Native IEX Order Book

Individual Order-Level Events from the IEX Exchange

Access historical Level 3 order book events directly from IEX. FinFeedAPI provides order additions, modifications, deletions, executions, and book-clearing events with order identifiers, prices, sizes, trade conditions, and nanosecond timestamps.

By recording individual order events instead of aggregating liquidity by price level, this dataset provides the detail required for order book reconstruction, order lifecycle analysis, cancellation research, execution modeling, and market microstructure studies.

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What Is the Native IEX Level 3 Order Book?

The Native IEX Level 3 Order Book captures individual order events from the Investors Exchange.

Each record describes a specific change to the order book. Events can add a new order, modify an existing order, delete an order, record an execution, or clear the maintained book for a symbol.

Order identifiers and order reference identifiers allow developers to connect related events and follow how individual orders change throughout a trading session.

With this event-level view, developers can examine order placement, amendments, cancellations, executions, and book resets instead of working only with aggregated liquidity.

Unlike Level 2 Price Level Book data, which combines all resting orders at the same price into a single size value, Level 3 preserves events associated with individual orders.

What's Included?

Each Level 3 record contains one of five order book event types.

Event type	What it means
add_order	Adds a new buy or sell order with its order ID, price, and size.
modify_order	Updates the price or size of an existing order and indicates whether priority was reset.
delete_order	Removes an existing order using its order reference ID.
executed_order	Records an execution against an existing order, including price, size, trade ID, and trade condition indicators.
clear_book	Indicates that the maintained order book for the symbol should be cleared.

Depending on the event type, records can include the stock symbol, UTC timestamp, nanosecond timestamp, order ID, referenced order ID, price, size, side, trade ID, and execution condition flags.

Together, these events allow developers to follow individual order activity and maintain a historical representation of changes to the IEX order book.

Available REST Endpoints

FinFeedAPI provides a REST endpoint for retrieving historical Native IEX Level 3 Order Book events for individual stock symbols. The same dataset is also accessible through JSON-RPC and the hosted FinFeedAPI MCP Server.

Get Level-3 Order Book

Returns historical Native IEX Level 3 order book events for a specific stock symbol and trading date.

The response can contain

order additions
order modifications
order deletions
order executions
clear-book events
order and trade identifiers
UTC and nanosecond timestamps

Requires an API key passed through the Authorization header. Accepts the path parameter symbol and the query parameter date.

MCP & JSON-RPC Support

Native IEX Level 3 Order Book data is accessible through multiple protocol interfaces beyond standard REST.

MCP Server

The hosted FinFeedAPI Stock Historical MCP Server exposes Level 3 data through the self-describing stock_native_iex_level3_order_book tool.

AI agents, LLM applications, and MCP-compatible clients can query the dataset by providing:

symbol
date
optional limit

The MCP interface uses the X-APIKey header.

If no underlying Native IEX data exists for the selected symbol and date, the MCP server returns an explicit error instead of an incomplete partial result.

JSON-RPC

Developers using JSON-RPC can access Native IEX Level 3 Order Book data through the production proxy.

JSON-RPC acts as a thin transport wrapper over the REST API. The request uses v1/native/iex/level3-order-book/{symbol} as the method and passes the symbol and date through params.

The proxy forwards the request to the underlying REST endpoint while retaining the same parameters and response structure.

Dataset Characteristics

Historical Native IEX Level 3 order book data
Available through REST, JSON-RPC, and MCP
Individual order-level events
Add, modify, delete, execute, and clear-book event types
Order IDs and referenced order IDs
Price and size values where applicable
Trade IDs and execution condition indicators
ISO 8601 UTC timestamps
Nanosecond timestamp values
Single-symbol retrieval
Symbol- and date-based queries
Event-specific response structures

Why Developers Use Native IEX Level 3 Order Books Instead of Other Datasets

Each dataset provides a different level of market detail.

If you need...	Use...
Individual order additions, modifications, deletions, and executions	Native IEX Level 3 Order Book
Order lifecycle tracking using order IDs and reference IDs	Native IEX Level 3 Order Book
Aggregated liquidity at multiple bid and ask price levels	Native IEX Level 2 Price Level Book
Best bid and offer updates only	Native IEX Level 1 Quotes
Trade prices, sizes, trade IDs, and trade-break indicators	Native IEX Trades
Trading status, auction information, and official prices	Native IEX Admin Messages
Exchange-wide session and operational events	Native IEX System Events
Historical candlestick data	OHLCV Historical Data

Level 3 data is the appropriate dataset when individual order events matter. Level 2 is better suited to workflows that only require total liquidity at each price tier.

Common Use Cases

Reconstruct historical order book changes
Track individual order lifecycles
Analyze order additions, modifications, and cancellations
Study execution activity against resting orders
Research order priority resets
Measure cancellation and execution behavior
Backtest event-driven market microstructure models
Build historical order book analytics

Who Uses This Dataset?

Quantitative Trading Teams
Market Microstructure Researchers
High-Frequency Trading Firms
Market Makers and Liquidity Providers
Execution Analytics Teams
Financial Data Platforms
Academic Researchers
AI and Agent Developers

Native IEX Order Book

Explore Native IEX Level 3 Order Book Data

Native IEX Level 3 Order Book data provides individual order events from the Investors Exchange, including additions, modifications, deletions, executions, and clear-book messages.

The dataset integrates with the broader FinFeedAPI Stock ecosystem, including exchange and symbol metadata, Native IEX Trades, Level 1 Quotes, Level 2 Price Level Books, Admin Messages, System Events, OHLCV timeseries, JSON-RPC, and the hosted Stock Historical MCP Server.