ThetaData v3
Search K

Appearance

stock_history_trade_quote() ​

StandardPro

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.
  • For current-day data requests, trades are matched with the last quote reported before the trade (unless use_time_based_trade_quote is given).
  • For deeper historical data, trades are matched with quotes based on millisecond timestamps. A quote is matched with a trade if its timestamp <= the trade timestamp.
  • To match trades with quotes timestamps that are < the trade timestamp, specify the exclusiveparameter to true. After thorough testing, we have determined that using exclusive=true might yield better results for various applications.

Parameters

symbolRequired  -

The stock or index symbol, or underlying symbol for options.

Type: str
date  -

The date to fetch data for. If present, this overrides start_date and end_date.

Type: datetime.date
start_time  -

The start time (inclusive) in the specified day (format 24-hour HH:MM:SS.SSS).

Type: Union[datetime.time, str] (Default: 09:30:00)
end_time  -

The end time (inclusive) in the specified day (format 24-hour HH:MM:SS.SSS).

Type: Union[datetime.time, str] (Default: 16:00:00)
exclusive  -

If you prefer to match quotes with timestamps that are < the trade timestamp.

Type: boolean (Default: true)
venue  -

Used to specify the venue of the real time or historic request. nqb = Nasdaq Basic; utp_cta = merged UTP & CTA.

Type: str (Default: nqb)
Enumnqb, utp_cta
start_date  -

The start date (inclusive).

Type: datetime.date
end_date  -

The end date (inclusive).

Type: datetime.date
use_time_based_trade_quote  -

Affects requests for current-day data only. If true, trades will be matched with a quote based on millisecond timestamps (the same as for historical data).

Type: boolean (Default: true)

Sample Code ​

py

Response ​

Returns every trade quote for a given symbol between specified dates (inclusive)

array of: