I am using live stream data with an Unlimited subscription, and I’d like to get the total bid/ask sizes for a given symbol.
When using this
stream = StockDataStream(APIConstants.API_KEY, APIConstants.SECRET_KEY, feed=DataFeed.SIP) stream.subscribe_quotes(marketDataHandler,"mySymbol") stream.run()
I seem to be getting individual quotes from several exchanges, but I don’t get an aggregated view of all the quotes, and so I don’t know what is the total bid/ ask size.
I have looked at the documentation but did not find a way to get back aggregated quotes rather than individual quotes.
Thanks for your help.