< API Reference
GET
/time-and-sales/trades-and-quotes?quote_condition_id={quote_condition_id}&trade_condition_id={trade_condition_id}&condition_id={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}

ANY OF

STOCKS
OPTIONS
CFE FUTURES
Get historical trades and quotes for a symbol

Example URI

Live

https://api.livevol.com/v1/live/time-and-sales/trades-and-quotes?quote_condition_id=3&trade_condition_id=3&condition_id=sample%20string%201&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

https://api.livevol.com/v1/delayed/time-and-sales/trades-and-quotes?quote_condition_id=3&trade_condition_id=3&condition_id=sample%20string%201&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

NameDescriptionTypeAdditional 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: 100000

Range: inclusive between 0 and 100000

order_by_time

Limit

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

Response Information

Resource Description

Collection of types:
Trade

NameDescriptionTypeAdditional information
size

Size

integer

None.

price

Price

decimal number

None.

flag

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

integer

None.

exch_sequence_number

Exchange sequence number

integer

None.

time

Time (Eastern Standard Time)

string

None.

exchange_id

Exchange id

byte

None.

condition_id

Condition id

byte

None.

sequence_number

Sequence number

integer

None.

nbbo_bid

NBBO bid

decimal number

None.

nbbo_bid_size

NBBO bid size

integer

None.

nbbo_ask

NBBO ask

decimal number

None.

nbbo_ask_size

NBBO ask size

integer

None.

Quote
NameDescriptionTypeAdditional information
bid_size

Bid size

integer

None.

bid

Bid

decimal number

None.

ask_size

Ask size

integer

None.

ask

Quote bid

decimal number

None.

flag

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

integer

None.

best_ask_exchange

Best bid exchange

byte

None.

best_bid_exchange

Best ask exchange

byte

None.

time

Time (Eastern Standard Time)

string

None.

exchange_id

Exchange id

byte

None.

condition_id

Condition id

byte

None.

sequence_number

Sequence number

integer

None.

nbbo_bid

NBBO bid

decimal number

None.

nbbo_bid_size

NBBO bid size

integer

None.

nbbo_ask

NBBO ask

decimal number

None.

nbbo_ask_size

NBBO ask size

integer

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
  },
  {
    "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
  }
]

application/xml, text/xml

Sample:
<messages xmlns:i="http://www.w3.org/2001/XMLSchema-instance">
  <message xmlns="" i:type="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>
    <sequence_number>3123313</sequence_number>
    <time>09:30:00.001</time>
    <exch_sequence_number>3333</exch_sequence_number>
    <flag>0</flag>
    <price>300.5</price>
    <size>100</size>
  </message>
  <message xmlns="" i:type="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>
    <sequence_number>3123313</sequence_number>
    <time>09:30:00.001</time>
    <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>
  </message>
</messages>