Looking for time and sale (or tick data with just last traded price and last traded volume). How do I get this?
Tick stream seems to be level1 data with bid, ask, etc. do we have last trade price and size in the tick stream?
Thanks!
When you make a request for the ‘Ticks’ unit, if you supply an elementSize > 1 it will combine them into bar chart data. If you ask for 1 tick you will get data like this:
{
"charts": [ // Array of packets.
{
"id": 16335, // Subscription ID, the same as historical/real-time subscription IDs from request response.
"s": "db", // Source of packet data.
"td": 20210718, // Trade date YYYYMMDD.
"bp": 11917, // Base price of the packet (integer number of contract tick sizes).
// Tick prices are calculated as relative from this one.
"bt": 1563421179735, // Base timestamp of the packet.
// Tick timestamps are calculated as relative from this value.
"ts": 0.25, // Tick size of the contract for which the tick chart is requested.
"tks": [ // Array of ticks of this packet.
{
"t": 0, // Tick relative timestamp.
// Actual tick timestamp is packet.bt + tick.t
"p": 0, // Tick relative price (in contract tick sizes).
// Actual tick price is packet.bp + tick.p
"s": 3, // Tick size (seems more proper name should be tick volume).
// Please don't confuse with contract tick size (packet.ts).
"b": -1, // Bid relative price (optional).
// Actual bid price is packet.bp + tick.b
"a": 0, // Ask relative price (optional).
// Actual ask price is packet.bp + tick.a
"bs": 122.21, // Bid size (optional).
"as": 28.35, // Ask size (optional).
"id": 11768401 // Tick ID
},
...
]
},
// Multiple packets are possible...
{
"id": 16335,
"eoh": true // End of history flag.
// If the request time range assumes historical data,
// this flag indicates that historical ticks are loaded and
// further packets will contain real-time ticks.
}
]
};