T4 Chart API
Our chart API provides data in aggregated or non-aggregated (raw trade) formats.
Note: All times are in CST.
Aggregated Chart Data
Overview
The GetBarChart API retrieves bar chart data for a specified trading instrument over a given date range. This API supports various chart types and bar intervals, tailored for detailed data analysis in financial contexts.
API Endpoint
GET https://api-sim.t4login.com/chart/barchart
Headers
For proper access and response handling, the GetBarChart API requires certain HTTP headers to be set in the request.
| Header | Value | Description |
|---|---|---|
| Authorization | Bearer <token> | Required. A valid bearer token to authenticate the request. |
| Accept | application/octet-stream, application/t4 | Optional. Specifies the content type that the client can handle. Use this header to request a compact binary format response. If omitted, the default response format is JSON. |
Examples:
- To authorize the request, include the bearer token:
Authorization: Bearer YOUR_ACCESS_TOKEN
- To receive the response in a compact binary format, set the `Accept` header accordingly:
Accept: application/octet-stream
or <code>Accept: application/t4</code>
Setting the `Accept` header is optional, and if it is not included, the API will return the response in a JSON format.
Parameters
| Parameter | Description |
|---|---|
| exchangeId | Required. Identifier for the exchange. |
| contractId | Required. Identifier for the contract. |
| chartType | Required. Type of chart to compute. Currently, only Bar type is supported. |
| barInterval | Required. Interval at which bars are aggregated. Possible values: • Tick: Bars aggregated based on trade count. • TickRange: Bars aggregated based on price range. • Volume: Bars aggregated based on number of contracts traded. • Second: Bars aggregated into multiples of seconds. • Minute: Bars aggregated into multiples of minutes. • Hour: Bars aggregated into multiples of hours. • Day: Bars aggregated into multiples of days. • Week: Bars aggregated into multiples of weeks. |
| barPeriod | Required. Period for the bars. |
| tradeDateStart | Required. Start date for the trade data. |
| tradeDateEnd | Required. End date for the trade data. |
| marketID | Market ID (optional). Can be omitted when using ContinuationType. |
| continuationType | Method of continuation for the chart. Only Volume is currently supported. |
| resetInterval | Interval at which bar computations reset (not applicable when ContinuationType.Volume is used). Defaults to TradingDay. Other possible values: • None: No reset interval. • TradingWeek: Reset on the trading week boundary. • ExpiryChange: Reset on an expiry change. |
| contractMonths | Contract months to include (not applicable when ContinuationType.Volume is used). |
| rolloverThreshold | Rollover threshold (not applicable when ContinuationType.Volume is used). |
| forwardMonths | Forward months (not applicable when ContinuationType.Volume is used). |
Response
The response from the GetBarChart API is a JSON object containing detailed information about the bar chart data. Below is the structure of the response along with a description of each element:
Bars
| Element | Description |
|---|---|
| tradeDate | Date of the trade. |
| time | Time when the bar data starts. |
| closeTime | Time when the bar data ends. |
| marketID | Identifier for the market. |
| openPrice | Opening price for this bar. |
| highPrice | Highest price in this bar. |
| lowPrice | Lowest price in this bar. |
| closePrice | Closing price for this bar. |
| volume | Total volume of trades in this bar. |
| volumeAtBid | Volume of trades at the bid price. |
| volumeAtOffer | Volume of trades at the offer price. |
| trades | Total number of trades in this bar. |
| tradesAtBid | Number of trades at the bid price. |
| tradesAtOffer | Number of trades at the offer price. |
MarketDefinitions
| Element | Description |
|---|---|
| marketID | Identifier for the market. |
| minPriceIncrement | Minimum increment of the market's price. |
| priceCode | Code related to the pricing of the market. |
| tickValue | Value of each tick in the market's pricing. |
| vpt | Additional market-specific information (variable). |
ModeChanges
| Element | Description |
|---|---|
| marketID | Identifier for the market. |
| tradeDate | Date of the trade. |
| time | Time when the mode change occurred. |
| marketMode | The mode of the market at the given time. |
OpenInterests
| Element | Description |
|---|---|
| marketID | Identifier for the market. |
| tradeDate | Date of the trade. |
| time | Time of the recorded open interest. |
| openInterest | The amount of open interest. |
Settlements
| Element | Description |
|---|---|
| marketID | Identifier for the market. |
| tradeDate | Date of the trade. |
| time | Time when the settlement information was recorded. |
| settlementPrice | Price at which the trade was settled. |
| isHeld | Indicates if the settlement was held (boolean). |
Example JSON Response
{
"tradeDateStart": "2024-01-08T00:00:00",
"tradeDateEnd": "2024-01-08T00:00:00",
"activeMarket": "XCME_Eq ES (H24)",
"bars": [
{
"tradeDate": "2024-01-08T00:00:00",
"time": "2024-01-08T00:00:00",
"closeTime": "2024-01-08T15:59:59.5853624",
"marketID": "XCME_Eq ES (H24)",
"openPrice": "473575",
"highPrice": "480325",
"lowPrice": "471525",
"closePrice": "479800",
"volume": 1339989,
"volumeAtBid": 665050,
"volumeAtOffer": 674939,
"trades": 320624,
"tradesAtBid": 152333,
"tradesAtOffer": 168291
}
],
"marketDefinitions": [
{
"marketID": "XCME_Eq ES (H24)",
"minPriceIncrement": "25",
"priceCode": "",
"tickValue": 12.5,
"vpt": ""
}
],
"modeChanges": [
{
"marketID": "XCME_Eq ES (H24)",
"tradeDate": "2024-01-08T00:00:00",
"time": "2024-01-07T08:04:27.7736882",
"marketMode": 5
},
// ... additional mode changes ...
],
"openInterests": [
{
"marketID": "XCME_Eq ES (H24)",
"tradeDate": "2024-01-08T00:00:00",
"time": "2024-01-07T12:43:16.8256856",
"openInterest": 2211632
},
// ... additional open interests ...
],
"settlements": [
{
"marketID": "XCME_Eq ES (H24)",
"tradeDate": "2024-01-08T00:00:00",
"time": "2024-01-05T16:38:39.9345143",
"settlementPrice": "473475"
},
{
"marketID": "XCME_Eq ES (H24)",
"tradeDate": "2024-01-08T00:00:00",
"time": "2024-01-08T15:01:01.4810068",
"isHeld": true
}
// ... additional settlements ...
]
}
Non-Aggregated Chart Data (Trade History)
Overview
The GetTradeHistory API retrieves historical trade data for a specified trading instrument within a given date and time range. This API allows for querying trade data based on the trade date or specific start and end timestamps.
API Endpoint
GET https://api-sim.t4login.com/chart/tradehistory
Headers
| Header | Value | Description |
|---|---|---|
| Authorization | Bearer <token> | Required. A valid bearer token to authenticate the request. |
| Accept | application/octet-stream, application/t4 | Optional. Specifies the content type that the client can handle. Use this header to request a compact binary format response. If omitted, the default response format is JSON. |
Parameters
| Parameter | Description |
|---|---|
| exchangeId | Required. Identifier for the exchange. |
| contractId | Required. Identifier for the contract. |
| marketID | Market ID (optional). |
| tradeDateStart | The start date for the trade history based on trade dates (optional). |
| tradeDateEnd | The end date for the trade history based on trade dates (optional). |
| start | The calendar start date and time for the request in CST (optional). |
| end | The calendar end date and time for the request in CST (optional). |
| since | Filters data to only include trades after the specified date and time (optional). |
Note: Pass either tradeDateStart and tradeDateEnd OR start and end. Including both will result in an error. Use since to further filter data to only include trades after the specified date and time.
Response
| Element | Description |
|---|---|
| exchangeID | Identifier for the exchange. |
| contractID | Identifier for the contract. |
| marketID | Identifier for the market. |
| requestStatusMessage | Any status messages or errors related to the request. |
| tradeDateStart | The starting date of the trade data. |
| tradeDateEnd | The ending date of the trade data. |
| trades | An array of trade objects, each detailing individual trades. |
| marketDefinitions | An array of market definition objects, detailing market-specific information. |
| modeChanges | An array of mode change objects, each showing changes in the market mode. |
| openInterests | An array containing information about open interests. |
| settlements | An array detailing settlement information, including prices. |
| vwaPs | An array detailing volume-weighted average prices (VWAP). |
Trades
| Element | Description |
|---|---|
| marketID | Identifier for the market. |
| tradeDate | The date of the trade as per trade date convention. |
| time | The specific time when the trade occurred. |
| tradePrice | The price at which the trade was executed. |
| aggressorSide | Indicates the side of the aggressor of the trade. 1 for buyer, -1 for seller. |
VWAP(s)
| Element | Description |
|---|---|
| marketID | Identifier for the market. |
| tradeDate | The date of the trade as per trade date convention. |
| time | The specific time when the VWAP is calculated. |
| vwapPrice | The volume-weighted average price for the trades up to the specified time. |
Example JSON Response
{
"exchangeID": "CME_E",
"contractID": "YM",
"marketID": "XCME_E YM (H24)",
"requestStatusMessage": "",
"tradeDateStart": "2024-01-08T00:00:00",
"tradeDateEnd": "2024-01-08T00:00:00",
"trades": [
{
"marketID": "XCME_E YM (H24)",
"tradeDate": "2024-01-08T00:00:00",
"time": "2024-01-07T17:00:00",
"tradePrice": "37674",
"aggressorSide": 1
},
...
],
"marketDefinitions": [],
"modeChanges": [
...
],
"openInterests": [
...
],
"settlements": [
...
],
"vwaPs": [
...
]
}
The response is structured as a JSON object with various elements containing detailed trade data and related information for the specified contract and exchange within the requested time frame.