InsightSentry - Real-time Financial Data API

1. Getting Started

Connection	Protocols
Connect to InsightSentry	WebSocket, NATS, or MQTT
Receive on your own broker	NATS, Redis Pub/Sub, or Redis Streams

For your own broker, provide connection details and credentials for a reachable instance you host.

Delivery gaps

Delivery of every trade is not guaranteed. Use the REST API to backfill recent trades and bars.

2. Response Data Formats

When an identifier is included, E identifies stocks, F identifies futures, C identifies currencies, and T identifies ETFs.

Quote Data Format

Quote messages contain current pricing and volume information.

Field	Description
c	Symbol identifier
p	Identifier
t	Message type marker, always `quote`
ss	Session status
v	Trading volume
a	Ask price
b	Bid price
as	Size of ask orders
bs	Size of bid orders

Example Quote Response:

JSON

{
  "c": "NASDAQ:AAPL",
  "p": "E",
  "t": "quote",
  "ss": "OPEN",
  "v": 533779.0,
  "a": 243.09,
  "b": 243.08,
  "as": 520.0,
  "bs": 430.0
}

Bar Data Format

Bar data messages use t: "bar" at the top level and contain OHLCV entries in the s array.

Field	Description
c	Symbol identifier
p	Identifier
t	Message type marker, always `bar`
be	Bar end timestamp
lu	Last update timestamp
bt	Bar interval type
s	Array of bar entries

Bar entries in the s array contain these fields:

Field	Description
t	Bar timestamp
o	Opening price
h	Highest price
l	Lowest price
c	Closing price
v	Trading volume

Example Bar Response:

JSON

{
  "c": "NASDAQ:AAPL",
  "p": "E",
  "t": "bar",
  "be": 1733432399.0,
  "lu": 1733432399820,
  "bt": "1m",
  "s": [
    {
      "t": 1733432340.0,
      "o": 242.89,
      "h": 243.09,
      "l": 242.82,
      "c": 243.08,
      "v": 533779.0
    }
  ]
}

Trade Data Format

Trade data messages use p for the identifier and t: "trade" at the top level, then contain per-trade entries in the s array.

Per-trade entries in the s array contain these fields:

Field	Description
t	Trade timestamp
c	Trade price
v	Trade volume (shares/contracts)
s	Trade direction (`buy` or `sell`)

Example Trade Response:

JSON

{
  "c": "NASDAQ:AAPL",
  "p": "E",
  "t": "trade",
  "bt": "1T",
  "be": 1749462520.0,
  "lu": 1749462520177,
  "s": [
    {
      "t": 1749462520.177003,
      "c": 242.89,
      "v": 200.0,
      "s": "buy"
    }
  ]
}

3. SIP Feed

SIP messages are delivered separately from the base feed.

Data Type	Symbol Format	Additional Fields
Quotes	SIP:AAPL	p, t, bx, ax; limit-band updates also use ts, u, d, i, z
Trades	SIP:AAPL	p, s[].i, s[].x, s[].z, s[].tc, s[].e, s[].oi, s[].op, s[].os, s[].oc, s[].cm
Bars	SIP:AAPL	p, bt, s[].n
Trading Status	SIP:AAPL	p, ts, sc, sm, rc, rm, z

Quote Data Format

Quotes use the SIP: symbol prefix, include t: "quote", include p: "S", and provide the event timestamp as ts. Bid/ask updates include the bid and ask exchange labels. Each received limit up/limit down change is delivered as a partial quote message and is not repeated on later bid/ask quotes.

Field	Description
c	SIP-prefixed symbol identifier
p	Feed identifier, always `S`
t	Message type marker, always `quote`
ts	Event timestamp in Unix seconds with millisecond precision
b / bs	Bid price and bid size
a / as	Ask price and ask size
bx / ax	Bid and ask exchange labels
u / d	Limit up and limit down prices; present only on a limit-band update
i	Limit-band indicator; present only on a limit-band update
z	Tape code; present only on a limit-band update

Example Quote Response:

JSON

{
  "c": "SIP:AMD",
  "p": "S",
  "t": "quote",
  "ts": 1614009105.335,
  "b": 87.66,
  "bs": 1,
  "a": 87.68,
  "as": 4,
  "bx": "MEMX",
  "ax": "NASDAQ_OMX"
}

Example Limit Up/Limit Down Quote Update:

JSON

{
  "c": "SIP:AMD",
  "p": "S",
  "t": "quote",
  "ts": 1614009105.335,
  "u": 92.0,
  "d": 75.0,
  "i": "B",
  "z": "C"
}

Trading Status Format

Field	Description
c	SIP-prefixed symbol identifier
p	Feed identifier, always `S`
t	Message type marker, always `status`
ts	Status timestamp in Unix seconds with millisecond precision
sc	Status code
sm	Status message
rc	Reason code
rm	Reason message
z	Tape code

Example Trading Status Response:

JSON

{
  "c": "SIP:IBM",
  "p": "S",
  "t": "status",
  "ts": 1717080600.000,
  "sc": "2",
  "sm": "Trading Halt",
  "rc": "P",
  "rm": "News Pending",
  "z": "A"
}

Trading Status Codes

Tape	Code	Message
A / B (CTA)	2	Trading Halt
A / B (CTA)	3	Resume
A / B (CTA)	5	Price Indication
A / B (CTA)	6	Trading Range Indication
A / B (CTA)	7	Market Imbalance Buy
A / B (CTA)	8	Market Imbalance Sell
A / B (CTA)	9	Market On Close Imbalance Buy
A / B (CTA)	A	Market On Close Imbalance Sell
A / B (CTA)	C	No Market Imbalance
A / B (CTA)	D	No Market On Close Imbalance
A / B (CTA)	E	Short Sale Restriction
A / B (CTA)	F	Limit Up-Limit Down
C / O (UTP)	H	Trading Halt
C / O (UTP)	Q	Quotation Resumption
C / O (UTP)	T	Trading Resumption
C / O (UTP)	P	Volatility Trading Pause

Trading Reason Codes

Tape	Code	Message
A / B (CTA)	A	Additional Information Requested
A / B (CTA)	C	Regulatory Concern
A / B (CTA)	D	News Released (formerly News Dissemination)
A / B (CTA)	E	Merger Effective
A / B (CTA)	F	ETF Component Prices Not Available
A / B (CTA)	I	Order Imbalance
A / B (CTA)	M	Limit Up-Limit Down (LULD) Trading Pause
A / B (CTA)	N	Corporate Action
A / B (CTA)	O	New Security Offering
A / B (CTA)	P	News Pending
A / B (CTA)	V	Intraday Indicative Value Not Available
A / B (CTA)	X	Operational
A / B (CTA)	Y	Sub-Penny Trading
A / B (CTA)	1	Market-Wide Circuit Breaker Level 1 – Breached
A / B (CTA)	2	Market-Wide Circuit Breaker Level 2 – Breached
A / B (CTA)	3	Market-Wide Circuit Breaker Level 3 – Breached
C / O (UTP)	T1	Halt News Pending
C / O (UTP)	T2	Halt News Dissemination
C / O (UTP)	T5	Single Stock Trading Pause In Affect
C / O (UTP)	T6	Regulatory Halt Extraordinary Market Activity
C / O (UTP)	T8	Halt ETF
C / O (UTP)	T12	Trading Halted; For information requested by NASDAQ
C / O (UTP)	H4	Halt Non Compliance
C / O (UTP)	H9	Halt Filings Not Current
C / O (UTP)	H10	Halt SEC Trading Suspension
C / O (UTP)	H11	Halt Regulatory Concern
C / O (UTP)	01	Operations Halt, Contact Market Operations
C / O (UTP)	IPO1	IPO Issue not yet Trading
C / O (UTP)	M1	Corporate Action
C / O (UTP)	M2	Quotation Not Available
C / O (UTP)	LUDP	Volatility Trading Pause
C / O (UTP)	LUDS	Volatility Trading Pause – Straddle Condition
C / O (UTP)	MWC1	Market Wide Circuit Breaker Halt - Level 1
C / O (UTP)	MWC2	Market Wide Circuit Breaker Halt - Level 2
C / O (UTP)	MWC3	Market Wide Circuit Breaker Halt - Level 3
C / O (UTP)	MWC0	Market Wide Circuit Breaker Halt - Carry over from previous day
C / O (UTP)	T3	News and Resumption Times
C / O (UTP)	T7	Single Stock Trading Pause/Quotation-Only Period
C / O (UTP)	R4	Qualifications Issues Reviewed/Resolved; Quotations/Trading to Resume
C / O (UTP)	R9	Filing Requirements Satisfied/Resolved; Quotations/Trading To Resume
C / O (UTP)	C3	Issuer News Not Forthcoming; Quotations/Trading To Resume
C / O (UTP)	C4	Qualifications Halt ended; maint. Req. met; Resume
C / O (UTP)	C9	Qualifications Halt Concluded; Filings Met; Quotes/Trades To Resume
C / O (UTP)	C11	Trade Halt Concluded By Other Regulatory Auth,; Quotes/Trades Resume
C / O (UTP)	R1	New Issue Available
C / O (UTP)	R	Issue Available
C / O (UTP)	IPOQ	IPO security released for quotation
C / O (UTP)	IPOE	IPO security – positioning window extension
C / O (UTP)	MWCQ	Market Wide Circuit Breaker Resumption

Bar Data Format

Bars use p: "S" and t: "bar", contain one OHLCV entry in the s array, and use bt: "1D".

Field	Description
c	SIP-prefixed symbol identifier
p	Feed identifier, always `S`
t	Message type marker, always `bar`
bt	Bar interval marker, always `1D`
s[].t	Bar timestamp in Unix seconds with millisecond precision
s[].o / h / l / c	Open, high, low, and close prices
s[].v	Accumulated volume
s[].n	Accumulated trade count

Example Bar Response:

JSON

{
  "c": "SIP:AAPL",
  "p": "S",
  "t": "bar",
  "bt": "1D",
  "s": [
    {
      "t": 1614009104.208,
      "o": 126.55,
      "h": 127.12,
      "l": 125.98,
      "c": 126.89,
      "v": 1234567,
      "n": 4312
    }
  ]
}

Trade Data Format

Trade payloads include p: "S" and t: "trade", include the trade in the s array, and use bt: "1T".

Standard trades include a trade id in s[].i. Trade corrections and cancellations use the same payload shape and add s[].e; standard trades omits[].e.

Correction-only fields are s[].oi, s[].op, s[].os, and s[].oc. The s[].e marker appears on correction and cancellation/error payloads. Cancellation/error payloads also include s[].cm as the cancel message: cancel or error.

Field	Description
c	SIP-prefixed symbol identifier
p	Feed identifier, always `S`
t	Message type marker, always `trade`
bt	Trade interval marker, always `1T`
s[].t	Trade timestamp in Unix seconds with millisecond precision
s[].us	Trade timestamp in Unix microseconds (integer)
s[].i	Trade id
s[].c	Trade price
s[].v	Trade size
s[].x	Trade exchange label
s[].z	Tape code
s[].tc	Trade condition codes
s[].e	Optional trade event marker: `correction` or `cancel`
s[].oi	Original trade id for corrections
s[].op / os / oc	Original price, size, and condition codes for corrections
s[].cm	Cancel message: `cancel` or `error`

Example Trade Response:

JSON

{
  "c": "SIP:AAPL",
  "p": "S",
  "t": "trade",
  "bt": "1T",
  "s": [
    {
      "t": 1614009104.208,
      "us": 1614009104208123,
      "i": 96921,
      "c": 126.55,
      "v": 1,
      "x": "FINRA_ADF",
      "z": "C",
      "tc": ["@", "I"]
    }
  ]
}

Example Trade Correction Response:

JSON

{
  "c": "SIP:EEM",
  "p": "S",
  "t": "trade",
  "bt": "1T",
  "s": [
    {
      "t": 1680791106.542,
      "us": 1680791106542456,
      "i": 52983525034326,
      "oi": 52983525033527,
      "c": 39.1809,
      "v": 440000,
      "x": "CHICAGO_STOCK_EXCHANGE",
      "e": "correction",
      "z": "B",
      "tc": [" ", "7"],
      "op": 39.1582,
      "os": 440000,
      "oc": [" ", "7"]
    }
  ]
}

Example Trade Cancellation Response:

JSON

{
  "c": "SIP:AAPL",
  "p": "S",
  "t": "trade",
  "bt": "1T",
  "s": [
    {
      "t": 1614009104.208,
      "us": 1614009104208123,
      "i": 96921,
      "c": 126.55,
      "v": 1,
      "x": "FINRA_ADF",
      "e": "cancel",
      "cm": "cancel",
      "z": "C"
    }
  ]
}