IEX is an alternative exchange started in response to the HFT controversy and portrayed in Michael Lewis' controversial Flash Boys. It aims to slow down the speed of trading to create a more level playing field and has been growing rapidly since launch in 2016 while still small with a market share of around 2.5% in June 2018.

In addition to historical EOD price and volume data, IEX provides real-time depth of book quotations that offer an aggregated size of orders by price and side. This service also includes last trade price and size information:

book = web.get_iex_book('AAPL')
orders = pd.concat([pd.DataFrame(book[side]).assign(side=side) for side in ['bids', 'asks']])
orders.sort_values('timestamp').head()

  price  size timestamp      side
4 140.00  100  1528983003604 bids
3 175.30  100  1528983900163 bids
3 205.80  100  1528983900163 asks
1 187.00  200  1528996876005 bids
2 186.29  100  1528997296755 bids

See additional examples in the datareader.ipynb notebook.