We've enabled a streaming endpoint to for requesting both quote and trade data utilizing a persistent HTTP socket connection. Streaming data from the API consists of making an Authenticated HTTP request and leaving the HTTP socket open to continually receive data.
You can request streaming data for all standard equity and option symbols. The format of option symbols must be sent in OCC symbology. At this time, we can only permit 256 symbols to be streamed per request and/or a maximum of 256 symbols streaming, per user, across multiple requests.
The data returned through the streaming endpoints will be much slimmer than request/response market data requests. Due to the nature of streaming data, the number of field ids is limited to relevant data only.
You will also notice some fluctuation in the presence of some data points (i.e. hi, lo, bidtick). One important note is that the streaming endpoints only return updates for data points when an change occurs.
If a additional field ids are required for your application, we recommend making a request to standard market data endpoints and supplementing that data with streaming changes.
JSON and XML are both supported response types.
Data is packaged into two different payloads. Each payload serves a unique purpose and is triggered on specific events. The quote payload is triggered on any change in value of a quote data point for a given security.
<quote> <symbol>AAPL</symbol> <exch>6</exch> <bid>426.2</bid> <bidsz>1</bidsz> <bidtick>3</bidtick> <ask>426.3</ask> <asksz>2</asksz> <qcond>R</qcond> <timestamp>2012-01-19T17:41:48-05:00</timestamp> </quote>
The trade payload is triggered when a new trade is reported for a given security.
<trade> <symbol>QQQ</symbol> <exch>19</exch> <last>59.5571</last> <vl>335</vl> <vwap>59.9067</vwap> <cvol>20515140</cvol> <datetime>2012-01-23T12:57:38-05:00</datetime> <timestamp>1327341458</timestamp> </trade>
Any mention of actual symbols are to be used for coding purposes only and do not imply a recommendation or solicitation to buy or sell a particular security or to engage in any particular investment strategy.
At the time of publication and in the preceding month, Ally Invest did not have ownership greater than 1% in any stocks mentioned here and does not have any other actual, material conflict of interest known at the time of publication.
Ally Invest did not receive compensation from a public offering or from investment banking services related to any companies mentioned here within the past 12 months, or expects to receive any in the next 3 months. Ally Invest did not engage in market making in the securities mentioned here.
Ally Invest Securities' background can be found at FINRA's BrokerCheck. Options involve risk and are not suitable for all investors.
Review the Characteristics and Risks of Standardized Options brochure (PDF) before you begin trading options. Options investors may lose the entire amount of their investment in a relatively short period of time.