Axibase Time Series Database

Insert Snapshots

The endpoint inserts point-in-time order book snapshots in CSV format.

An order book snapshot describes the book state for the specified instrument at a particular point of time during the trading day. The snapshot can include a large set of current and intraday statistics and is primarily used to capture the book state at the start and the end of trading sessions as well as during the auction stages.

Request

Method Path
POST /api/v1/trade-session-summary/import

Request Parameters

Name Default Value Description
add_new_instruments false Insert records for instruments that are not present in the database

The payload parameters can be set as follows:

  • Both file and parameters as multipart/form-data elements, or
  • Parameters in query string, file content in body

Content

The file can be attached as multipart/form-data element or as text content in payload.

The content must start with a header containing datetime, symbol, class, exchange, session, stage columns and at least one statistic.

session if one of Morning, Day, Evening. If not specified, session and stage are set to Day and N respectively.

datetime,exchange,class,symbol,session,stage,auctvolume,auctprice,imbalance
2021-01-13T16:00:01.859-05:00,IEX,IEXG,TSLA,Day,E,34500,843.67,-8200
2021-01-13T16:00:01.859-05:00,IEX,IEXG,AAPL,Day,E,50100,128.91,15400

Example

curl

curl "https://atsd_hostname:8443/api/v1/trade-session-summary/import" \
  -F "data=@ohlcv-2021-03-21.csv" \
  -F "add_new_instruments=true" \
  -k --header "Authorization: Bearer ****"

Validating Results

GET /api/v1/trade-session-summary/export?class=IEXG&symbol=TSLA,AAPL&stage=E&startDate=2021-01-13T00%3A00%3A00Z&endDate=2021-01-14T00%3A00%3A00Z&fields=datetime,class,symbol,session,stage,auctvolume,auctprice,imbalance

datetime,class,symbol,session,stage,auctvolume,auctprice,imbalance
2021-01-13T21:00:01.859Z,IEXG,TSLA,Day,E,34500,843.67,-8200
2021-01-13T21:00:01.859Z,IEXG,AAPL,Day,E,50100,128.91,15400

SELECT datetime, class, symbol, type, stage,
    accruedint,
    action,
    admittedquote,
    assured,
    auctnumtrades,
    auctprice,
    auctvalue,
    auctvolume,
    bid,
    biddepth,
    biddeptht,
    biddeptht_0,
    change,
    changetime,
    chngclose,
    close,
    close_adj,
    closeprice,
    closeyield,
    crossrate,
    currentvalue,
    custom_num_01,
    custom_num_02,
    custom_num_03,
    custom_num_04,
    custom_num_05,
    custom_num_06,
    custom_num_07,
    custom_num_08,
    custom_num_09,
    custom_num_10,
    darkpool,
    datetime,  
    duration,
    high,
    highbid,
    highlimitpx,
    highval,
    icapital,
    imbalance,
    initialmarginonbuy,
    initialmarginonsell,
    initialmarginsyntetic,
    iopen,
    ivolume,
    last,
    lastbid,
    lastoffer,
    lastvalue,
    lcloseprice,
    lcurrentprice,
    low,
    lowlimitpx,
    lowoffer,
    lowval,
    marketprice,
    marketprice2,
    marketpricetoday,
    marketvolb,
    marketvols,
    min_curr_last,
    min_curr_last_ti,
    national_bid,
    national_biddepth,
    national_offer,
    national_offerdepth,
    nfaprice,
    numbids,
    numbids_0,
    numcontracts,
    numoffers,
    numoffers_0,
    numtrades,
    offer,
    offerdepth,
    offerdeptht,
    offerdeptht_0,
    open,
    openinterest,
    openperiodprice,
    plannedtime,
    prevadmittedquot,
    prevdate,
    prevlegalclosepr,
    prevprice,
    prevsettlprice,
    prevwaprice,
    priceminusprevwa,
    qty,
    repoterm,
    root_bid,
    root_last,
    root_offer,
    rptseq,
    rptseq_st,
    settledate,
    settledate1,
    settledate2,
    settleprice,
    settlpriceopen,
    snapshot_datetime,
    snapshot_start_datetime,
    starttime,
    theorprice,
    theorpricelimit,
    time,
    tradingsession,
    underlying_bid,
    underlying_last,
    underlying_offer,
    valtoday,
    value,
    volatility,
    voltoday,
    vwap,
    waprice,
    yield,
    yieldatprevwapr,
    yieldatwaprice
  FROM atsd_session_summary
WHERE class = 'IEXG' AND symbol IN ('TSLA', 'AAPL')
  AND type = 'Day' AND stage = 'E'
  AND datetime between '2021-01-13T00:00:00-05:00' AND '2021-01-14T00:00:00-05:00' EXCL
ORDER BY datetime

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