Real-time Stock Pricing Data #

This API provides 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.

Once a connection is established and you have successfully authenticated yourself you can subscribe to a number of channels including trades, quotes and minute bars for a particular symbol or multiple symbols.

Subscription Plans #

IEX

• You can only connect to the IEX (Investors Exchange) data source.
• Only trades, quote and minute bars coming from the IEX Exchange is available.
• Subscription is limited to 30 channels at a time for trades and quotes.
• There is no limit for the number of channels with minute bars.
• One concurrent connection is allowed.

SIP

• There is no limit for the number of channels at a time for trades, quotes and minute bars.
• Trades, quotes and minute bars are direct feeds from the CTA (administered by NYSE) and UTP (administered by Nasdaq) SIPs.
• One concurrent connection is allowed.

Common Behavior #

URL #

To access real-time data use the URL below, substituting iex or sip to {source} depending on your subscription.

wss://stream.data.alpaca.markets/v2/{source}

Sandbox URL:

wss://stream.data.sandbox.alpaca.markets/v2/{source}

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

Message format #

Every message you receive from the server will be in the format:

[{"T": "{message_type}", {contents}},...]

Control messages (i.e. where "T" is error, success or subscription) always arrive in arrays of size one to make their processing easier.

Data points however may arrive in arrays that have a length that is greater than one. This is to facilitate clients whose connection is not fast enough to handle data points sent one by one. Our server buffers the outgoing messages but slow clients may get disconnected if their buffer becomes full.

Encoding and compression #

Messages over the websocket are in encoded as clear text.

To reduce bandwidth requirements we have implemented compression as per RFC-7692. Our SDKs handle this for you so in most cases you won’t have to implement anything yourself.

Communication Flow #

The communication can be thought of as two separate phases: establishment and receiving data.

Establishment #

To establish the connection first you will need to connect to our server using the URL above.

Upon successfully connecting, you will receive the welcome message:

[{"T":"success","msg":"connected"}]

Now you will need to authenticate yourself using your credentials by sending the following message:

{"action": "auth", "key": "{KEY_ID}", "secret": "{SECRET}"}

Alternatively, you can use the same headers as when accessing the historical endpoints:

websocat wss://stream.data.alpaca.markets/v2/sip \
  -H="APCA-API-KEY-ID: {KEY_ID}" -H="APCA-API-SECRET-KEY: {SECRET}"

Please note that each account can have up to one concurrent websocket connection. Subsequent attempts to connect are rejected.

If you provided correct credentials you will receive another success message:

[{"T":"success","msg":"authenticated"}]

Receiving data #

Congratulations, you are ready to receive real-time market data!

You can send one or more subscription messages (described below) and after confirmation you will receive the corresponding market data.

At any time you can subscribe to or unsubscribe from symbols. Please note that due to the internal buffering mentioned above for a short while you may receive data points for symbols you have recently unsubscribed from.

Client-to-Server #

Authentication #

After connecting you will have to authenticate as described above (unless you provided authentication headers):

{"action":"auth","key":"CK******************","secret":"***********************************"}

Subscribe #

You can subscribe to the following channels:

• trades (includes corrections and cancelErrors)
• quotes
• bars
• dailyBars
• updatedBars
• statuses
• lulds

You can subscribe to a particular symbol or to every symbol using the * wildcard. A subscribe message should contain what subscription you want to add to your current subscriptions in your session so you don’t have to send what you’re already subscribed to.

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

Unsubscribe #

Much like subscribe you can also send an unsubscribe message that subtracts the list of subscriptions specified from your current set of subscriptions.

{"action":"unsubscribe","trades":["VOO"],"quotes":["IBM"]}

Server-to-Client #

Control messages #

You may receive the following control messages during your session.

[{"T":"success","msg":"connected"}]

You have successfully connected to our server.

[{"T":"success","msg":"authenticated"}]

You have successfully authenticated.

Errors #

You may receive an error during your session. You can differentiate between them using the list below.

[{"T":"error","code":400,"msg":"invalid syntax"}]

The message you sent to the server did not follow the specification

[{"T":"error","code":401,"msg":"not authenticated"}]

You have attempted to subscribe or unsubscribe before authentication.

[{"T":"error","code":402,"msg":"auth failed"}]

You have provided invalid authentication credentials.

[{"T":"error","code":403,"msg":"already authenticated"}]

You have already successfully authenticated during your current session.

[{"T":"error","code":404,"msg":"auth timeout"}]

You failed to successfully authenticate after connecting. You have a few seconds to authenticate after connecting.

[{"T":"error","code":405,"msg":"symbol limit exceeded"}]

The symbol subscription request you sent would put you over the limit set by your subscription package. If this happens your symbol subscriptions are the same as they were before you sent the request that failed.

[{"T":"error","code":406,"msg":"connection limit exceeded"}]

You already have an ongoing authenticated session.

[{"T":"error","code":407,"msg":"slow client"}]

You may receive this if you are too slow to process the messages sent by the server. Please note that this is not guaranteed to arrive before you are disconnected to avoid keeping slow connections active forever.

[{"T":"error","code":408,"msg":"v2 not enabled"}]

The account does not have access to Data v2.

[{"T":"error","code":409,"msg":"insufficient subscription"}]

You have attempted to access a data source not available in your subscription package.

[{"T":"error","code":500,"msg":"internal error"}]

An unexpected error occurred on our end and we are investigating the issue.

Subscription confirmation

After subscribing or unsubscribing you will receive a message that describes your current list of subscriptions.

[{"T":"subscription","trades":["AAPL"],"quotes":["AMD","CLDR"],"bars":["*"],"updatedBars":[],"dailyBars":["VOO"],"statuses":["*"],"lulds":[],"corrections":["AAPL"],"cancelErrors":["AAPL"]}]

You will always receive your entire list of subscriptions, as illustrated by the sample communication excerpt below:

> {"action": "subscribe", "trades": ["AAPL"], "quotes": ["AMD", "CLDR"], "bars": ["*"]}
< [{"T":"subscription","trades":["AAPL"],"quotes":["AMD","CLDR"],"bars":["*"],"updatedBars":[],"dailyBars":[],"statuses":[],"lulds":[],"corrections":["AAPL"],"cancelErrors":["AAPL"]}]
> {"action": "unsubscribe", "bars": ["*"]}
< [{"T":"subscription","trades":["AAPL"],"quotes":["AMD","CLDR"],"bars":[],"updatedBars":[],"dailyBars":[],"statuses":[],"lulds":[],"corrections":["AAPL"],"cancelErrors":["AAPL"]}]

Data point schemas #

Multiple data points may arrive in each message received from the server. These data points have the following formats, depending on their type.

Trade #

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"
}

Quote #

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"
}

Bar #

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.

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.

Example #

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

Trade correction #

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"]}]

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 cancel/error #

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"]}]

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"
}

LULD #

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

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.

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) #

Tape C & O (UTP) #

Reason codes #

Tape A & B (CTA) #

Tape C & O (UTP) #

Streaming 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"}]