Introducing

Schema Updates

Jan 21, 2018

We are updating the schemas of the TRADES and QUOTES real-time data feeds. All other real-time feeds, and APIs will stay as they are currently.

We are changing the schema of the trades/quotes for smaller and only unique per tick data attributes. This will make the messages smaller, enabling less bandwidth and less processing per tick for encoding/decoding the JSON.

New schema ticks will start streaming on market open, Monday, January 29th.

Current Trade Schema:

{
	sym: 'MSFT',		// Symbol
	symT: 83,		// Symbol Type
	xT: 32, 		// Symbol Exchange Type
	x: 90, 			// Trade Exchange
	cT: 83, 		// Symbol Country Type
	pc: 2, 			// Price Precision ( 2 decimals )
	p: 58.02,		// Trade Price
	s: 1,			// Trade Size ( Volume )
	t: 1342314		// Timestamp
	c1: 0			// Trade Condition 1 ( optional )
	c2: 0			// Trade Condition 2 ( optional )
	c3: 0			// Trade Condition 3 ( optional )
	c4: 0			// Trade Condition 4 ( optional )
}

Updated Trade Schema

{
	sym: "MSFT",		// Symbol
	x: 90,			// Exchange ID
	p: 58.02,		// Trade Price
	s: 1,			// Trade Size ( volume )
	t: 1342314		// Timestamp ( Unix, ms precision )
	c: [1,2]		// Trade Conditions array
}

---

Current Quote Schema

{
	sym: 'MSFT',		// Symbol
	symT: 83,		// Symbol Type
	c: 0			// Quote Condition
	bX: 32,			// Bid Exchange
	aX: 83,			// Ask Exchange
	bPc: 2,			// Bid Price Precision
	bP: 57.90,		// Bid Price
	aPc: 2,			// Ask Price Precision
	aP: 58.02,		// Ask Price
	bS: 1,			// Bid Size
	aS: 1,			// Ask Size
	t: 1342314		// Timestamp
}

Updated Quote Schema

{
	sym: "MSFT",		// Symbol
	c: 0,			// Condition, if any
	bx: 32,			// Bid Exchange ID
	ax: 83,			// Ask Exchange ID
	bp: 57.90,		// Bid Price
	ap: 58.02,		// Ask Price
	bs: 1,			// Bid Size
	as: 1,			// Ask Size
	t: 1342314		// Timestamp ( Unix, ms precision )
}

As you can see the schemas are much more concise. Almost all of the important key/values have been kept the same. Any attributes removed ( eg: symbol exchange ) can be resolved by querying the symbol from the API.

We do not expect to make changes to the schema again in the foreseeable future. We apologize for any inconvenience.

• 

  Quinton Pike

  quintonpike

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