TradesMixedWithQuotesGroup

Name Description Type Additional information

Latest quote from each exchange prior to the specified time range (for non-zero bid size and ask size).

Collection of types:
UnderlyingQuote
OptionQuote

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

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

interval_data

Trades and Quotes in time interval

Collection of types:
OptionTrade
OptionQuote

Collection of types:
UnderlyingTrade
UnderlyingQuote

None

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

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

start_time

First millisecond after midnight which will be included in the results (i.e. "09:30:00.001") (Eastern Standard Time)

string

None

end_time

Last millisecond after midnight which will be included in the results (i.e. "15:39:58.123") (Eastern Standard Time)

string

None