The Equity Realtime Websocket Endpoints are currently in beta. For production use cases, we recommend the IEX websocket endpoints - which these endpoints expand upon.
# Websocket Consolidated Equity Reference Price & Liquidity Risk Metric Endpoint wss://api.tiingo.com/equity/intraday
Just remember, you will need your token in order to connect. Keep it safe.
Tiingo provides consolidated equity websocket updates from Tiingo's connections into multiple exchanges, ATS, and OTC venues. The feed combines multiple US equity market data sources into one stream and exposes two derived products: Reference Prices and Lquidity Bid/Ask metrics. These are accessible via two different thresholdLevel subscriptions.
- thresholdLevel 6 publishes reference price updates when Tiingo detects a meaningful consolidated reference price change.
- thresholdLevel 4 publishes liquidity spread (bid/ask) updates, including
lqSpreadand the relatedlq*bid/ask fields (price and sizes).
The liquidity risk metric is a statistical estimate of an asset's expected bid/ask spread and liquidity at top-of-book. Tiingo gathers spread and liquidity observations from multiple venues - including exchanges, ATS, and OTC venues - and applies a proprietary methodology to produce an estimated liquidity spread and liquidity bid/ask profile for each security.
For REST snapshots and historical intraday bars, see the Equity Realtime REST documentation.
Use thresholdLevel 6 to receive consolidated reference price updates. Each message contains a timestamp, ticker, and reference price. This reference price corresponds to tngoLast in the REST API and is calculated from validated consolidated quote mids or trade prints. These values are used to create OHLC bars in the REST endpoints.
- A
thresholdLevelof 6 means you receive reference price updates when Tiingo detects a meaningful consolidated reference price change.
# Websocket Consolidated Equity Reference Price Endpoint wss://api.tiingo.com/equity/intraday
The websocket returns meta information about the update message along with the compact reference price array.
service
messageType
data
To see what fields are returned in the data field, please see the table below.
Reference Price Update Messages
0
1
2
Use thresholdLevel 4 to receive liquidity spread updates. Each message contains a timestamp, ticker, liquidity spread, liquidity bid size, liquidity bid price, reference price, liquidity ask price, and liquidity ask size.
The payload shape is [timestamp, ticker, lqSpread, lqBidSize, lqBidPrice, referencePrice, lqAskPrice, lqAskSize]. lqSpread is a relative decimal (i.e. where 0.04 means 4%). The remaining liquidity fields correspond to the lq* fields exposed on the consolidated equity REST endpoint, e.g. lqBidPrice and lqAskPrice. These are expanded upon below. These metrics are intended to be used as valuation and risk metrics to help value assets in real-time.
- A
thresholdLevelof 4 means you receive liquidity risk metric updates when Tiingo republishes the statistical liquidity estimate for a security.
# Websocket Consolidated Equity Liquidity Risk Metric Endpoint wss://api.tiingo.com/equity/intraday
The websocket returns meta information about the update message along with the compact liquidity risk metric array.
service
messageType
data
To see what fields are returned in the data field, please see the table below.
Liquidity Risk Metric Update Messages
0
1
2
3
4
5
6
7