Good day, I am reading through all alpaca docs, and hoping to get more understanding of what data is available through the API.
Basically: I need to get all quotes on a given stock. (IBM, for example, but I will also try other stocks.)
Not just the current best bid/offer, but all posted quotes and sizes, on both the bid and offer side.
Also, a mechanism for letting me know when a quote has been changed or removed.
Many thanks! If I can really be greedy, is there a sample program somewhere which shows how to get this data?
@alpacak29 Alpaca Market Data only provides the National Best Bid Offer (NBBO) quotes which are essentially just ‘top of book’. One can stream quotes which will send a quote every time a new one arrives. That may work for knowing when a quote has changed? There’s a bit on how to stream data in the docs.
So if I do the streaming, does it only tell me when NBBO changes on one or both sides?
So, not possible to get the full depth?
@It’s really not possible, from any data source, to get the entire markets quotes. There are various subsets like NASDAQ level 2 quotes but those, for example, are just the quotes from each of the market makers for a given symbol. Part of the issue is the shear quantity of quotes and how fast they change. Especially for a large stock like AAPL there could be several hundred thousand quotes per second. The other issue is the fact that probably less than 50% of quotes are ‘displayed’. Only exchanges are required to display quotes and only about 50% of all trades occur on an exchange.
A new quote is published to the stream whenever any of the fields change. This is typically a different bid or ask, but could simply be a different exchange while the bid and ask remain the same.