Market data API
A market data API is the programmatic interface through which software receives prices from a provider: live streams of trades and book changes, and request-and-response access to history. Access to it is an entitlement of its own, separate from the provider's own trading screen, and it defines what a charting application can possibly display.
Senzoukria · Glossary · Updated September 2026
Two access patterns
- Streaming: the client subscribes once and receives every trade or book change as it happens, over a persistent connection such as a WebSocket or TCP session.
- Request and response: the client asks for a range, such as one day of ticks or a month of one-minute bars, and receives it in one or several replies.
What differs between APIs
| Property | Examples | Why it matters |
|---|---|---|
| Transport | WebSocket, TCP, UDP multicast, HTTP | Latency, firewall behaviour, recovery |
| Encoding | Protocol buffers, SBE, JSON, FIX tag-value | Decoding cost, schema changes |
| Content | Trades with aggressor side, depth levels, order-level data | What a footprint or heatmap can show |
| History | Ticks, bars, depth; how far back | Replay and backtest coverage |
| Entitlement | Per exchange, per schema, per login | What your key or login may receive |
Worked example: sizing a history request
One-minute bars for a CME equity index contract over a 23-hour trading day make 23 × 60 = 1,380 bars per session. A year of about 250 sessions is roughly 1,380 × 250 = 345,000 bars. The same year in individual trades is far larger, which is why providers limit request sizes and why applications cache history locally.
In Senzoukria
The application connects to several APIs, each with its own entitlement: Rithmic through R | Protocol, a WebSocket interface opened with the user's own login; Databento with an API key whose live licence is measured per dataset before a module can be enabled; Binance and Bybit public feeds with no key; and local bridges from NinjaTrader and Quantower on ports 7272 and 7273. Its connection help states the distinction that trips most users: platform access and API access are two separate entitlements.
Common mistakes
- Assuming a login that works in the provider's own platform also works through its API.
- Assuming live access includes history, or history includes depth.
- Choosing software before checking what the API actually delivers.
Related
In the same section
- Market by price
- Market impact
- Market by order
- Market maker
- Mark-to-market
- Microstructure
- Mark price
- Market order
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Frequently asked questions
- Why does my login work in the broker's platform but not in third-party software?
- Because the provider's own platform and its API are separate entitlements. The account may be enabled for one and not the other, which only the broker or provider can confirm.
- Does a market data API include historical depth?
- Rarely by default. Historical trades and historical depth are usually separate products, and depth that was never recorded cannot be rebuilt from trades.