Streaming Market Data

Responses

{
  "type": "quote",
  "symbol": "SPY",
  "bid": 281.84,
  "bidsz": 60,
  "bidexch": "M",
  "biddate": "1557757189000",
  "ask": 281.85,
  "asksz": 6,
  "askexch": "Z",
  "askdate": "1557757190000"
}
{
  "type": "trade",
  "symbol": "SPY",
  "exch": "J",
  "price": "281.85",
  "size": "100",
  "cvol": "27978993",
  "date": "1557757190000",
  "last": "281.85"
}
{
  "type": "summary",
  "symbol": "SPY",
  "open": "282.42",
  "high": "283.49",
  "low": "281.07",
  "prevClose": "288.1"
}
{
  "type": "timesale",
  "symbol": "SPY",
  "exch": "Q",
  "bid": "282.08",
  "ask": "282.09",
  "last": "282.09",
  "size": "100",
  "date": "1557758874355",
  "seq": 352795,
  "flag": "",
  "cancel": false,
  "correction": false,
  "session": "normal"
}
{
  "type": "tradex",
  "symbol": "SPY",
  "exch": "J",
  "price": "281.85",
  "size": "100",
  "cvol": "27978993",
  "date": "1557757190000",
  "last": "281.85"
}

Quote

The quote event is issued when a viable quote has been created on an exchange. This represents the most current bid/ask pricing available.

Field	Description
type	Type of the event
symbol	Security symbol for the event
bid	Bid price
bidsz	Bid size
bidexch	Bid exchange
biddate	Bid date
ask	Ask price
asksz	Ask size
askexch	Ask exchange
askdate	Ask date

Trade

The trade event is sent for all trade events at exchanges. By default, the trade event is filtered to only include valid ticks (removing trade corrections, errors, etc).

Field	Description
type	Type of the event
symbol	Security symbol for the event
exch	Exchange code reporting the event
price	Last price available
size	Size of the trade event
cvol	Cumulative volume
date	Trade date
last	Last price (this is a duplicate of price)

Summary

The summary event is triggered when a market session high, low, open, or close event is triggered.

Field	Description
type	Type of the event
symbol	Security symbol for the event
open	Open price
high	High price
low	Low price
prevClose	Previous close price

Timesale

Time and Sale represents a trade or other market event with price, like market open/close price, etc. Time and Sales are intended to provide information about trades in a continuous time slice (unlike Trade events which are supposed to provide snapshot about the current last trade). Timesale events are uniquely sequenced.

Field	Description
type	Type of the event
symbol	Security symbol for the event
exch	Exchange code reporting the event
bid	Bid price
ask	Ask price
last	Last price
size	Size of the event
date	Date of the event
seq	Sequence number
flag	Event flag Reference
cancel	Was this a cancel event
correction	Was this a correction event
session	Market session type of the event

Tradex

The trade event is sent for all trade events at exchanges. This payload has more accurate information during the pre/post market sessions. If you plan streaming market data during these sessions, you should use this payload over the trade payload.

Field	Description
type	Type of the event
symbol	Security symbol for the event
exch	Exchange code reporting the event
price	Last price available
size	Size of the trade event
cvol	Cumulative volume
date	Trade date
last	Last price (this is a duplicate of price)