NASDAQ Analytics Web Service Operations

This web service supports the following APIs.

Each API lets you access the data in a unique way. APIs are grouped by topics for your convenience. Click on an API link to access its test form, documentation, sample code and more.

List Operations

VWAP & TWAP

  • Retrieves VWAP and TWAP for a list of symbols within a specific date and time range using a custom comma-delimited list of sales conditions.

Quote Analytics

  • Retrieves all quotes whose spread (best offer - best bid) is smaller than a Spread value for requested symbol(s) within a date and time range and for a market center(s).
  • Retrieves the average best offer minus the best bid (best offer - best bid) value for specified symbol(s) in a specific date and time range.
  • Retrieves the highest bid, highest offer, lowest bid, and lowest offer for a specified date and time range.
  • Retrieves quotes where the best offer is less than the best bid for specified symbol(s) within a specific date and time range.
  • Retrieves quotes where the best offer equals the best bid for specified symbol(s) within a specific date and time range.

Trade Analytics

  • Retrieves trade records for specified symbol(s) and market center(s) within a specific date and time range, summarized by seconds, minutes, hours or period. Please note: Cancelled trades are removed from calculations. Corrected trades are applied to the calculations.

End of Day Data

  • Retrieves the open, high, low, close, last sale and volume for each day in a specified date range. If the market center code is left blank, the file returns consolidated data only. If a market center code is specified, the file returns the aggregate data of each market center passed in. Please note: Cancelled trades are removed from calculations. Corrected trades are applied to the calculations.