Native IEX Price

Aggregated Depth of Book from the IEX Exchange

Access complete historical Level 2 market depth directly from IEX. FinFeedAPI delivers multi-tier price levels, side-specific aggregate liquidity, event indicators, and nanosecond timestamps—unfiltered, unsampled, and frame-accurate.

By preserving every aggregated depth update published by IEX, this data provides the granular visibility required for full order book reconstruction, liquidity concentration analysis, market impact modeling, and order flow imbalance research.

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What Are Native IEX Level 2 Price Level Books?

Native IEX Level 2 Price Level Books capture the aggregated depth of market liquidity available at every price point on the Investors Exchange.

This dataset exposes the full depth of resting supply and demand across both sides of the order book. Each record details buy or sell interest, the aggregate share size resting at each distinct price tier, and event completeness flags, providing raw depth updates exactly as disseminated by the IEX matching engine.

With complete visibility into multi-tier liquidity, developers can construct depth-of-book heatmaps, evaluate resting liquidity thickness beyond the BBO, detect large order walls, and model price-level dynamics.

By tracking total available size per price tier, Native IEX Level 2 Price Level Book data provides the granular visibility needed to measure fill probability, estimate execution slippage for large orders, and analyze market microstructure.

Unlike Level 3 Order Book data, which tracks individual order lifecycle events (adds, modifies, cancels) by unique order IDs, Level 2 aggregates individual orders into total available size per price tier, providing a cleaner feed for market depth modeling.

What's Included?

Each Level 2 price level record describes an aggregated liquidity update at a specific price tier on the IEX market.

Field	What it means
symbol	Stock symbol identifier associated with the price level update.
timestamp	UTC ISO 8601 timestamp when the price level update occurred.
timestamp_nanos	Nanosecond-resolution integer timestamp for precise event sequencing.
price	Price level value where aggregate liquidity is resting.
size	Cumulative number of shares available at this specific price level.
is_side_buy	Indicates whether the price level represents buy interest (true) or sell interest (false).
is_event_processing_complete	Indicates whether all processing for the triggering event is complete (true) or in progress (false).

Together, these fields allow developers to construct multi-tier order book depth, calculate side-by-side volume imbalances, identify price resistance/support walls, and track depth migration over time.

Available REST Endpoints

FinFeedAPI provides REST endpoints for retrieving historical aggregated Level 2 price level book updates for individual stock symbols on the IEX exchange. For alternative transport protocols and AI-driven workflows, Native IEX Level 2 Price Level Book data is also accessible through JSON-RPC and the hosted FinFeedAPI MCP Server.

Get Level-2 Price Level Book

Returns historical Native IEX Level 2 price level depth updates for a specific stock symbol. The dataset contains tick-level price depth updates throughout a trading day. If no date parameter is supplied, the latest available trading day is returned.

Response includes

aggregate size and price level
buy/sell side classification
event processing completion indicator
nanosecond timestamp and ISO 8601 UTC timestamp

Requires an API key passed via the Authorization header (or X-APIKey). Accepts path parameter symbol (e.g., AAPL) and optional query parameter date formatted as YYYY-MM-DD (or ISO 8601 UTC string).

MCP & JSON-RPC Support

Native IEX Level 2 Price Level Book data is accessible through multiple protocol interfaces beyond standard REST.

MCP Server

The hosted FinFeedAPI Stock Historical MCP Server exposes Native IEX Level 2 Price Level Book data as a self-describing tool (stock_native_iex_level2_price_levels), allowing AI agents, LLMs, and MCP-compatible clients (e.g., Cursor, Claude Desktop) to retrieve market depth using the X-APIKey header.

Discovery and query workflow

1Discover supported exchanges with stock_exchanges_list.
2Retrieve symbols for the exchange with stock_symbols_list.
3Query Level 2 depth updates using stock_native_iex_level2_price_levels by providing symbol, date, and an optional limit.

If no Level 2 data exists for the selected symbol and trading date, the MCP server returns an explicit error message instead of a partial payload.

JSON-RPC

Developers using JSON-RPC can access Native IEX Level 2 Price Level Book data via the production proxy.

JSON-RPC acts as a thin transport wrapper over the REST API. The request sets method to v1/native/iex/level2-price-level-update/{symbol} and passes symbol and date within params. The proxy forwards the request to the underlying REST endpoint while retaining identical authentication, parameters, and response structures.

Dataset Characteristics

Historical Native IEX aggregated depth of book data
Available through REST API, JSON-RPC proxy, and hosted MCP Server
API key authentication required (Authorization header or apikey query parameter)
Single-symbol retrieval per request
Optional trading date parameter (defaults to latest available trading date)
ISO 8601 UTC timestamp formatting
Nanosecond timestamp precision (timestamp_nanos)
Price level liquidity metrics (price, size, is_side_buy)
State completion indicator (is_event_processing_complete)
Explicit error responses for invalid or empty symbol/date combinations

Why Developers Use Native IEX Level 2 Price Level Books Instead of Other Datasets

Both datasets record market activity, but they serve different operational purposes.

If you need...	Use...
Cumulative order volume resting at multiple price tiers	Native IEX Level 2 Price Level Book
Detection of large bid/ask liquidity walls beyond top-of-book	Native IEX Level 2 Price Level Book
Calculation of order flow imbalances across depth layers	Native IEX Level 2 Price Level Book
Top-of-book best bid and offer (BBO) only	Native IEX Level 1 Quotes
Individual order lifecycle tracking (adds, cancels, modifies by order ID)	Native IEX Level 3 Order Book
Tick-level trade execution details and trade break detection	Native IEX Trades
Exchange-wide operational markers and session boundaries	Native IEX System Events
Standardized historical candlestick charting	OHLCV Historical Data

Many production systems combine these datasets. Quantitative workflows often rely on Level 2 Price Level data to build depth heatmaps and estimate execution impact before routing orders into the market.

Common Use Cases

Build historical order book heatmaps and depth-of-market visualizations
Calculate Order Book Imbalance (OBI) metrics across multiple price tiers
Estimate market impact and expected slippage for block order execution
Detect institutional liquidity walls and hidden support/resistance levels
Backtest market-making algorithms and high-frequency trading strategies

Who Uses This Dataset?

Quantitative Trading & Execution Teams
High-Frequency Trading (HFT) Firms
Market Making & Liquidity Providers
Financial Analytics Platforms
Algorithmic Strategy & Risk Researchers

Native IEX Price

Explore Native IEX Level 2 Price Level Book Data

Native IEX Level 2 Price Level Book data supplies aggregated depth updates direct from the Investors Exchange, delivering the multi-tier liquidity details and nanosecond precision required for order book modeling, depth visualization, and execution optimization.

The dataset integrates naturally with the broader FinFeedAPI Stock ecosystem, including Metadata endpoints for venue lookup, Native IEX Trades, Level 1 Quotes, Level 3 Order Books, Admin Messages, System Events, OHLCV timeseries datasets, and the hosted Stock Historical MCP Server.