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Does anyone know how I can obtain time and sales data for a stock?

Lots of feeds provide the total volume but I would like to see the breakdown of what buy/sell orders made up the day's volume.

I would like to get this via an API so I can analyze it in my code in real time as the market is trading.

Thank you for your help.

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  • $\begingroup$ Just call-up a stock exchange and ask for their historical quotes. The bigger exchanges will want money, but the smaller exchanges may mail you a hard drive for free. $\endgroup$ – chrisaycock Mar 10 '13 at 8:21
  • $\begingroup$ time and sales.. $\endgroup$ – cdcaveman Mar 10 '13 at 8:51
  • $\begingroup$ @chrisay - i need an api i can invoke so i have real-time analytics. will update my question $\endgroup$ – dev Mar 16 '13 at 4:52
  • $\begingroup$ @cdcaveman - ok, so i am looking for time and sales data.. will update the question $\endgroup$ – dev Mar 16 '13 at 4:53
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    $\begingroup$ @dev Most exchanges have a full order-book feed, though they arrive as binary data rather than via an API. $\endgroup$ – chrisaycock Mar 16 '13 at 13:56

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