Request protocol
|
| function |
function parameters |
example |
| quoteData
|
| symbol |
SYM1+SYM2+ ... + SYMn |
| quoteField |
Field1+Field2+ ... + Fieldn |
|
http://localhost:5000/quoteData?symbol=GOOG+AAPL&field=4+10+11
|
| quoteStream
|
| symbol |
SYM1+SYM2+ ... + SYMn |
|
http://localhost:5000/quoteStream?symbol=GOOG+AAPL
|
| barData
|
| symbol |
SYMBOL |
| historyType |
0=Intrday, 1=Daily, 2=Weekly |
| intradayMinutes |
1-60 |
| beginTime |
YYYYMMDDHHMMSS |
| endTime |
YYYYMMDDHHMMSS |
|
http://localhost:5000/barData?symbol=MSFT&historyType=0&intradayMinutes=10&beginTime=20101103093000&endTime=20101103160000
|
| tickData
|
| symbol |
SYMBOL |
| trades |
1=select, 0=skip |
| quotes |
1=select, 0=skip |
| beginTime |
YYYYMMDDHHMMSSmmm |
| endTime |
YYYYMMDDHHMMSSmmm |
|
http://localhost:5000/tickData?symbol=MSFT&trades=1"es=0&beginTime=20101103153000&endTime=20101103160000
|
| optionChain
|
|
http://localhost:5000/optionChain?symbol=MSFT
|
|
Symbology
Equity symbols are passed unmodified with exception
of '/' character. All '/' characters must be replaced with '-'. For example, BRK/A should be BRK-A
Index symbols are passed with INDEX: prefix. For example INDEX:DJI
Currency symbols are passed with CURRENCY: prefix. For example CURRECNY:EUR-JPY
Option symbols are passed with OPTION: prefix using OSI format.
OSI symbol consists of: underlying symbol (6 char) + date (6 char) + option type (1 char) + strike price (5 char) + strike decimals (3 char)
* Any empty spaces inside underlying symbol must be replaced with '-' characters.
* Strike price and strike decimal are filled with left-justified zeros.
* Option type is a single character, 'P' representing a Put contract, and 'C' representing a call contract.
For example: option contract for AAPL Call $440 expiring on 03/08/2013 can be entered as OPTION:AAPL--130308C00440000
|
quoteData responses
|
| quote data records are separated by \r\n |
| record type |
example |
| symbol |
| symbol status |
| quote field |
| data item status |
| data item type |
| data |
|
request:
http://localhost:5000/quoteData?symbol=MSFT&field=2+3+4+5+6+7+8+9+10+33
response: MSFT,1,2,1,7,27.400000 ,3,1,7,27.400000 ,4,1,7,0.000000 ,5,1,7,27.106000 ,6,1,7,27.100000 ,7,1,7,27.110000 ,8,1,7,27.490000 ,9,1,7,26.960000 ,10,1,7,27.490000 ,33,1,8,Microsoft Corporation - Common Stock |
|
symbolStatus definitions
|
| symbolStatus name |
numerical value |
| SymbolStatusSuccess |
1 |
| SymbolStatusInvalid |
2 |
| SymbolStatusUnavailable |
3 |
| SymbolStatusNoPermission |
4 |
|
|
quoteField definitions
|
| quoteField name |
numerical value |
| QuoteFieldSymbol |
1 |
| QuoteFieldOpenPrice |
2 |
| QuoteFieldPreviousClosePrice |
3 |
| QuoteFieldClosePrice |
4 |
| QuoteFieldLastPrice |
5 |
| QuoteFieldBidPrice |
6 |
| QuoteFieldAskPrice |
7 |
| QuoteFieldHighPrice |
8 |
| QuoteFieldLowPrice |
9 |
| QuoteFieldDayHighPrice |
10 |
| QuoteFieldDayLowPrice |
11 |
| QuoteFieldPreMarketOpenPrice |
12 |
| QuoteFieldExtendedHoursLastPrice |
13 |
| QuoteFieldAfterMarketClosePrice |
14 |
| QuoteFieldBidExchange |
15 |
| QuoteFieldAskExchange |
16 |
| QuoteFieldLastExchange |
17 |
| QuoteFieldLastCondition |
18 |
| QuoteFieldQuoteCondition |
19 |
| QuoteFieldLastTradeDateTime |
20 |
| QuoteFieldLastQuoteDateTime |
21 |
| QuoteFieldDayHighDateTime |
22 |
| QuoteFieldDayLowDateTime |
23 |
| QuoteFieldLastSize |
24 |
| QuoteFieldBidSize |
25 |
| QuoteFieldAskSize |
26 |
| QuoteFieldVolume |
27 |
| QuoteFieldPreMarketVolume |
28 |
| QuoteFieldAfterMarketVolume |
29 |
| QuoteFieldTradeCount |
30 |
| QuoteFieldPreMarketTradeCount |
31 |
| QuoteFieldAfterMarketTradeCount |
32 |
| QuoteFieldFundamentalEquityName |
33 |
| QuoteFieldFundamentalEquityPrimaryExchange |
34 |
|
dataItem type definitions
|
| dataItem name |
numerical value |
| DataByte |
1 |
| DataByteArray |
2 |
| DataUInteger32 |
3 |
| DataUInteger64 |
4 |
| DataInteger32 |
5 |
| DataInteger64 |
6 |
| DataPrice |
7 |
| DataString |
8 |
| DataUnicodeString |
9 |
| DataDateTime |
10 |
| DataDouble |
11 |
|
barData responses
|
| bar data records are separated by \r\n |
| record type |
example
| datetime |
| open price |
| high price |
| low price |
| close price |
| volume |
|
request:
http://localhost:5000/barData?symbol=MSFT&historyType=0&intradayMinutes=1&beginTime=20101101093000&endTime=20101103160000
response:
20101101093000,26.880000,26.900000,26.860000,26.890000,1175094
20101101093100,26.890000,26.910000,26.870000,26.870000,283043
20101101093200,26.880000,26.900000,26.870000,26.900000,179128
20101101093300,26.892500,26.900000,26.850000,26.850000,346005
20101101093400,26.858000,26.880000,26.850000,26.870000,200785
20101101093500,26.870000,26.880000,26.810000,26.810000,465517
...
...
|
|
tickData responses
|
| tick data records are separated by \r\n |
| record type |
example |
| trade record |
| record identifier (T=trade, Q=quote) |
| datetime (YYYYMMDDHHMMSSmmm) |
| last price |
| last size |
| last exchange |
| condition 1 |
| condition 2 |
| condition 3 |
| condition 4 |
|
request:
response:
T,20120803153000551,616.550000,100,Y,0,14,0,0
T,20120803153000551,616.550000,100,Y,0,14,0,0
T,20120803153000551,616.550000,100,Y,0,14,0,0
T,20120803153000551,616.540000,100,Y,0,14,0,0
T,20120803153000601,616.540000,100,B,0,0,0,0
T,20120803153000704,616.585000,101,P,0,0,0,0
T,20120803153001039,616.550000,100,D,0,0,0,0
...
...
|
| quote record |
| record identifier (T=trade, Q=quote) |
| datetime (YYYYMMDDHHMMSSmmm) |
| bid price |
| ask price |
| bid size |
| ask size |
| bid exchange |
| ask exchange |
| condition |
|
request:
response:
Q,20120803153000133,616.540000,616.630000,2,1,B,Q,0
Q,20120803153000552,616.540000,616.630000,1,1,J,Q,0
Q,20120803153000557,616.540000,616.630000,1,2,J,B,0
Q,20120803153000697,616.540000,616.630000,1,1,J,Y,0
Q,20120803153000697,616.540000,616.600000,1,1,J,B,0
Q,20120803153000697,616.540000,616.600000,1,1,J,Y,0
...
...
|
|
Stream updates
|
| stream records are separated by \r\n |
| type |
parameters |
example |
| trade
|
| T |
identifies update as trade |
| symbol |
symbol |
| flags |
trade flags |
| trade condition1 |
last conditions |
| trade condition2 |
|
| trade condition3 |
|
| trade condition4 |
|
| last exchange |
last exchange code |
| last price |
last price |
| last size |
last size |
| last datetime |
YYYYMMDDHHSSmmm |
|
T,INDEX:DJI,1,0,0,0,0,C,13001.20,0,20120828010235000
|
| quote
|
| Q |
identifies update as quote |
| symbol |
symbol |
| quote condition |
quote condition flags |
| bid exchange |
bid exchange code |
| ask exchange |
ask exchange code |
| bid price |
bid price |
| ask price |
ask price |
| bid size |
last size |
| ask size |
ask size |
| quote datetime |
YYYYMMDDHHSSmmm |
|
Q,CURRENCY:EUR-USD,0,F,F,1.248350,1.248550,0,0,20120828010234000
|
|
trade flags
|
| trade flag |
numerical value |
| TradeMessageFlagRegularMarketLastPrice |
0x1 |
| TradeMessageFlagRegularMarketVolume |
0x2 |
| TradeMessageFlagHighPrice |
0x4 |
| TradeMessageFlagLowPrice |
0x8 |
| TradeMessageFlagDayHighPrice |
0x10 |
| TradeMessageFlagDayLowPrice |
0x20 |
| TradeMessageFlagExtendedMarketLastPrice |
0x40 |
| TradeMessageFlagPreMarketVolume |
0x80 |
| TradeMessageFlagAfterMarketVolume |
0x100 |
| TradeMessageFlagPreMarketOpenPrice |
0x200 |
| TradeMessageFlagOpenPrice |
0x400 |
Trade flags should be applied with bitwise AND to check each corresponding bit |
|
trade conditions
|
| trade condition |
numerical value |
| TradeConditionRegular |
0 |
| TradeConditionAcquisition |
1 |
| TradeConditionAveragePrice |
2 |
| TradeConditionAutomaticExecution |
3 |
| TradeConditionBunched |
4 |
| TradeConditionBunchSold |
5 |
| TradeConditionCAPElection |
6 |
| TradeConditionCash |
7 |
| TradeConditionClosing |
8 |
| TradeConditionCross |
9 |
| TradeConditionDerivativelyPriced |
10 |
| TradeConditionDistribution |
11 |
| TradeConditionFormT |
12 |
| TradeConditionFormTOutOfSequence |
13 |
| TradeConditionInterMarketSweep |
14 |
| TradeConditionMarketCenterOfficialClose |
15 |
| TradeConditionMarketCenterOfficialOpen |
16 |
| TradeConditionMarketCenterOpening |
17 |
| TradeConditionMarketCenterReOpenning |
18 |
| TradeConditionMarketCenterClosing |
19 |
| TradeConditionNextDay |
20 |
| TradeConditionPriceVariation |
21 |
| TradeConditionPriorReferencePrice |
22 |
| TradeConditionRule155Amex |
23 |
| TradeConditionRule127Nyse |
24 |
| TradeConditionOpening |
25 |
| TradeConditionOpened |
26 |
| TradeConditionRegularStoppedStock |
27 |
| TradeConditionReOpening |
28 |
| TradeConditionSeller |
29 |
| TradeConditionSoldLast |
30 |
| TradeConditionSoldLastStoppedStock |
31 |
| TradeConditionSoldOutOfSequence |
32 |
| TradeConditionSoldOutOfSequenceStoppedStock |
33 |
| TradeConditionSplit |
34 |
| TradeConditionStockOption |
35 |
| TradeConditionYellowFlag |
36 |
|
exchange definitions
|
| exchange |
value |
| ExchangeAMEX |
A |
| ExchangeNasdaqOmxBx |
B |
| ExchangeNationalStockExchange |
C |
| ExchangeFinraAdf |
D |
| ExchangeCQS |
E |
| ExchangeForex |
F |
| ExchangeInternationalSecuritiesExchange |
I |
| ExchangeEdgaExchange |
J |
| ExchangeEdgxExchange |
K |
| ExchangeChicagoStockExchange |
M |
| ExchangeNyseEuronext |
N |
| ExchangeNyseArcaExchange |
P |
| ExchangeNasdaqOmx |
Q |
| ExchangeCTS |
S |
| ExchangeCTANasdaqOMX |
T |
| ExchangeOTCBB |
U |
| ExchangeNNOTC |
u |
| ExchangeChicagoBoardOptionsExchange |
W |
| ExchangeNasdaqOmxPhlx |
X |
| ExchangeBatsYExchange |
Y |
| ExchangeBatsExchange |
Z |
| ExchangeCanadaToronto |
T |
| ExchangeCanadaVenture |
V |
| ExchangeComposite |
(SPACE) |
|