< API Reference
GET
/allaccess/time-and-sales/underlying-trades?symbol={symbol}&min_time={min_time}&max_time={max_time}&seq_no={seq_no}&exchange_id={exchange_id}&condition_id={condition_id}&limit={limit}&min_size={min_size}&max_size={max_size}&min_price={min_price}&max_price={max_price}&date={date}
Get current and historical trades for any underlying security. To lock on the trades you’re searching for, leverage our extensive filtering on time, price, size, exchange, and trade condition. Sequence number can be used to page through the trade data. Exchange codes can be mapped to API reference method /reference/exchanges, while trade condition id can be mapped to reference method /reference/message-conditions. This method returns NBBO bid and ask in addition to trade details.

Example URI

Live (15 points)

https://api.livevol.com/v1/live/allaccess/time-and-sales/underlying-trades?symbol=CBOE&min_time=09:30:00.001&max_time=10:00:00.001&seq_no=0&exchange_id=1&condition_id=0&limit=10&min_size=5&max_size=100&min_price=0.25&max_price=300&date=2019-01-18

Delayed (30 points)

https://api.livevol.com/v1/delayed/allaccess/time-and-sales/underlying-trades?symbol=CBOE&min_time=09:30:00.001&max_time=10:00:00.001&seq_no=0&exchange_id=1&condition_id=0&limit=10&min_size=5&max_size=100&min_price=0.25&max_price=300&date=2019-01-18

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/underlying-trades?symbol=CBOE&min_time=09:30:00.001&max_time=10:00:00.001&seq_no=0&exchange_id=1&condition_id=0&limit=10&min_size=5&max_size=100&min_price=0.25&max_price=300&date=2019-01-18
https://api.livevol.com/v1/delayed/allaccess/time-and-sales/underlying-trades?symbol=CBOE&min_time=09:30:00.001&max_time=10:00:00.001&seq_no=0&exchange_id=1&condition_id=0&limit=10&min_size=5&max_size=100&min_price=0.25&max_price=300&date=2019-01-18

Request Information

URI Parameters

NameDescriptionTypeAdditional information
symbol

Underlying symbol

string

Required

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. "10:00:00.001") (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

seq_no

Start sequence number

integer

Default value is: 0

Range: inclusive between 0 and 9.22337203685478E+18

exchange_id

Exchange id

byte

Range: inclusive between 0 and 255

condition_id

Condition id

byte

None.

limit

Limit

integer

Default value is: 100

Range: inclusive between 0 and 10000

min_size

Min trade size value

integer

Constraint: value should be less than or equal to max_size value

Range: inclusive between 0 and 2147483647

max_size

Max trade size value

integer

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

Range: inclusive between 0 and 2147483647

min_price

Min trade price value

decimal number

Constraint: value should be less than or equal to max_price value

Range: inclusive between 0 and 1.79769313486232E+308

max_price

Max trade price value

decimal number

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

Range: inclusive between 0 and 1.79769313486232E+308

date

Trading date

string

Required

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

Response Information

Resource Description

Collection of UnderlyingTrade

NameDescriptionTypeAdditional information
security

Underlying symbol

string

None.

underlying_ask

NBBO ask

decimal number

Field requires subscription from licensed data provider(s) for live or delayed requests; otherwise, returns null.

underlying_ask_size

NBBO ask size

integer

Field requires subscription from licensed data provider(s) for live or delayed requests; otherwise, returns null.

underlying_bid

NBBO bid

decimal number

Field requires subscription from licensed data provider(s) for live or delayed requests; otherwise, returns null.

underlying_bid_size

NBBO bid size

integer

Field requires subscription from licensed data provider(s) for live or delayed requests; otherwise, returns null.

underlying_trade_price

Underlying trade price

decimal number

Field requires subscription from licensed data provider(s) for live or delayed requests; otherwise, returns null.

underlying_trade_size

Underlying trade size

integer

None.

underlying_trade_at

Underlying trade price in relation to underlying market: Below Bid, On Bid, Mid Market, On Ask, Above Ask

string

None.

condition_id

Trade Condition ID

byte

None.

exchange_id

Trade Exchange ID

byte

None.

exchange_seq_no

Exchange sequence number

integer

None.

cancel_flag

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

integer

None.

seq_no

Sequence number

integer

None.

timestamp

Timestamp

string

None.

Response Formats

application/json, text/json

Sample:
[
  {
    "security": "AAPL",
    "underlying_ask": 10.75,
    "underlying_ask_size": 85,
    "underlying_bid": 10.05,
    "underlying_bid_size": 100,
    "underlying_trade_price": 300.5,
    "underlying_trade_size": 100,
    "underlying_trade_at": "Below Bid",
    "condition_id": 5,
    "exchange_id": 3,
    "exchange_seq_no": 3333,
    "cancel_flag": 0,
    "seq_no": 3123313,
    "timestamp": "09:30:00.001"
  },
  {
    "security": null,
    "underlying_ask": 10.95,
    "underlying_ask_size": 90,
    "underlying_bid": 10.55,
    "underlying_bid_size": 120,
    "underlying_trade_price": 500.9,
    "underlying_trade_size": 2000,
    "underlying_trade_at": "On Bid",
    "condition_id": 6,
    "exchange_id": 4,
    "exchange_seq_no": 555555,
    "cancel_flag": 1,
    "seq_no": 412333312,
    "timestamp": "15:39:58.123"
  }
]

application/xml, text/xml

Sample:
<underlying_trades xmlns:i="http://www.w3.org/2001/XMLSchema-instance">
  <underlying_trade>
    <cancel_flag>0</cancel_flag>
    <condition_id>5</condition_id>
    <exchange_id>3</exchange_id>
    <exchange_seq_no>3333</exchange_seq_no>
    <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>
    <price>300.5</price>
    <security>AAPL</security>
    <seq_no>3123313</seq_no>
    <size>100</size>
    <timestamp>09:30:00.001</timestamp>
    <trade_at>Below Bid</trade_at>
  </underlying_trade>
  <underlying_trade>
    <cancel_flag>1</cancel_flag>
    <condition_id>6</condition_id>
    <exchange_id>4</exchange_id>
    <exchange_seq_no>555555</exchange_seq_no>
    <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>
    <price>500.9</price>
    <security i:nil="true" />
    <seq_no>412333312</seq_no>
    <size>2000</size>
    <timestamp>15:39:58.123</timestamp>
    <trade_at>On Bid</trade_at>
  </underlying_trade>
</underlying_trades>