Real-time Data

Real-time data #

Alpaca Data API v2 provides websocket streaming for trades, quotes and minute bars. This helps receive the most up to date market information that could help your trading strategy to act upon certain market movements.

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

Subscription Plans #

The limitations listed below are default values but can be configured upon request.

IEX

  • You can only connect to the IEX data source. One concurrent connection is allowed.
  • 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.
  • Minute bars are based on the trades from IEX.

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.

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}

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}"}

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.

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

Subscribe #

You can subscribe to trades, quotes and bars of a particular symbol (or * for every symbol in the case of bars). 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":["AAPL","VOO"]}

You can also omit either one of them (trades, quotes or bars) if you don’t want to subscribe to any symbols in that category but be sure to include at least one of the three.

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"],"bars":[]}

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":["IBM","AAPL","VOO"]}]

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":["*"]}]
> {"action": "unsubscribe", "bars": ["*"]}
< [{"T":"subscription","trades":["AAPL"],"quotes":["AMD","CLDR"],"bars":[]}]

Data Points #

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

Trade 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
t string RFC-3339 formatted timestamp with nanosecond precision
c array trade condition
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"
}

Quote 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
bx string bid exchange code
bp number bid price
bs int bid size
s int trade size
t string RFC-3339 formatted timestamp with nanosecond precision
c array quote condition
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"
}

Minute Bar Schema #

Attribute Type Notes
T string message type, always “b”
S string symbol
o number open price
h number high price
l number low price
c number close price
v int volume
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,
  "t": "2021-02-22T19:15:00Z"
}

Daily Bar Schema #

A daily bar is returned as partial bar up to the current time and updates only at the first valid trade of the day.

Attribute Type Notes
T string message type, always “d”
S string symbol
o number open price
h number high price
l number low price
c number close price
v int volume
t string RFC-3339 formatted timestamp

Example #

{
  "T": "d",
  "S": "SPY",
  "o": 388.985,
  "h": 389.13,
  "l": 388.975,
  "c": 389.12,
  "v": 749378,
  "t": "2021-02-16T04:00:00Z"
}

Status Schema #

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

Attribute Type Notes
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 messages #

Status messages can be used to identify security statuses and trading halts real-time via websocket streaming. Each feed uses its own set of indicators.

Security status #

CTS #

The table below shows security indicators from the CTA Plan (tape A and B).

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

UTDF #

The table below shows security indicators from the UTP Plan (tape C).

Code Value
H Trading Halt
Q Quotation Resumption
T Trading Resumption
P Volatility Trading Pause

Halt reason #

CTS #

The table below shows halt reasons from the CTA Plan (tape A and B).

Code Value
D News Released (formerly News Dissemination)
I Order Imbalance
M Limit Up-Limit Down (LULD) Trading Pause
P News Pending
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

UTDF #

The table below shows halt reasons from the UTP Plan (tape C).

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
O1 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

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":"t","i":96921,"S":"AAPL","x":"D","p":126.55,"s":1,"t":"2021-02-22T15:51:44.208Z","c":["@","I"],"z":"C"}]
< [{"T":"q","S":"AMD","bx":"U","bp":87.66,"bs":1,"ax":"X","ap":87.67,"as":1,"t":"2021-02-22T15:51:45.3355677Z","c":["R"],"z":"C"},{"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"},{"T":"q","S":"AMD","bx":"U","bp":87.66,"bs":1,"ax":"X","ap":87.67,"as":1,"t":"2021-02-22T15:51:45.335806018Z","c":["R"],"z":"C"}]