Encelado/DesktopBot/Documents/Alpaca/real-time-stock-pricing-data.md

Real-time Stock Data

This API provides stock market data on a websocket stream. This helps receive the most up to date market information that could help your trading strategy to act upon certain market movements. If you wish to access the latest pricing data, using the stream provides much better accuracy and performance than polling the latest historical endpoints.

You can find the general description of the real-time WebSocket Stream here. This page focuses on the stock stream.

URL

The URL for the stock stream is

wss://stream.data.alpaca.markets/{version}/{feed}

Sandbox URL:

wss://stream.data.sandbox.alpaca.markets/{version}/{feed}

Substitute {version}/{feed} to one of the followings:

• v2/sip is the SIP (Securities Information Processor) feed
• v2/iex is the IEX (Investors Exchange) feed
• v2/delayed_sip is a 15-minute delayed SIP feed
• v1beta1/boats is the BOATS (Blue Ocean ATS) feed
• v1beta1/overnight is the derived Alpaca overnight feed

These feeds are described here.

Any attempt to access a data feed not available for your subscription will result in an error during authentication.

Channels

You can subscribe to the channels described in this section. For example

{"action":"subscribe","trades":["AAPL"],"quotes":["AMD","CLDR"],"bars":["*"]}

Trades

Schema

Attribute	Type	Notes
T	string	message type, always “t”
S	string	symbol
i	int	trade ID
x	string	exchange code where the trade occurred
p	number	trade price
s	int	trade size
c	array<string>	trade condition
t	string	RFC-3339 formatted timestamp with nanosecond precision
z	string	tape

Example

{
  "T": "t",
  "i": 96921,
  "S": "AAPL",
  "x": "D",
  "p": 126.55,
  "s": 1,
  "t": "2021-02-22T15:51:44.208Z",
  "c": ["@", "I"],
  "z": "C"
}

Quotes

Schema

Attribute	Type	Notes
T	string	message type, always “q”
S	string	symbol
ax	string	ask exchange code
ap	number	ask price
as	int	ask size in round lots
bx	string	bid exchange code
bp	number	bid price
bs	int	bid size in round lots
c	array<string>	quote condition
t	string	RFC-3339 formatted timestamp with nanosecond precision
z	string	tape

Example

{
  "T": "q",
  "S": "AMD",
  "bx": "U",
  "bp": 87.66,
  "bs": 1,
  "ax": "Q",
  "ap": 87.68,
  "as": 4,
  "t": "2021-02-22T15:51:45.335689322Z",
  "c": ["R"],
  "z": "C"
}

Bars

There are three separate channels where you can stream trade aggregates (bars).

Minute Bars (bars)

Minute bars are emitted right after each minute mark. They contain the trades from the previous minute. Trades from pre-market and aftermarket are also aggregated and sent out on the bars channel.

Note: Understanding which trades are excluded from minute bars is crucial for accurate data analysis. For more detailed information on how minute bars are calculated and excluded trades, please refer to this article Stock Minute Bars.

Daily Bars (dailyBars)

Daily bars are emitted right after each minute mark after the market opens. The daily bars contain all trades until the time they were emitted.

Updated Bars (updatedBars)

Updated bars are emitted after each half-minute mark if a “late” trade arrived after the previous minute mark. For example if a trade with a timestamp of 16:49:59.998 arrived right after 16:50:00, just after 16:50:30 an updated bar with t set to 16:49:00 will be sent containing that trade, possibly updating the previous bar’s closing price and volume.

Schema

Attribute	Type	Description
T	string	message type: “b”, “d” or “u”
S	string	symbol
o	number	open price
h	number	high price
l	number	low price
c	number	close price
v	int	volume
vw	number	volume-weighted average price
n	int	number of trades
t	string	RFC-3339 formatted timestamp

Example

{
  "T": "b",
  "S": "SPY",
  "o": 388.985,
  "h": 389.13,
  "l": 388.975,
  "c": 389.12,
  "v": 49378,
  "n": 461,
  "vw": 389.062639,
  "t": "2021-02-22T19:15:00Z"
}

Trade Corrections

These messages indicate that a previously sent trade was incorrect and they contain the corrected trade.

Subscription to trade corrections and cancel/errors is automatic when you subscribe to the trade channel.

{"action":"subscribe","trades":["AAPL"]}
[{"T":"subscription","trades":["AAPL"],"quotes":[],"bars":[],"updatedBars":[],"dailyBars":[],"statuses":[],"lulds":[],
"corrections":["AAPL"],"cancelErrors":["AAPL"]}]

Schema

Attribute	Type	Description
T	string	message type, always “c”
S	string	symbol
x	string	exchange code
oi	int	original trade id
op	number	original trade price
os	int	original trade size
oc	array<string>	original trade conditions
ci	int	corrected trade id
cp	number	corrected trade price
cs	int	corrected trade size
cc	array<string>	corrected trade conditions
t	string	RFC-3339 formatted timestamp
z	string	tape

Example

{
  "T": "c",
  "S": "EEM",
  "x": "M",
  "oi": 52983525033527,
  "op": 39.1582,
  "os": 440000,
  "oc": [
    " ",
    "7"
  ],
  "ci": 52983525034326,
  "cp": 39.1809,
  "cs": 440000,
  "cc": [
    " ",
    "7"
  ],
  "z": "B",
  "t": "2023-04-06T14:25:06.542305024Z"
}

Trade Cancels/Errors

These messages indicate that a previously sent trade was canceled.

Subscription to trade corrections and cancel/errors is automatic when you subscribe to the trade channel.

{"action":"subscribe","trades":["AAPL"]}
[{"T":"subscription","trades":["AAPL"],"quotes":[],"bars":[],"updatedBars":[],"dailyBars":[],"statuses":[],"lulds":[],
"corrections":["AAPL"],"cancelErrors":["AAPL"]}]

Schema

Attribute	Type	Description
T	string	message type, always “x”
S	string	symbol
i	int	trade id
x	string	trade exchange
p	number	trade price
s	int	trade size
a	string	action (“C” for cancel, “E” for error)
t	string	RFC-3339 formatted timestamp
z	string	tape

Example

{
  "T": "x",
  "S": "GOOGL",
  "i": 465,
  "x": "D",
  "p": 105.31,
  "s": 300,
  "a": "C",
  "z": "C",
  "t": "2023-04-06T13:15:42.83540958Z"
}

LULDs

Limit Up - Limit Down messages provide upper and lower limit price bands to securities.

Schema

Attribute	Type	Description
T	string	message type, always “l”
S	string	symbol
u	number	limit up price
d	number	limit down price
i	string	indicator
t	string	RFC-3339 formatted timestamp
z	string	tape

Example

{
  "T": "l",
  "S": "IONM",
  "u": 3.24,
  "d": 2.65,
  "i": "B",
  "t": "2023-04-06T13:34:45.565004401Z",
  "z": "C"
}

Trading Status

Identifies the trading status applicable to the security and reason for the trading halt if any. The status messages can be accessed from any {source} depending on your subscription.

To enable market data on a production environment please reach out to our sales team.

Schema

Attribute	Type	Description
T	string	message type, always “s”
S	string	symbol
sc	string	status code
sm	string	status message
rc	string	reason code
rm	string	reason message
t	string	RFC-3339 formatted timestamp
z	string	tape

Example

{
  "T": "s",
  "S": "AAPL",
  "sc": "H",
  "sm": "Trading Halt",
  "rc": "T12",
  "rm": "Trading Halted; For information requested by NASDAQ",
  "t": "2021-02-22T19:15:00Z",
  "z": "C"
}

Status Codes

Tape A & B (CTA)

Code	Value
2	Trading Halt
3	Resume
5	Price Indication
6	Trading Range Indication
7	Market Imbalance Buy
8	Market Imbalance Sell
9	Market On Close Imbalance Buy
A	Market On Close Imbalance Sell
C	No Market Imbalance
D	No Market On Close Imbalance
E	Short Sale Restriction
F	Limit Up-Limit Down

Tape C & O (UTP)

Codes	Resume
H	Trading Halt
Q	Quotation Resumption
T	Trading Resumption
P	Volatility Trading Pause

Reason Codes

Tape A & B (CTA)

Code	Value
A	Additional Information Requested
C	Regulatory Concern
D	News Released (formerly News Dissemination)
E	Merger Effective
F	ETF Component Prices Not Available
I	Order Imbalance
M	Limit Up-Limit Down (LULD) Trading Pause
N	Corporate Action
O	New Security Offering
P	News Pending
V	Intraday Indicative Value Not Available
X	Operational
Y	Sub-Penny Trading
1	Market-Wide Circuit Breaker Level 1 – Breached
2	Market-Wide Circuit Breaker Level 2 – Breached
3	Market-Wide Circuit Breaker Level 3 – Breached

Tape C & O (UTP)

Code	Value
T1	Halt News Pending
T2	Halt News Dissemination
T5	Single Stock Trading Pause In Affect
T6	Regulatory Halt Extraordinary Market Activity
T8	Halt ETF
T12	Trading Halted; For information requested by NASDAQ
H4	Halt Non Compliance
H9	Halt Filings Not Current
H10	Halt SEC Trading Suspension
H11	Halt Regulatory Concern
01	Operations Halt, Contact Market Operations
IPO1	IPO Issue not yet Trading
M1	Corporate Action
M2	Quotation Not Available
LUDP	Volatility Trading Pause
LUDS	Volatility Trading Pause – Straddle Condition
MWC1	Market Wide Circuit Breaker Halt – Level 1
MWC2	Market Wide Circuit Breaker Halt – Level 2
MWC3	Market Wide Circuit Breaker Halt – Level 3
MWC0	Market Wide Circuit Breaker Halt – Carry over from previous day
T3	News and Resumption Times
T7	Single Stock Trading Pause/Quotation-Only Period
R4	Qualifications Issues Reviewed/Resolved; Quotations/Trading to Resume
R9	Filing Requirements Satisfied/Resolved; Quotations/Trading To Resume
C3	Issuer News Not Forthcoming; Quotations/Trading To Resume
C4	Qualifications Halt ended; maint. Req. met; Resume
C9	Qualifications Halt Concluded; Filings Met; Quotes/Trades To Resume
C11	Trade Halt Concluded By Other Regulatory Auth,; Quotes/Trades Resume
R1	New Issue Available
R	Issue Available
IPOQ	IPO security released for quotation
IPOE	IPO security – positioning window extension
MWCQ	Market Wide Circuit Breaker Resumption

Order imbalances

Order imbalance is a situation resulting from an excess of buy or sell orders for a specific security on a trading exchange, making it impossible to match the orders of buyers and sellers. Order imbalance messages are typically sent during limit-up and limit-down trading halts. You have to subscribe to these messages using the imbalances JSON key:

{"action":"subscribe","imbalances":["INAQU"]}

Schema

Attribute	Type	Notes
T	string	message type, always “i”
S	string	symbol
p	number	price
z	string	tape
t	string	RFC-3339 formatted timestamp with nanosecond precision

Example

{
  "T": "i",
  "S": "INAQU",
  "p": 9.12,
  "z": "C",
  "t": "2024-12-13T19:58:09.242138635Z"
}

Example

$ wscat -c wss://stream.data.alpaca.markets/v2/sip
connected (press CTRL+C to quit)
< [{"T":"success","msg":"connected"}]
> {"action": "auth", "key": "*****", "secret": "*****"}
< [{"T":"success","msg":"authenticated"}]
> {"action": "subscribe", "trades": ["AAPL"], "quotes": ["AMD", "CLDR"], "bars": ["*"],"dailyBars":["VOO"],"statuses":["*"]}
< [{"T":"subscription","trades":["AAPL"],"quotes":["AMD","CLDR"],"bars":["*"],"updatedBars":[],"dailyBars":["VOO"],"statuses":["*"],"lulds":[],"corrections":["AAPL"],"cancelErrors":["AAPL"]}]
< [{"T":"q","S":"AMD","bx":"K","bp":91.95,"bs":2,"ax":"Q","ap":91.98,"as":1,"c":["R"],"z":"C","t":"2023-04-06T11:54:21.670905508Z"}]
< [{"T":"t","S":"AAPL","i":628,"x":"K","p":162.92,"s":3,"c":["@","F","T","I"],"z":"C","t":"2023-04-06T11:54:26.838232225Z"},{"T":"t","S":"AAPL","i":75,"x":"Z","p":162.92,"s":3,"c":["@","F","T","I"],"z":"C","t":"2023-04-06T11:54:26.838562809Z"},{"T":"t","S":"AAPL","i":1465,"x":"P","p":162.91,"s":71,"c":["@","F","T","I"],"z":"C","t":"2023-04-06T11:54:26.83915973Z"}]
< [{"T":"q","S":"AMD","bx":"P","bp":91.9,"bs":1,"ax":"Q","ap":91.98,"as":1,"c":["R"],"z":"C","t":"2023-04-06T11:54:27.924933876Z"}]