Livevol Web API - GET allaccess/market/underlying-quotes

GET

/allaccess/market/underlying-quotes?symbols={symbols}&date={date}&seq_no={seq_no}

Capture a snapshot of the current market and get the current market price, bid, ask, volume, implied volatility, OHLC, and last trade data for an underlying security. This method can be used to retrieve current market information across multiple securities in one call by passing in a comma-separated list of symbols. Historical requests will return an end-of-day snapshot of underlying quotes.

Example URI

Live (4 points)


https://api.livevol.com/v1/live/allaccess/market/underlying-quotes?symbols=CBOE,AAPL&date=2019-01-18&seq_no=0

Delayed (8 points)


https://api.livevol.com/v1/delayed/allaccess/market/underlying-quotes?symbols=CBOE,AAPL&date=2019-01-18&seq_no=0

Historical (3 points)

Historical data available from 2011.
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/market/underlying-quotes?symbols=CBOE,AAPL&date=2019-01-18&seq_no=0


https://api.livevol.com/v1/delayed/allaccess/market/underlying-quotes?symbols=CBOE,AAPL&date=2019-01-18&seq_no=0

Request Information

URI Parameters

Name	Description	Type	Additional information
symbols	Comma-separated list of underlying symbols	string	Required
date	Quote date	string	Required Date in yyyy-MM-dd format. (i.e. 2019-01-18)
seq_no	Sequence Number	integer	Default value is: 0 Range: inclusive between 0 and 9.223372036854776E+18

Name

Description

Type

Additional information

symbols

Comma-separated list of underlying symbols

string

Required

date

Quote date

string

Required

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

seq_no

Sequence Number

integer

Default value is: 0

Range: inclusive between 0 and 9.223372036854776E+18

Response Information

Resource Description

Collection of Symbol

Name	Description	Type	Additional information	SIP Provider
timestamp	Timestamp	string	None	None
symbol	Company symbol	string	None	None
implied_underlying_bid	Option Implied Underlying Bid	decimal number	Available for live or delayed requests. Returns `null` for historical requests.	None
implied_underlying_ask	Option Implied Underlying Ask	decimal number	Available for live or delayed requests. Returns `null` for historical requests.	None
implied_underlying_bid_size	Option Implied Underlying Bid Size	integer	Available for live or delayed requests. Returns `null` for historical requests.	None
implied_underlying_ask_size	Option Implied Underlying Ask Size	integer	Available for live or delayed requests. Returns `null` for historical requests.	None
implied_underlying_mid	Option Implied Underlying Mid-point	decimal number	Available for live or delayed requests. Returns `null` for historical requests.	None
implied_underlying_indicator	Implied Underlying Indicator: green/yellow/red	string	Indicates the width of the implied bid ask spread relative to implied price. If the implied bid-ask spread < 0.01, returns 'green'; If between 0.01 and 0.02, returns ‘yellow’; If > 0.02, returns ‘red’.	None
underlying_mid	Underlying Mid-point	decimal number	For NASDAQ listed securities, for live or delayed requests, field requires subscription to UTP; otherwise, returns `null`	CTA & UTP CSMI
underlying_last_trade_price	Underlying last trade price	decimal number	includes after hours SIP subscription is required for live or delayed requests; otherwise, returns `null`	CTA & UTP CSMI
underlying_last_trade_size	Underlying last trade size	integer	SIP subscription is required for live or delayed requests; otherwise, returns `null`	CTA & UTP CSMI
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
underlying_bid_size	Underlying bid size	integer	SIP subscription is required for live or delayed requests; otherwise, returns `null`	CTA & UTP CSMI
underlying_ask_size	Underlying ask size	integer	SIP subscription is required for live or delayed requests; otherwise, returns `null`	CTA & UTP CSMI
underlying_open	Underlying open	decimal number	SIP subscription is required for live or delayed requests; otherwise, returns `null`	CTA & UTP CSMI
underlying_high	Underlying high	decimal number	SIP subscription is required for live or delayed requests; otherwise, returns `null`	CTA & UTP CSMI
underlying_low	Underlying low	decimal number	SIP subscription is required for live or delayed requests; otherwise, returns `null`	CTA & UTP CSMI
underlying_close	Underlying close	decimal number	Returns `null` during market hours, close if after hours SIP subscription is required for live or delayed requests; otherwise, returns `null`	CTA & UTP CSMI
underlying_prev_day_close	Underlying previous day's close	decimal number	None	None
underlying_volume	Underlying Volume	integer	None	None
iv30	30 day average implied volatility	decimal number	None	None
iv30_change	30 day implied volatility change	decimal number	None	None
iv30_change_percent	30 day implied volatility change percent	decimal number	None	None
seq_no	Sequence number	integer	None	None

Response Formats

application/json, text/json

Sample:

[
  {
    "timestamp": "09:30:00.001",
    "symbol": "A",
    "implied_underlying_bid": 43.52,
    "implied_underlying_ask": 44.92,
    "implied_underlying_bid_size": 2,
    "implied_underlying_ask_size": 2,
    "implied_underlying_mid": 44.92,
    "implied_underlying_indicator": "red",
    "underlying_mid": 44.92,
    "underlying_last_trade_price": 45.0399,
    "underlying_last_trade_size": 100,
    "underlying_bid": 43.52,
    "underlying_ask": 44.92,
    "underlying_bid_size": 2,
    "underlying_ask_size": 2,
    "underlying_open": 45.22,
    "underlying_high": 45.52,
    "underlying_low": 44.905,
    "underlying_close": 45.0,
    "underlying_prev_day_close": 44.92,
    "underlying_volume": 1272833,
    "iv30": 22.0862,
    "iv30_change": 0.0862,
    "iv30_change_percent": 0.1781,
    "seq_no": 30346861
  },
  {
    "timestamp": "15:39:58.123",
    "symbol": "AA",
    "implied_underlying_bid": 9.23,
    "implied_underlying_ask": 9.26,
    "implied_underlying_bid_size": 56,
    "implied_underlying_ask_size": 1,
    "implied_underlying_mid": 9.26,
    "implied_underlying_indicator": "green",
    "underlying_mid": 9.26,
    "underlying_last_trade_price": 9.36,
    "underlying_last_trade_size": 1000,
    "underlying_bid": 9.23,
    "underlying_ask": 9.26,
    "underlying_bid_size": 56,
    "underlying_ask_size": 1,
    "underlying_open": 9.47,
    "underlying_high": 9.605,
    "underlying_low": 9.32,
    "underlying_close": 9.0,
    "underlying_prev_day_close": 9.32,
    "underlying_volume": 13053837,
    "iv30": 46.3087,
    "iv30_change": 0.3087,
    "iv30_change_percent": 0.6711,
    "seq_no": 30153245
  }
]

application/xml, text/xml

Sample:

<symbols xmlns:i="http://www.w3.org/2001/XMLSchema-instance">
  <symbol>
    <implied_underlying_ask>44.92</implied_underlying_ask>
    <implied_underlying_ask_size>2</implied_underlying_ask_size>
    <implied_underlying_bid>43.52</implied_underlying_bid>
    <implied_underlying_bid_size>2</implied_underlying_bid_size>
    <implied_underlying_indicator>red</implied_underlying_indicator>
    <implied_underlying_mid>44.92</implied_underlying_mid>
    <iv30>22.0862</iv30>
    <iv30_change>0.0862</iv30_change>
    <iv30_change_percent>0.1781</iv30_change_percent>
    <seq_no>30346861</seq_no>
    <symbol>A</symbol>
    <timestamp>09:30:00.001</timestamp>
    <underlying_ask>44.92</underlying_ask>
    <underlying_ask_size>2</underlying_ask_size>
    <underlying_bid>43.52</underlying_bid>
    <underlying_bid_size>2</underlying_bid_size>
    <underlying_close>45</underlying_close>
    <underlying_high>45.52</underlying_high>
    <underlying_last_trade_price>45.0399</underlying_last_trade_price>
    <underlying_last_trade_size>100</underlying_last_trade_size>
    <underlying_low>44.905</underlying_low>
    <underlying_mid>44.92</underlying_mid>
    <underlying_open>45.22</underlying_open>
    <underlying_prev_day_close>44.92</underlying_prev_day_close>
    <underlying_volume>1272833</underlying_volume>
  </symbol>
  <symbol>
    <implied_underlying_ask>9.26</implied_underlying_ask>
    <implied_underlying_ask_size>1</implied_underlying_ask_size>
    <implied_underlying_bid>9.23</implied_underlying_bid>
    <implied_underlying_bid_size>56</implied_underlying_bid_size>
    <implied_underlying_indicator>green</implied_underlying_indicator>
    <implied_underlying_mid>9.26</implied_underlying_mid>
    <iv30>46.3087</iv30>
    <iv30_change>0.3087</iv30_change>
    <iv30_change_percent>0.6711</iv30_change_percent>
    <seq_no>30153245</seq_no>
    <symbol>AA</symbol>
    <timestamp>15:39:58.123</timestamp>
    <underlying_ask>9.26</underlying_ask>
    <underlying_ask_size>1</underlying_ask_size>
    <underlying_bid>9.23</underlying_bid>
    <underlying_bid_size>56</underlying_bid_size>
    <underlying_close>9</underlying_close>
    <underlying_high>9.605</underlying_high>
    <underlying_last_trade_price>9.36</underlying_last_trade_price>
    <underlying_last_trade_size>1000</underlying_last_trade_size>
    <underlying_low>9.32</underlying_low>
    <underlying_mid>9.26</underlying_mid>
    <underlying_open>9.47</underlying_open>
    <underlying_prev_day_close>9.32</underlying_prev_day_close>
    <underlying_volume>13053837</underlying_volume>
  </symbol>
</symbols>