Livevol Web API - GET allaccess/time-and-sales/trades-and-quotes

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)

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/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 9.223372036854776E+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:
OptionTrade

Name	Description	Type	Additional information	SIP Provider
security	Option OSI Symbol	string	None	None
root	Option root	string	None	None
expiry	Option expiration date	string	None	None
strike	Option strike	decimal number	None	None
option_type	Option type	string	'C' for Call, 'P' for Put	None
option_ask	NBBO ask	decimal number	SIP subscription is required for live or delayed requests	OPRA
option_ask_size	NBBO ask size	integer	SIP subscription is required for live or delayed requests	OPRA
option_bid	NBBO bid	decimal number	SIP subscription is required for live or delayed requests	OPRA
option_bid_size	NBBO bid size	integer	SIP subscription is required for live or delayed requests	OPRA
option_trade_price	Option trade price	decimal number	SIP subscription is required for live or delayed requests	OPRA
option_trade_size	Option trade size	integer	SIP subscription is required for live or delayed requests	OPRA
option_trade_at	Trade price in relation to options market	string	Possible values are [Below Bid, On Bid, Mid Market, On Ask, Above Ask, Crossed Market, No Market]	None
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
condition_id	Trade Condition ID Condition id	byte	None	None
exchange_id	Trade Exchange ID Exchange id	byte	None	None
exchange_seq_no	Exchange sequence number	integer	None	None
cancel_flag	Cancel flag	integer	0=normal, 1=canceled trade, 2=cancel trade message	None
timestamp	Timestamp	string	None	None
seq_no	Sequence number	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

Collection of types:
UnderlyingTrade

Name	Description	Type	Additional information	SIP Provider
security	Underlying symbol	string	None	None
underlying_ask	NBBO ask	decimal number	SIP subscription is required for live or delayed requests	CTA & UTP CSMI
underlying_ask_size	NBBO ask size	integer	SIP subscription is required for live or delayed requests	CTA & UTP CSMI
underlying_bid	NBBO bid	decimal number	SIP subscription is required for live or delayed requests	CTA & UTP CSMI
underlying_bid_size	NBBO bid size	integer	SIP subscription is required for live or delayed requests	CTA & UTP CSMI
underlying_trade_price	Underlying trade price	decimal number	SIP subscription is required for live or delayed requests	CTA & UTP CSMI
underlying_trade_size	Underlying trade size	integer	SIP subscription is required for live or delayed requests	CTA & UTP CSMI
underlying_trade_at	Underlying trade price in relation to underlying market	string	Possible values are [Below Bid, On Bid, Mid Market, On Ask, Above Ask, Crossed Market, No Market]	None
condition_id	Trade Condition ID Condition id	byte	None	None
exchange_id	Trade Exchange ID Exchange id	byte	None	None
exchange_seq_no	Exchange sequence number	integer	None	None
cancel_flag	Cancel flag	integer	0=normal, 1=canceled trade, 2=cancel trade message	None
timestamp	Timestamp	string	None	None
seq_no	Sequence number	integer	None	None

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

Response Formats

application/json, text/json

Sample:

[
  {
    "security": "D200925C00030000",
    "root": "D",
    "expiry": "2020-09-25",
    "strike": 30.0,
    "option_type": "P",
    "option_ask": 10.75,
    "option_ask_size": 85,
    "option_bid": 10.05,
    "option_bid_size": 100,
    "option_trade_price": 300.5,
    "option_trade_size": 100,
    "option_trade_at": "Below Bid",
    "underlying_bid": 299.5,
    "underlying_ask": 301.5,
    "condition_id": 5,
    "exchange_id": 3,
    "exchange_seq_no": 3333,
    "cancel_flag": 0,
    "timestamp": "09:30:00.001",
    "seq_no": 3123313
  },
  {
    "bid_size": 2000,
    "bid": 300.2,
    "ask_size": 2000,
    "ask": 300.9,
    "underlying_bid": 499.9,
    "underlying_ask": 501.9,
    "flag": 2,
    "best_ask_exchange": 4,
    "best_bid_exchange": 4,
    "timestamp": "15:39:58.123",
    "exchange_id": 4,
    "condition_id": 6,
    "seq_no": 412333312,
    "nbbo_bid": 10.55,
    "nbbo_bid_size": 120,
    "nbbo_ask": 10.95,
    "nbbo_ask_size": 90
  }
]

application/xml, text/xml

Sample:

<messages xmlns:i="http://www.w3.org/2001/XMLSchema-instance">
  <message xmlns="" i:type="option_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>
    <seq_no>3123313</seq_no>
    <timestamp>09:30:00.001</timestamp>
    <cancel_flag>0</cancel_flag>
    <exchange_seq_no>3333</exchange_seq_no>
    <price>300.5</price>
    <security>D200925C00030000</security>
    <size>100</size>
    <trade_at>Below Bid</trade_at>
    <expiry>2020-09-25</expiry>
    <option_type>P</option_type>
    <root>D</root>
    <strike>30</strike>
    <underlying_ask>301.5</underlying_ask>
    <underlying_bid>299.5</underlying_bid>
  </message>
  <message xmlns="" i:type="option_quote">
    <condition_id>6</condition_id>
    <exchange_id>4</exchange_id>
    <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>
    <seq_no>412333312</seq_no>
    <timestamp>15:39:58.123</timestamp>
    <ask>300.9</ask>
    <ask_size>2000</ask_size>
    <best_ask_exchange>4</best_ask_exchange>
    <best_bid_exchange>4</best_bid_exchange>
    <bid>300.2</bid>
    <bid_size>2000</bid_size>
    <flag>2</flag>
    <underlying_ask>501.9</underlying_ask>
    <underlying_bid>499.9</underlying_bid>
  </message>
</messages>