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Available Market Data

Instrument Reference Data: Symbols and metadata, trading state and limits, contract specifications, expiration dates Order Book Data: Aggregated order book depth, best bid and offer (BBO), multiple price levels Trading State: Market status (open, closed, halted), trading hours, circuit breakers

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Live Market Data Delivery

Market data is delivered via the Market Data Subscription API over long-lived HTTP connections. Key characteristics: Server pushes updates over persistent connection; snapshot-style updates (each message is complete); treat each message as a full update unless documentation specifies delta semantics; no WebSockets (uses HTTP streaming).

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Order Books

Are order books aggregated? Yes. REST order book endpoints return aggregated depth only. Multiple orders at the same price level are combined; individual order IDs are not visible in market data; only aggregate quantity is shown per price level. Price levels available: Multiple levels of depth (configurable), best bid/offer always included, deeper book available with appropriate scopes.

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Price and Quantity Encoding

Are prices and quantities floating point? No. All prices and quantities are integer-encoded strings. Example: 
{
  "price": "550",  // Divide by price_scale (e.g., 550 / 1000 = 0.55)
  "quantity": "1000"  // Integer quantity
}
Always use string parsing for prices and quantities. Never use floating-point math for price calculations.

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Trade Tape

Is there a public trade tape? No. Trades are not disseminated via market data APIs. You can only see your own trades via Reporting APIs and your own executions via Order subscriptions.

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Market Data Scopes

Basic market data (read:marketdata): Best bid/offer, top-of-book snapshots, basic instrument data Level 2 market data (read:l2marketdata): Full order book depth, multiple price levels, aggregate depth Reference data (read:instruments): Instrument listings, metadata and specifications, trading schedules

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Subscribing to Market Data

Use the Market Data Subscription API to receive updates: 
POST /v1/marketdata/subscribe
{
  "instruments": ["tec-nfl-sbw-2026-02-08-kc", "aec-nfl-buf-nyj-2025-01-15"],
  "dataType": "orderbook"
}
The connection remains open and the server pushes updates as market conditions change.

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Update Frequency

Market data updates are sent on every change to the order book, at regular intervals (even if no changes), and as snapshots (full book, not deltas).

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Best Practices

Cache reference data: Instrument metadata changes infrequently. Cache it locally and refresh periodically (every 5-15 minutes). Use streaming for real-time data: Don’t poll market data endpoints repeatedly. Use the subscription API for live updates. Handle reconnections: Streaming connections can drop. Implement automatic reconnection with exponential backoff. Process snapshots correctly: Each market data message is a complete snapshot. Replace your local book state with each update.

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Troubleshooting

Market data seems stale Check:
  • Is your subscription still active?
  • Has the connection dropped?
  • Is the market actually open?
Missing price levels Check:
  • Do you have the read:l2marketdata scope?
  • Are you requesting depth parameter correctly?
  • Is there actually liquidity at those levels?
Can’t see my own orders in the book Correct behavior. Market data shows aggregated depth only. To see your own orders, use the Order Management APIs.