Market Data WebSocket

Real-time streaming API for equity quotes, trades, and market indices. Subscribe to specific symbols with field-level granularity to receive only the data you need, minimizing bandwidth and latency.

Key Features

Field-Level Subscriptions

Choose specific quote/trade fields or use wildcard * for all fields. Minimize bandwidth by requesting only the data you need.

Real-Time Updates

NDJSON message framing for optimal performance with millisecond-level latency.

Initial Snapshot

Get the current market state when you subscribe.

Multi-Symbol Support

Subscribe to multiple symbols in a single request for efficient batch subscriptions.

Equities & Options

Stream real-time data for stocks and option contracts using OSI symbols.

Market Indices

Track major indices including SPX, NDX, DJI, VIX, and more in real-time.

Supported Symbols

Equities

Standard stock ticker symbols (e.g., AAPL, MSFT, GOOGL, TSLA).

Indices

Major market indices are supported: SPX (S&P 500), NDX (Nasdaq 100), DJI (Dow Jones), VIX (Volatility Index), RUT (Russell 2000), COMP (Nasdaq Composite), NYA (NYSE Composite), OEX (S&P 100), MID (S&P MidCap 400), SML (S&P SmallCap 600).

Index symbols do not have bid/ask quote data. When subscribing to indices, use trade fields (lastPrice, openPrice, highPrice, lowPrice, etc.).

Options

Option contracts use OSI (Options Symbology Initiative) symbols (e.g., AAPL240119C00150000 for AAPL Jan 19 2024 $150 Call).

When subscribing to options, set symbolType: "option" in your subscription request.

Data Types

Quote Data

Real-time bid/ask prices from the consolidated order book (NBBO - National Best Bid and Offer).

Trade Data

Last sale information, volume, and OHLC (Open-High-Low-Close) prices.

Level 2 / Order Book Data

Market depth showing quotes from multiple exchanges. Provides insight into supply and demand at different price levels across all market makers and exchanges.

Time & Sales Data

Real-time trade execution feed showing every trade as it happens, including price, size, timestamp, and exchange. Essential for tape reading and order flow analysis.

Greeks Data

Option Greeks (delta, gamma, theta, vega, rho) and implied volatility for option contracts. Delivers a last-known snapshot on subscribe, then streams real-time updates. Only available when symbolType: "option" and greeksFields is specified.

Level 2 data does not provide an initial snapshot — you will receive updates as they arrive from the market feed. Greeks data does provide an initial snapshot of the last known values upon subscribing.

Message Framing (NDJSON)

For performance optimization, the server may coalesce multiple messages into a single WebSocket frame, separated by newline characters (\n). This is known as Newline-Delimited JSON (NDJSON).

Clients MUST handle this by splitting incoming WebSocket frames on newline characters and parsing each line as a separate JSON message.

Example

A single WebSocket frame may contain:

{"action":"snapshot","type":"quote","symbol":"MSFT",...}
{"action":"snapshot","type":"quote","symbol":"AAPL",...}

Clients should split on \n and parse each line independently.

Requirements

WebSocket Client

Library that supports WSS protocol for secure WebSocket connections.

Authentication

Valid authentication token (if required by your environment).

JSON Parser

NDJSON message format handling capability for parsing streaming data.

Network Connectivity

Stable network connection to the WebSocket endpoint.

Use Cases

Portfolio Monitoring

Live price updates, bid/ask spreads, and intraday performance tracking for your holdings.

Trading Applications

Real-time market prices for order entry systems and trade execution platforms.

Market Dashboards

Display market trends and index movements (SPX, NDX, VIX) on your analytics dashboard.

Price Alert Systems

Trigger notifications on price thresholds, volume spikes, or custom market conditions.

Market Analysis Tools

Real-time data feeds for technical analysis and market research applications.

Subscribing to Market Data

Basic Subscription Structure

All subscription requests follow this format:

{
  "type": "subscribe",
  "id": "optional-correlation-id",
  "payload": [
    {
      "symbol": "AAPL",
      "symbolType": "equity",  // "equity" or "option"
      "quoteFields": ["bidPrice", "askPrice"],
      "tradeFields": ["lastPrice", "volume"],
      "level2": false,
      "timeAndSales": false,
      "greeksFields": ["delta", "gamma"]  // options only - requires symbolType: "option"
    }
  ]
}

Subscription Examples

Basic Examples

Subscribe to Trade Fields Only

Get just price and size data for AAPL:

{
  "type": "subscribe",
  "id": "sub-1",
  "payload": [
    {
      "symbol": "AAPL",
      "tradeFields": ["price", "size"]
    }
  ]
}

Subscribe to Quotes with Default Fields

When you don’t specify quoteFields, you get default quote fields:

{
  "type": "subscribe",
  "id": "sub-2",
  "payload": [
    {
      "symbol": "AAPL"
    }
  ]
}

Subscribe to All Fields Using Wildcard

Use "*" to subscribe to all available fields:

{
  "type": "subscribe",
  "id": "sub-4",
  "payload": [
    {
      "symbol": "GOOGL",
      "quoteFields": ["*"],
      "tradeFields": ["*"]
    }
  ]
}

Multiple Symbols

Subscribe to Specific Quote Fields for Multiple Symbols

{
  "type": "subscribe",
  "id": "sub-3",
  "payload": [
    {
      "symbol": "AAPL",
      "quoteFields": ["bidPrice", "bidSize", "askPrice", "askSize", "midPrice", "spread"]
    },
    {
      "symbol": "MSFT",
      "quoteFields": ["bidPrice", "bidSize", "askPrice", "askSize", "midPrice", "spread"]
    }
  ]
}

Subscribe to Multiple Symbols with Different Fields

Different symbols can have different field subscriptions:

{
  "type": "subscribe",
  "id": "sub-6",
  "payload": [
    {
      "symbol": "AAPL",
      "tradeFields": ["lastPrice", "size", "netChange", "tick"]
    },
    {
      "symbol": "MSFT",
      "quoteFields": ["bidPrice", "askPrice", "spread"]
    },
    {
      "symbol": "GOOGL",
      "quoteFields": ["*"],
      "tradeFields": ["*"]
    }
  ]
}

Level 2 & Time & Sales

Subscribe to Level 2 Order Book Data

{
  "type": "subscribe",
  "id": "sub-l2-1",
  "payload": [
    {
      "symbol": "AAPL",
      "level2": true
    }
  ]
}

Subscribe to Time & Sales Data

{
  "type": "subscribe",
  "id": "sub-tns-1",
  "payload": [
    {
      "symbol": "AAPL",
      "timeAndSales": true
    }
  ]
}

Subscribe to Both Level 2 and Time & Sales

Perfect for tape reading and order flow analysis:

{
  "type": "subscribe",
  "id": "sub-l2-tns-1",
  "payload": [
    {
      "symbol": "AAPL",
      "level2": true,
      "timeAndSales": true
    }
  ]
}

Full Market Data Suite

Subscribe to quotes, trades, Level 2, and Time & Sales:

{
  "type": "subscribe",
  "id": "sub-full-1",
  "payload": [
    {
      "symbol": "AAPL",
      "quoteFields": ["bidPrice", "askPrice", "midPrice", "spread"],
      "tradeFields": ["lastPrice", "size", "totalVolume", "netChange"],
      "level2": true,
      "timeAndSales": true
    }
  ]
}

Index Data

Subscribe to S&P 500 Index

Indices do not have bid/ask quote data. Use tradeFields only.

{
  "type": "subscribe",
  "id": "sub-7",
  "payload": [
    {
      "symbol": "SPX",
      "tradeFields": ["lastPrice", "openPrice", "highPrice", "lowPrice", "netChange", "totalVolume"]
    }
  ]
}

Subscribe to Multiple Indices

{
  "type": "subscribe",
  "id": "sub-8",
  "payload": [
    {
      "symbol": "SPX",
      "tradeFields": ["lastPrice", "netChange"]
    },
    {
      "symbol": "NDX",
      "tradeFields": ["lastPrice", "netChange"]
    },
    {
      "symbol": "VIX",
      "tradeFields": ["lastPrice", "netChange"]
    }
  ]
}

Mixed Equities and Indices

{
  "type": "subscribe",
  "id": "sub-9",
  "payload": [
    {
      "symbol": "AAPL",
      "quoteFields": ["bidPrice", "askPrice", "midPrice"],
      "tradeFields": ["lastPrice", "netChange"]
    },
    {
      "symbol": "SPX",
      "tradeFields": ["lastPrice", "openPrice", "highPrice", "lowPrice"]
    }
  ]
}

Option Contracts

Subscribe to a Single Option Contract

Options use OSI (Options Symbology Initiative) symbols. You must set symbolType: "option".

{
  "type": "subscribe",
  "id": "sub-10",
  "payload": [
    {
      "symbol": "AAPL240119C00150000",
      "symbolType": "option",
      "quoteFields": ["bidPrice", "askPrice", "midPrice", "spread", "openInterest"],
      "tradeFields": ["lastPrice", "volume"]
    }
  ]
}

Subscribe to Multiple Option Contracts

{
  "type": "subscribe",
  "id": "sub-11",
  "payload": [
    {
      "symbol": "AAPL240119C00150000",
      "symbolType": "option",
      "quoteFields": ["bidPrice", "askPrice"],
      "tradeFields": ["lastPrice"]
    },
    {
      "symbol": "AAPL240119C00155000",
      "symbolType": "option",
      "quoteFields": ["bidPrice", "askPrice"],
      "tradeFields": ["lastPrice"]
    },
    {
      "symbol": "AAPL240119P00145000",
      "symbolType": "option",
      "quoteFields": ["bidPrice", "askPrice"],
      "tradeFields": ["lastPrice"]
    }
  ]
}

Subscribe to All Greeks (Wildcard)

Use "*" to receive all Greeks fields for an option contract:

{
  "type": "subscribe",
  "id": "sub-greeks-1",
  "payload": [
    {
      "symbol": "XSP281215C00920000",
      "symbolType": "option",
      "greeksFields": ["*"]
    }
  ]
}

Subscribe to Specific Greeks Fields

Request only the Greeks you need to minimize bandwidth:

{
  "type": "subscribe",
  "id": "sub-greeks-2",
  "payload": [
    {
      "symbol": "AAPL240119C00150000",
      "symbolType": "option",
      "greeksFields": ["delta", "impliedVolatility"]
    }
  ]
}

Subscribe to Greeks Alongside Quotes

Combine Greeks with quote data in a single subscription:

{
  "type": "subscribe",
  "id": "sub-greeks-3",
  "payload": [
    {
      "symbol": "AAPL240119C00150000",
      "symbolType": "option",
      "quoteFields": ["bidPrice", "askPrice", "midPrice"],
      "greeksFields": ["delta", "gamma", "theta", "vega", "impliedVolatility"]
    }
  ]
}

greeksFields is only applicable when symbolType is "option". Including it for equity symbols has no effect.

Available Fields Reference

All available fields you can subscribe to, organized by data type.

Quote Fields

Subscribe to these fields using the quoteFields array. Use ["*"] for all fields.

Field	Description
*	Wildcard - Subscribe to all available quote fields
bidPrice	Current best bid price - the highest price a buyer is willing to pay
bidChange	Change in bid price from the previous quote update
bidSize	Number of shares available at the bid price (typically in round lots of 100)
bidSizeChange	Change in bid size from the previous quote update
bidTimestamp	Unix timestamp in milliseconds when the bid was last updated
bidExchange	Exchange code where the best bid originated (e.g., ‘Q’ for NASDAQ, ‘N’ for NYSE)
askPrice	Current best ask (offer) price - the lowest price a seller is willing to accept
askChange	Change in ask price from the previous quote update
askSize	Number of shares available at the ask price (typically in round lots of 100)
askSizeChange	Change in ask size from the previous quote update
askTimestamp	Unix timestamp in milliseconds when the ask was last updated
askExchange	Exchange code where the best ask originated (e.g., ‘Q’ for NASDAQ, ‘N’ for NYSE)
quoteTimestamp	Unix timestamp in milliseconds of the consolidated/top-of-book quote time
midPrice	Midpoint price calculated as (bidPrice + askPrice) / 2
spread	Bid-ask spread calculated as askPrice - bidPrice
openInterest	Total outstanding open contracts for the option (options only; include in quoteFields when symbolType is "option")

Example:

"quoteFields": ["bidPrice", "askPrice", "bidSize", "askSize", "midPrice", "spread"]

Trade Fields

Subscribe to these fields using the tradeFields array. Use ["*"] for all fields.

Field	Description
*	Wildcard - Subscribe to all available trade fields
price	Last trade execution price (same as lastPrice in most cases)
size	Number of shares in the last trade execution
totalVolume	Cumulative trading volume for the current session (total shares traded)
tickVolume	Volume of shares traded in the most recent tick/update
openPrice	Opening price for the current trading session
highPrice	Highest price reached during the current trading session
lowPrice	Lowest price reached during the current trading session
lastPrice	Most recent trade price (last sale price)
netChange	Net price change from previous close (lastPrice - previousClosePrice)
tick	Tick direction indicator: ‘up’ (uptick), ‘down’ (downtick), or ‘unchanged’
tradeSeq	Trade sequence number - monotonically increasing identifier for each trade
tradeTimestamp	Unix timestamp in milliseconds when the trade was executed
closePrice	Official closing price (may be from current or previous session depending on market hours)
previousClosePrice	Previous trading session’s official closing price, used to calculate netChange

Example:

"tradeFields": ["lastPrice", "size", "totalVolume", "netChange", "tick"]

For Indices: Use trade fields only. Indices do not have bid/ask quote data.

Time & Sales Fields

Subscribe to these fields using the timeAndSalesFields array when timeAndSales: true. Use ["*"] for all fields (default if not specified).

Field	Description
*	Wildcard - Subscribe to all available Time & Sales fields
symbol	The ticker symbol for the trade
price	Trade execution price
size	Number of shares in the trade
tick	Tick direction indicator: ‘up’ (uptick), ‘down’ (downtick), or ‘unchanged’
tradeSeq	Trade sequence number - monotonically increasing identifier for each trade
tradeExchange	Exchange code where the trade was executed (e.g., ‘Q’ for NASDAQ, ‘N’ for NYSE, ‘D’ for FINRA ADF)
tradeTimestamp	Unix timestamp in milliseconds when the trade was executed

Example:

{
  "symbol": "AAPL",
  "timeAndSales": true,
  "timeAndSalesFields": ["price", "size", "tick", "tradeTimestamp", "tradeExchange"]
}

Time & Sales shows every individual trade execution in real-time. Essential for tape reading and order flow analysis.

Level 2 Fields

Level 2 data is enabled with level2: true. The response contains market depth across multiple exchanges in a compact format.

Field	Description
symbol	The ticker symbol for the order book
orderBook	Array of compact order book entries in format "bidSize:bidPrice:askSize"
quotes	Array of exchange quotes in format "EXCHANGE:askPrice:askSize:bidPrice:bidSize"
timestamp	ISO 8601 timestamp of the update

Order Book Format: Each entry in orderBook follows: "bidSize:bidPrice:askSize"

• bidSize: Number of shares at bid (0 if no bid)
• bidPrice: Bid price
• askSize: Number of shares at ask (0 if no ask)

Quotes Format: Each entry in quotes follows: "EXCHANGE:askPrice:askSize:bidPrice:bidSize"

• EXCHANGE: Exchange code (NSDQ, NYSE, BATS, EDGX, etc.)
• askPrice: Ask price at this exchange
• askSize: Number of shares at ask
• bidPrice: Bid price at this exchange
• bidSize: Number of shares at bid

Example Response:

Format Guide:

• orderBook: askSize:price:bidSize (e.g., "0:250.00:100" = 0 shares ask, $250.00 price, 100 shares bid)
• quotes: exchange:askPrice:askSize:bidPrice:bidSize (e.g., "EDGX:272.55:100:272.00:500" = EDGX exchange, $272.55 ask with 100 shares,$272.00 bid with 500 shares)

{
  "action": "update",
  "type": "level2nOB",
  "symbol": "AAPL",
  "data": {
    "orderBook": [
      "0:250.00:100",           // Format: askSize:price:bidSize
      "0:271.00:100",
      "0:272.00:1000",
      "45:272.49:0",
      "100:272.55:0"
    ],
    "quotes": [
      "EDGX:272.55:100:272.00:500",  // Format: exchange:askPrice:askSize:bidPrice:bidSize
      "BATS:272.58:300:271.00:100",
      "NSDQ:272.49:45:272.40:10"
    ],
    "symbol": "AAPL",
    "timestamp": "2025-12-29T05:18:33.600000-05:00"
  },
  "timestamp": 1767003513653
}

No Initial Snapshot: Level 2 data does not provide an initial snapshot. You will receive updates as they arrive from the market feed.

Greeks Fields

Subscribe to these fields using the greeksFields array. Only available for option contracts (symbolType: "option"). Use ["*"] for all fields.

Field	Description
*	Wildcard - Subscribe to all available Greeks fields
delta	Rate of change of option price per $1 move in the underlying. Ranges 0–1 for calls, -1–0 for puts
gamma	Rate of change of delta per $1 move in the underlying. Measures curvature of option value
theta	Daily time decay of the option price. Typically negative
vega	Rate of change of option price per 1% change in implied volatility
rho	Rate of change of option price per 1% change in the risk-free interest rate
impliedVolatility	Market-implied volatility as a decimal (e.g., 0.2752 = 27.52%)
symbol	The OSI symbol of the option contract
timestamp	ISO 8601 timestamp of when the Greeks were last calculated

Example (all Greeks):

"greeksFields": ["*"]

Example (selective fields):

"greeksFields": ["delta", "gamma", "impliedVolatility"]

greeksFields is only applicable when symbolType is "option". It has no effect for equity or index symbols.

Unsubscribing from Market Data

The WebSocket supports three unsubscribe modes for flexible subscription management.

Mode 1: Full Unsubscribe

Remove all subscriptions for one or more symbols:

{
  "type": "unsubscribe",
  "id": "unsub-1",
  "payload": ["AAPL", "MSFT", "GOOGL"]
}

This removes all quote, trade, Level 2, Time & Sales, and Greeks subscriptions for the specified symbols.

Mode 2: Type-Specific

Unsubscribe from specific data types while keeping others active:

Unsubscribe from Quotes Only

{
  "type": "unsubscribe",
  "id": "unsub-2",
  "payload": [
    {
      "symbol": "AAPL",
      "quote": true,
      "trade": false
    }
  ]
}

Unsubscribe from Trades Only

{
  "type": "unsubscribe",
  "id": "unsub-3",
  "payload": [
    {
      "symbol": "TSLA",
      "trade": true
    }
  ]
}

Unsubscribe from Level 2 Only

{
  "type": "unsubscribe",
  "id": "unsub-l2-1",
  "payload": [
    {
      "symbol": "AAPL",
      "level2": true
    }
  ]
}

Unsubscribe from Time & Sales Only

{
  "type": "unsubscribe",
  "id": "unsub-tns-1",
  "payload": [
    {
      "symbol": "AAPL",
      "timeAndSales": true
    }
  ]
}

Unsubscribe from Level 2 and Time & Sales

{
  "type": "unsubscribe",
  "id": "unsub-l2-tns-1",
  "payload": [
    {
      "symbol": "AAPL",
      "level2": true,
      "timeAndSales": true
    }
  ]
}

Unsubscribe from All Greeks

{
  "type": "unsubscribe",
  "id": "unsub-greeks-1",
  "payload": [
    {
      "symbol": "XSP281215C00920000",
      "greeks": true
    }
  ]
}

Available type flags:

• quote: boolean - Unsubscribe from all quote data
• trade: boolean - Unsubscribe from all trade data
• level2: boolean - Unsubscribe from Level 2 data
• timeAndSales: boolean - Unsubscribe from Time & Sales data
• greeks: boolean - Unsubscribe from all Greeks data (options only)

Mode 3: Field-Level

Remove specific fields while keeping the subscription active:

Unsubscribe from Specific Quote Fields

{
  "type": "unsubscribe",
  "id": "unsub-4",
  "payload": [
    {
      "symbol": "GOOGL",
      "quoteFields": ["bidChange", "askChange", "bidSizeChange", "askSizeChange"]
    }
  ]
}

Unsubscribe from Specific Trade Fields

{
  "type": "unsubscribe",
  "id": "unsub-5",
  "payload": [
    {
      "symbol": "AAPL",
      "tradeFields": ["tickVolume", "tick", "tradeSeq"]
    }
  ]
}

Unsubscribe from Mixed Fields

{
  "type": "unsubscribe",
  "id": "unsub-6",
  "payload": [
    {
      "symbol": "MSFT",
      "quoteFields": ["bidTimestamp", "askTimestamp"],
      "tradeFields": ["tradeTimestamp", "closePrice"]
    }
  ]
}

Unsubscribe from Specific Greeks Fields

{
  "type": "unsubscribe",
  "id": "unsub-greeks-2",
  "payload": [
    {
      "symbol": "AAPL240119C00150000",
      "greeksFields": ["rho", "vega"]
    }
  ]
}

If all fields are removed, the subscription is automatically terminated.

Unsubscribe Response

When you unsubscribe, the server confirms the action:

{
  "action": "unsubscribe",
  "type": "quote",
  "symbol": "AAPL",
  "id": "unsub-1",
  "timestamp": 1701450000123
}

Message Formats & Responses

Snapshot Responses

When you subscribe, you immediately receive a snapshot of current market data. The snapshot contains all requested fields.

Quote Snapshot Example

{
  "action": "snapshot",
  "type": "quote",
  "symbol": "AAPL",
  "symbolType": "equity",
  "data": {
    "bidPrice": 150.25,
    "bidSize": 500,
    "bidChange": 0.05,
    "bidSizeChange": 100,
    "bidTimestamp": 1701450000120,
    "bidExchange": "Q",
    "askPrice": 150.26,
    "askSize": 300,
    "askChange": 0.03,
    "askSizeChange": -50,
    "askTimestamp": 1701450000121,
    "askExchange": "N",
    "quoteTimestamp": 1701450000121,
    "midPrice": 150.255,
    "spread": 0.01
  },
  "id": "sub-1",
  "timestamp": 1701450000123
}

Trade Snapshot Example

{
  "action": "snapshot",
  "type": "trade",
  "symbol": "AAPL",
  "symbolType": "equity",
  "data": {
    "price": 150.25,
    "lastPrice": 150.25,
    "size": 100,
    "totalVolume": 45678900,
    "tickVolume": 100,
    "openPrice": 149.50,
    "highPrice": 151.00,
    "lowPrice": 149.25,
    "closePrice": 149.80,
    "previousClosePrice": 149.80,
    "netChange": 0.45,
    "tick": "up",
    "tradeSeq": 123456,
    "tradeTimestamp": 1701450000123
  },
  "id": "sub-1",
  "timestamp": 1701450000125
}

Level 2 Update Example

Level 2 does not send an initial snapshot. You receive updates as they arrive.

Format Guide:

• orderBook: askSize:price:bidSize
• quotes: exchange:askPrice:askSize:bidPrice:bidSize

{
  "action": "update",
  "type": "level2nOB",
  "symbol": "AAPL",
  "data": {
    "orderBook": [
     // Format: askSize:price:bidSize
      "0:150.24:200",
      "0:150.24:300",
      "500:150.26:0",
      "300:150.26:0",
      "400:150.27:0"
    ],
    "quotes": [
    // Format: exchange:askPrice:askSize:bidPrice:bidSize
      "NSDQ:150.26:500:150.25:400",
      "NYSE:150.27:200:150.24:200",
      "PACF:150.26:300:150.24:300"
    ],
    "symbol": "AAPL",
    "timestamp": "2025-12-29T05:18:33.123000-05:00"
  },
  "timestamp": 1701450000123
}

Time & Sales Update Example

{
  "action": "update",
  "type": "timeAndSales",
  "symbol": "AAPL",
  "data": {
    "symbol": "AAPL",
    "price": 150.26,
    "size": 250,
    "tick": "up",
    "tradeSeq": 123457,
    "tradeExchange": "Q",
    "tradeTimestamp": 1701450000456
  },
  "timestamp": 1701450000458
}

Each Time & Sales message represents a single trade execution. You may receive multiple messages per second during active trading.

Option Contract Snapshot

{
  "action": "snapshot",
  "type": "quote",
  "symbol": "AAPL240119C00150000",
  "symbolType": "option",
  "data": {
    "bidPrice": 5.25,
    "askPrice": 5.30,
    "bidSize": 50,
    "askSize": 75,
    "midPrice": 5.275,
    "spread": 0.05,
    "openInterest": 12450
  },
  "id": "sub-opt-1",
  "timestamp": 1701450000123
}

Greeks Snapshot & Update Example

Upon subscribing with greeksFields, the server immediately sends a snapshot of the last known Greeks values. Subsequent updates are streamed whenever Greeks are recalculated.

1. Initial snapshot (received immediately on subscribe):

{
  "type": "event",
  "payload": {
    "action": "snapshot",
    "type": "greeks",
    "symbol": "XSP281215C00920000",
    "data": {
      "delta": 0.522,
      "gamma": 0.0386,
      "impliedVolatility": 0.2752,
      "symbol": "XSP281215C00920000",
      "theta": -0.0246,
      "rho": 0.004,
      "timestamp": "2026-02-13T15:07:16.65+05:30",
      "vega": 0.1606
    },
    "timestamp": 1770975436651
  }
}

2. Real-time update (streamed when Greeks change):

{
  "type": "event",
  "payload": {
    "action": "update",
    "type": "greeks",
    "symbol": "XSP281215C00920000",
    "data": {
      "delta": 0.531,
      "gamma": 0.0391,
      "impliedVolatility": 0.2788,
      "symbol": "XSP281215C00920000",
      "theta": -0.0249,
      "rho": 0.004,
      "timestamp": "2026-02-13T15:08:22.10+05:30",
      "vega": 0.1618
    },
    "timestamp": 1770975502651
  }
}

Selective fields (using greeksFields: ["delta", "impliedVolatility"]):

{
  "type": "event",
  "payload": {
    "action": "snapshot",
    "type": "greeks",
    "symbol": "AAPL240119C00150000",
    "data": {
      "delta": 0.638,
      "impliedVolatility": 0.3105
    },
    "timestamp": 1701450000890
  }
}

Use action: "snapshot" vs action: "update" to distinguish the initial state from real-time changes. Only the fields you subscribed to are included in each message.

Update Responses

After the snapshot, you receive real-time updates with only changed fields:

Quote Update

{
  "action": "update",
  "type": "quote",
  "symbol": "AAPL",
  "data": {
    "bidPrice": 150.26,     // Only changed fields
    "bidSize": 600,
    "bidChange": 0.01,
    "bidSizeChange": 100,
    "bidTimestamp": 1701450001450
  },
  "timestamp": 1701450001456
}

Bandwidth Optimization: Updates contain only fields that changed since the last message, minimizing network usage.

Trade Update

{
  "action": "update",
  "type": "trade",
  "symbol": "AAPL",
  "data": {
    "lastPrice": 150.27,
    "price": 150.27,
    "size": 200,
    "totalVolume": 45679100,
    "tickVolume": 200,
    "netChange": 0.47,
    "tick": "up",
    "tradeSeq": 123458,
    "tradeTimestamp": 1701450001500
  },
  "timestamp": 1701450001502
}

Response Structure

All server messages follow this structure:

Field	Type	Description
action	string	Message action: snapshot, update, unsubscribe, pong, or error
type	string	Data type: quote, trade, level2, timeAndSales, or greeks
symbol	string	The ticker symbol
symbolType	string	Symbol type: equity or option
data	object	The market data payload
id	string	Correlation ID (if provided in request)
timestamp	number	Unix timestamp in milliseconds

Error Handling

Error Response Format

{
  "action": "error",
  "error": {
    "code": "INVALID_SYMBOL",
    "message": "Symbol 'INVALID' not found or not supported",
    "details": {
      "symbol": "INVALID",
      "symbolType": "equity"
    }
  },
  "id": "sub-1",
  "timestamp": 1701450000123
}

Common Error Codes

Code	Description	Resolution
INVALID_SYMBOL	Symbol not found or not supported	Verify the symbol ticker is correct
INVALID_FIELD	Requested field name is invalid	Check field name against available fields
INVALID_SYMBOL_TYPE	Symbol type must be ‘equity’ or ‘option’	Use correct symbolType value
SUBSCRIPTION_NOT_FOUND	Attempting to unsubscribe from non-existent subscription	Verify you subscribed to this symbol first
RATE_LIMIT_EXCEEDED	Too many requests in a short time period	Implement exponential backoff
AUTHENTICATION_REQUIRED	Valid authentication token required	Include auth token in connection headers
INTERNAL_ERROR	Server encountered an unexpected error	Retry the request after a delay

Always implement error handling in your WebSocket client to handle network issues, invalid requests, and server errors gracefully.

Connection Management

Ping/Pong Keepalive

Send periodic pings to keep the WebSocket connection alive and detect network issues:

Client sends:

{
  "type": "ping",
  "id": "ping-001"
}

Server responds:

{
  "action": "pong",
  "id": "ping-001",
  "timestamp": 1701450000123
}

Recommended: Send a ping every 30-60 seconds to maintain the connection and detect disconnects quickly.

Handling Disconnects

const ws = new WebSocket('wss://api.aries.com/v1/market/ws');

ws.onclose = (event) => {
  console.log('WebSocket closed:', event.code, event.reason);

  // Implement reconnection logic with exponential backoff
  setTimeout(() => {
    reconnect();
  }, getBackoffDelay());
};

ws.onerror = (error) => {
  console.error('WebSocket error:', error);
};

Implement exponential backoff for reconnections: start with 1 second, then 2s, 4s, 8s, up to a maximum of 60 seconds.

Request/Response Pattern

Besides streaming subscriptions, the WebSocket supports on-demand queries using a RESTful-style request/response pattern.

Get Option Expiry Dates

Query all available expiration dates for an underlying symbol:

Request:

{
  "type": "request",
  "id": "req-expiry-1",
  "payload": {
    "method": "GET",
    "path": "/options/AAPL/expiry-dates"
  }
}

Response:

{
  "type": "response",
  "id": "req-expiry-1",
  "payload": {
    "status": 200,
    "data": {
      "symbol": "AAPL",
      "expiryDates": [
        "2024-01-19",
        "2024-02-16",
        "2024-03-15",
        "2024-04-19"
      ]
    }
  },
  "timestamp": 1701450000123
}

Get Option Contract Symbols

Query all call and put contracts for a symbol and expiration date:

Request:

{
  "type": "request",
  "id": "req-003",
  "payload": {
    "method": "GET",
    "path": "/options/AAPL/contracts/2024-01-19"
  }
}

Response:

{
  "type": "response",
  "id": "req-003",
  "payload": {
    "status": 200,
    "data": {
      "symbol": "AAPL",
      "expiryDate": "2024-01-19",
        "calls": [
          {
            "symbol": "AAPL240119C00145000",
            "strike": 145.00
          },
          {
            "symbol": "AAPL240119C00150000",
            "strike": 150.00
          }
        ],
        "puts": [
          {
            "symbol": "AAPL240119P00145000",
            "strike": 145.00
          },
          {
            "symbol": "AAPL240119P00150000",
            "strike": 150.00
          }
        ]
    }
  },
  "timestamp": 1701450000123
}

Response Status Codes

Status	Meaning
200	Success
400	Bad Request - Invalid parameters
404	Not Found - Symbol or resource not found
500	Internal Server Error