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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, 2013 at 8:21
  • $\begingroup$ time and sales.. $\endgroup$
    – cdcaveman
    Mar 10, 2013 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, 2013 at 4:52
  • $\begingroup$ @cdcaveman - ok, so i am looking for time and sales data.. will update the question $\endgroup$
    – dev
    Mar 16, 2013 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, 2013 at 13:56

2 Answers 2

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(I assume you're referring to US equities.)

Most normalized, vendor data feeds that you see are sourced from the CTA/UTP SIPs, which don't provide breakdown of individual orders.

To see the composition of individual orders, you'd need either a prop feed or a normalized feed derived from a prop feed. Such prop feeds include the Nasdaq TotalView-ITCH, NYSE Integrated etc. Aside from sourcing these prop feeds from the venue directly, you can also do so via one of their extranet providers (e.g. Pico, Options IT, Fixnetix, TNS). There are several providers that normalize these feeds, such as Databento (disclaimer: which I work for), Celoxica, Redline.

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Which stock are you looking for? Try checking out IEX Cloud. They have a wide range of core and premium data delivered through APIs. If you're looking at stocks in the US markets, AlgoSeek is also an option.

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