Real-Time Data Delivery

1. Getting Started

Real-Time Data Delivery Overview

This page describes real-time data delivery over WebSocket, NATS, MQTT, or direct publishing to a client-managed message broker.

Data Delivery Options

Data can be delivered through a server connection or by publishing to a client-managed broker:

Connect to InsightSentry Servers

Connect to an InsightSentry endpoint using one of the supported protocols.

• WebSocket - WebSocket stream
• NATS - NATS subject subscription
• MQTT - MQTT topic subscription

Direct Publishing to Your System

Data can also be published directly to a client-managed message broker. The client is responsible for hosting and maintaining that broker.

• NATS
• Redis Pub/Sub
• Redis Streams

2. Response Data Formats

Real-time data responses use short field names to reduce payload size.

This section covers the base real-time data types: quote, bar, and trade data.

When an identifier is included, E identifies stocks, F identifies futures, C identifies currencies, and T identifies ETFs.

Quote Data Format

Quote messages contain current pricing and volume information.

Example Quote Response:

{
  "c": "NASDAQ:AAPL",
  "p": "E",
  "t": "quote",
  "ss": "OPEN",
  "v": 533779.0,
  "a": 243.09,
  "b": 243.08,
  "as": 520.0,
  "bs": 430.0
}

Bar Data Format

Bar data messages use t: "bar" at the top level and contain OHLCV entries in the s array.

Bar entries in the s array contain these fields:

Example Bar Response:

{
  "c": "NASDAQ:AAPL",
  "p": "E",
  "t": "bar",
  "be": 1733432399.0,
  "lu": 1733432399820,
  "bt": "1m",
  "s": [
    {
      "t": 1733432340.0,
      "o": 242.89,
      "h": 243.09,
      "l": 242.82,
      "c": 243.08,
      "v": 533779.0
    }
  ]
}

Trade Data Format

Trade data messages use p for the identifier and t: "trade" at the top level, then contain per-trade entries in the s array.

Per-trade entries in the s array contain these fields:

Example Trade Response:

{
  "c": "NASDAQ:AAPL",
  "p": "E",
  "t": "trade",
  "bt": "1T",
  "be": 1749462520.0,
  "lu": 1749462520177,
  "s": [
    {
      "t": 1749462520.177003,
      "c": 242.89,
      "v": 200.0,
      "s": "buy"
    }
  ]
}

3. SIP Feed

This feed requires separate enablement. If included in your delivery, it is sent separately from the base real-time feed.

Quote Data Format

Quotes use the SIP: symbol prefix, include t: "quote", include p: "S", provide the quote timestamp as ts, and include the bid and ask exchange labels.

Example Quote Response:

{
  "c": "SIP:AMD",
  "p": "S",
  "t": "quote",
  "ts": 1614009105.335,
  "b": 87.66,
  "bs": 1,
  "a": 87.68,
  "as": 4,
  "bx": "MEMX",
  "ax": "NASDAQ_OMX"
}

Trading Status Format

Example Trading Status Response:

{
  "c": "SIP:IBM",
  "p": "S",
  "t": "status",
  "ts": 1717080600.000,
  "sc": "2",
  "sm": "Trading Halt",
  "rc": "P",
  "rm": "News Pending",
  "z": "A"
}

Trading Status Codes

Trading Reason Codes

Bar Data Format

Bars use p: "S" and t: "bar", contain one OHLCV entry in the s array, and use bt: "1D".

Example Bar Response:

{
  "c": "SIP:AAPL",
  "p": "S",
  "t": "bar",
  "bt": "1D",
  "s": [
    {
      "t": 1614009104.208,
      "o": 126.55,
      "h": 127.12,
      "l": 125.98,
      "c": 126.89,
      "v": 1234567,
      "n": 4312
    }
  ]
}

Trade Data Format

Trade payloads include p: "S" and t: "trade", include the trade in the s array, and use bt: "1T".

Standard trades include a trade id in s[].i. Trade corrections and cancellations use the same payload shape and add s[].e; standard trades omits[].e.

Correction-only fields are s[].oi, s[].op, s[].os, and s[].oc. The s[].e marker appears on correction and cancellation/error payloads. Cancellation/error payloads also include s[].cm as the cancel message: cancel or error.

Example Trade Response:

{
  "c": "SIP:AAPL",
  "p": "S",
  "t": "trade",
  "bt": "1T",
  "s": [
    {
      "t": 1614009104.208,
      "i": 96921,
      "c": 126.55,
      "v": 1,
      "x": "FINRA_ADF",
      "z": "C",
      "tc": ["@", "I"]
    }
  ]
}

Example Trade Correction Response:

{
  "c": "SIP:EEM",
  "p": "S",
  "t": "trade",
  "bt": "1T",
  "s": [
    {
      "t": 1680791106.542,
      "i": 52983525034326,
      "oi": 52983525033527,
      "c": 39.1809,
      "v": 440000,
      "x": "CHICAGO_STOCK_EXCHANGE",
      "e": "correction",
      "z": "B",
      "tc": [" ", "7"],
      "op": 39.1582,
      "os": 440000,
      "oc": [" ", "7"]
    }
  ]
}

Example Trade Cancellation Response:

{
  "c": "SIP:AAPL",
  "p": "S",
  "t": "trade",
  "bt": "1T",
  "s": [
    {
      "t": 1614009104.208,
      "i": 96921,
      "c": 126.55,
      "v": 1,
      "x": "FINRA_ADF",
      "e": "cancel",
      "cm": "cancel",
      "z": "C"
    }
  ]
}