Snap
The Snap gRPC service streams current conflated NBBO and aggregated trade information for specified tickers. This API requires that the customer have an active streaming subscription and a JWT to be included with the request.
URLs
Equities:
snap-grpc.quodd.com
Options:
snap-grpc-options.quodd.com
Authentication
Get a JWT token and use it as metadata.
{
"Authorization": "Bearer TOKEN"
}
Proto File and Code Examples
Download proto file with code examples 👨💻.
snap.proto
SnapService
Method Name | Request Type | Response Type | Description |
---|---|---|---|
GetSnapsStream | SnapStreamRequest | SnapMessage stream | Returns a stream of snapshots for a list of tickers |
GetSnaps | SnapsRequest | SnapResponse | Returns snapshots for a list of tickers |
Ticker Symbology
Extension | Note |
---|---|
.D | Delayed |
.NB | Nasdaq Basic |
.NB.D | Nasdaq Basic Delayed |
Feed Tickers (Stream Entire Feeds)
info
Limited to 1 Feed per request.
SIP | Note |
---|---|
UTP.FEED | UTP Feed |
CTA.FEED | CTA Feed |
OTC.FEED | OTC Feed |
NB.FEED | Nasdaq Basic Feed |
SnapStreamRequest
Field | Type | Label | Description |
---|---|---|---|
tickers | string | repeated | list of tickers |
info
The gRPC connection will remain open as long as market data for the requested tickers is available. If there is no active market data for a period of 30 minutes, the connection will be terminated automatically. It is required to implement reconnection logic to handle instances where the connection is closed.
SnapsRequest
Field | Type | Label | Description |
---|---|---|---|
tickers | string | repeated | list of tickers |
SnapResponse
Field | Type | Label | Description |
---|---|---|---|
data | SnapMessage | repeated | list of snaps |
error | string | error |
SnapMessage
Field | Description |
---|---|
Ticker | (Equities, Options) The ticker symbol. |
Currency | (Equities, Options) Currency. |
ListingMarket | (Equities) Market identifier code where security is listed. |
Ask | (Equities, Options) NBBO offer price. |
AskSize | (Equities, Options) Shares available at Ask. |
AskMarket | (Equities, Options) Market identifier code where Ask sourced. |
Bid | (Equities, Options) NBBO bid price. |
BidSize | (Equities, Options) Shares available at Bid. |
BidMarket | (Equities, Options) Market identifier code where Bid sourced. |
Open | (Equities, Options) Trade price of first eligible trade of day. |
High | (Equities, Options) Highest trade price of day. |
Low | (Equities, Options) Lowest trade price of the day. |
PreviousClose | (Equities, Options) Previous Close price. |
Last | (Equities, Options) Last price. |
LastMarket | (Equities, Options) Market identifier code where Last sourced. |
LastSize | (Equities, Options) Shares traded at last price. |
LastTimestamp | (Equities, Options) Timestamp of last trade in EST. Format: YYYY-MM-DDTHH:MM:SS.sssssss . |
QuoteTimestamp | (Equities, Options) Quote Timestamp in EST. Format: YYYY-MM-DDTHH:MM:SS.sssssss . |
NumberOfTrades | (Equities, Options) Number Of Trades. |
TotalVolume | (Equities, Options) Total volume traded in the session. |
VWAP | (Equities, Options) Total Value traded/Total volume Traded. |
YearHigh | (Equities) 52 week high price. |
YearLow | (Equities) 52 week low price. |
TradingStatus | (Equities) Conveys the trading status of a Ticker. |
IsDelayed | (Equities, Options) Price information is 15 minutes delayed when true. |
Error | (Equities, Options) Details of the error. |
Change | (Equities, Options) Difference between Last and PreviousClose. |
ChangePct | (Equities, Options) % Difference between Last and PreviousClose. |
Feed | (Equities) Feed. |
UnderlyingTicker | (Options) Underlying Ticker of the option contract. |
OptionType | (Options) The type of the option contract. |
ExpirationDate | (Options) The expiration date of the option contract. |
StrikePrice | (Options) Strike price of the option contract. |
Quick start
gRPCurl
Command-line tool for interacting with gRPC servers
Example Request:
grpcurl -H 'authorization: Bearer TOKEN' -proto 'snap.proto' -d '{ "tickers": [ "AAPL","MSFT","GOOGL" ] }' snap-grpc.quodd.com:443 snap.SnapService/GetSnapsStream