Trade Quote

FreeValueStandardPro

Fetch combined trade + quote ticks for a stock on a given date. Returns raw DataTable.

Returns every trade reported by UTP & CTA paired with the last BBO quote reported by UTP or CTA at the time of trade. A quote is matched with a trade if its timestamp <= the trade timestamp. If you prefer to match quotes with timestamps that are < the trade timestamp, specify the exclusive parameter to true. Set the venue parameter to nqb to access current-day real-time historic data from the Nasdaq Basic feed if the account has a stocks standard or pro subscription.

• Multi-day requests are limited to 1 month of data.

AAPL

Client

Auth

Style

symbolstring*

datedate

start_timestring

end_timestring

exclusivebool

venuestring

start_datedate

end_datedate

from thetadatadx import Client

client = Client.from_env()

rows = client.market_data.stock_history_trade_quote(
    "AAPL",
)
for t in rows:
    print(t.ms_of_day, t.price, t.bid, t.ask)

Sample response · JSON

[
  {
    "ask": 130.4,
    "ask_condition": 0,
    "ask_exchange": 7,
    "ask_size": 1,
    "bid": 130.26,
    "bid_condition": 0,
    "bid_exchange": 7,
    "bid_size": 4,
    "condition": 115,
    "exchange": 60,
    "ext_condition1": 32,
    "ext_condition2": 255,
    "ext_condition3": 255,
    "ext_condition4": 115,
    "price": 130.33,
    "quote_timestamp": "2023-01-03T09:30:00.001",
    "sequence": 562,
    "size": 1,
    "trade_timestamp": "2023-01-03T09:30:00.002"
  },
  {
    "ask": 130.4,
    "ask_condition": 0,
    "ask_exchange": 7,
    "ask_size": 1,
    "bid": 130.26,
    "bid_condition": 0,
    "bid_exchange": 7,
    "bid_size": 4,
    "condition": 115,
    "exchange": 60,
    "ext_condition1": 32,
    "ext_condition2": 255,
    "ext_condition3": 255,
    "ext_condition4": 115,
    "price": 130.33,
    "quote_timestamp": "2023-01-03T09:30:00.002",
    "sequence": 563,
    "size": 24,
    "trade_timestamp": "2023-01-03T09:30:00.003"
  },
  {
    "ask": 130.4,
    "ask_condition": 0,
    "ask_exchange": 7,
    "ask_size": 1,
    "bid": 130.26,
    "bid_condition": 0,
    "bid_exchange": 7,
    "bid_size": 4,
    "condition": 115,
    "exchange": 60,
    "ext_condition1": 32,
    "ext_condition2": 255,
    "ext_condition3": 255,
    "ext_condition4": 115,
    "price": 130.33,
    "quote_timestamp": "2023-01-03T09:30:00.002",
    "sequence": 564,
    "size": 40,
    "trade_timestamp": "2023-01-03T09:30:00.003"
  }
]

Parameters

Name	Type	Required	Default	Description
symbol	string	yes	—	Ticker symbol (e.g. AAPL)
date	date	no	—	Single date YYYYMMDD. Supply this for a single-day pull, or supply start_date/end_date for a range. When present, date takes precedence over the range.
start_time	string	no	09:30:00	Start time filter
end_time	string	no	16:00:00	End time filter
exclusive	bool	no	false	When true, quotes whose timestamp equals the trade timestamp are excluded; only quotes strictly before the trade are paired.
venue	string	no	nqb	Venue/exchange filter. Accepted values: nqb, utp_cta.
start_date	date	no	—	Start date YYYYMMDD
end_date	date	no	—	End date YYYYMMDD
timeout_ms	int	no	—	Per-request deadline in milliseconds. 0 means no deadline.

Response

Rows of TradeQuoteTick:

Field	Type	Description
ms_of_day	i32	Milliseconds since midnight Eastern Time.
sequence	i32	Exchange-assigned trade sequence number.
ext_condition1	i32	Additional trade condition code.
ext_condition2	i32	Additional trade condition code.
ext_condition3	i32	Additional trade condition code.
ext_condition4	i32	Additional trade condition code.
condition	i32	Trade condition code.
size	i32	Number of contracts or shares traded.
exchange	i32	Exchange code where the trade executed.
price	f64	Trade price.
condition_flags	i32	Trade condition flags bitmap.
price_flags	i32	Trade price flags bitmap.
volume_type	i32	Volume reporting mode: 0 = incremental, 1 = cumulative.
records_back	i32	Offset of this record behind the most recent record.
quote_ms_of_day	i32	Timestamp of the paired quote, milliseconds since midnight ET.
bid_size	i32	Last NBBO bid size.
bid_exchange	i32	Exchange code of the NBBO bid.
bid	f64	NBBO bid at the time of the trade.
bid_condition	i32	Quote condition code on the bid side.
ask_size	i32	Last NBBO ask size.
ask_exchange	i32	Exchange code of the NBBO ask.
ask	f64	NBBO ask at the time of the trade.
ask_condition	i32	Quote condition code on the ask side.
date	i32	Trading date as a YYYYMMDD integer.