

None

best_ask_exchange

Best bid exchange

byte

None

None

best_bid_exchange

Best ask exchange

byte

None

None

time

Time (Eastern Standard Time)

string

None

None

exchange_id

Exchange id

byte

None

None

condition_id

Condition id

byte

None

None

sequence_number

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:
[
  {
    "size": 100,
    "price": 300.5,
    "flag": 0,
    "exch_sequence_number": 3333,
    "time": "09:30:00.001",
    "exchange_id": 3,
    "condition_id": 5,
    "sequence_number": 3123313,
    "nbbo_bid": 10.05,
    "nbbo_bid_size": 100,
    "nbbo_ask": 10.75,
    "nbbo_ask_size": 85
  },
  {
    "best_ask_exchange": 3,
    "best_bid_exchange": 3,
    "bid_size": 100,
    "bid": 300.1,
    "ask_size": 100,
    "ask": 300.8,
    "flag": 1,
    "time": "09:30:00.001",
    "exchange_id": 3,
    "condition_id": 5,
    "sequence_number": 3123313,
    "nbbo_bid": 10.05,
    "nbbo_bid_size": 100,
    "nbbo_ask": 10.75,
    "nbbo_ask_size": 85
  },
  {
    "underlying_bid": 299.5,
    "underlying_ask": 301.5,
    "bid_size": 100,
    "bid": 300.1,
    "ask_size": 100,
    "ask": 300.8,
    "flag": 1,
    "best_ask_exchange": 3,
    "best_bid_exchange": 3,
    "time": "09:30:00.001",
    "exchange_id": 3,
    "condition_id": 5,
    "sequence_number": 3123313,
    "nbbo_bid": 10.05,
    "nbbo_bid_size": 100,
    "nbbo_ask": 10.75,
    "nbbo_ask_size": 85
  }
]