L2 Data

Message Types

Name	Access	Type Value	Description
Order Book Tick	L2	tob	Top of book data with 10 price levels for buy and sell sides
Order Tick	L2	tor	Details of individually placed orders
Order Execution Tick	L2	tex	Details of executed orders and trade information

Message Type Details

Order Book Tick

Top of book data with buy and sell side information at up to 10 price levels.

Fields

Field Name	Object Key	Type	Description
Market Type	m	string	REG - Regular, FUT - Futures, ODL - Odd Lot
Symbol	s	string	Security symbol
Timestamp	t	number	Unix timestamp (seconds)
Buy Stats	bs	object	Aggregate buy side statistics (null if unavailable) - View
Buy Price Levels	bl	array	Top 10 buy price levels - View
Sell Stats	ss	object	Aggregate sell side statistics (null if unavailable) - View
Sell Price Levels	sl	array	Top 10 sell price levels - View

Buy Stats Fields (bs)

Field Name	Object Key	Type	Description
Price	x	number	Weighted average buy price
Volume	v	number	Total buy volume

Buy Price Level Fields (bl[])

Field Name	Object Key	Type	Description
Level	lv	number	Price level number (1-10)
Price	x	number	Price at this level
Volume	v	number	Volume at this level
Number of Orders	on	number	Count of orders at this level

Sell Stats Fields (ss)

Field Name	Object Key	Type	Description
Price	x	number	Weighted average sell price
Volume	v	number	Total sell volume

Sell Price Level Fields (sl[])

Field Name	Object Key	Type	Description
Level	lv	number	Price level number (1-10)
Price	x	number	Price at this level
Volume	v	number	Volume at this level
Number of Orders	on	number	Count of orders at this level

Example

{
  "type": "tob",
  "data": {
    "t": 1710485205,
    "m": "REG",
    "s": "TREET",
    "bs": {
      "x": 16.15,
      "v": 792215
    },
    "bl": [
      {
        "lv": 1,
        "x": 16.6,
        "v": 7802,
        "on": 7
      },
      {
        "lv": 10,
        "x": 16.51,
        "v": 55190,
        "on": 13
      }
    ],
    "ss": {
      "x": 17.54,
      "v": 2281099
    },
    "sl": [
      {
        "lv": 1,
        "x": 16.64,
        "v": 50209,
        "on": 1
      },
      {
        "lv": 10,
        "x": 16.75,
        "v": 15385,
        "on": 5
      }
    ]
  }
}

Order Tick

Details of individually placed orders.

Fields

Field Name	Object Key	Type	Description
Market Type	m	string	REG - Regular, FUT - Futures, ODL - Odd Lot
Symbol	s	string	Security symbol
Timestamp	t	number	Unix timestamp (seconds)
Timestamp Executed	tx	number	Unix timestamp when order was executed
Order ID	id	string	Unique order identifier
Price	x	number	Order price
Quantity	v	number	Order quantity
Side	sd	number	1 - Buy, 2 - Sell
Tick Sequence Number	tsq	number	Sequence number of this tick order message

Example

{
  "type": "tor",
  "data": {
    "m": "FUT",
    "s": "PTC-MAR",
    "t": 1710485205,
    "tx": 1710485205,
    "id": "0010SAD1QB00BLKF",
    "x": 13.34,
    "v": 500,
    "sd": 1,
    "tsq": 289722
  }
}

Order Execution Tick

Details of executed orders and trades.

Fields

Field Name	Object Key	Type	Description
Market Type	m	string	REG - Regular, FUT - Futures, ODL - Odd Lot
Symbol	s	string	Security symbol
Timestamp	t	number	Unix timestamp (seconds)
Timestamp Executed	tx	number	Unix timestamp when execution occurred
Price	x	number	Execution price
Quantity	v	number	Executed quantity
Tick Sequence Number	tsq	number	Sequence number of this execution message
Buy Order Tick Sequence	tsqb	number	Sequence number of buy order (0 if not present)
Sell Order Tick Sequence	tsqs	number	Sequence number of sell order (0 if not present)
Execution Instruction	xi	string	4 - Canceled, F - Trade
Execution Type	xt	string	B - OK to Cross

Example

{
  "type": "tex",
  "data": {
    "m": "REG",
    "s": "PPL",
    "t": 1710485570,
    "tx": 1710485570,
    "x": 112.85,
    "v": 61,
    "tsq": 318909,
    "tsqb": 0,
    "tsqs": 302037,
    "xi": "F",
    "xt": "B"
  }
}