Support Board

Date/Time: Thu, 16 May 2024 01:06:24 +0000

Post From: IB Market Depth (Level 2)

[2019-12-19 09:49:27] Link To Thread - Link To Post [Go To First Post]
User4761 - Posts: 9
Hi, I just wanted to check if you guys had looked into adding Smart-route with aggregated exchange data since IB API added this in version 974? https://interactivebrokers.github.io/tws-api/market_depth.html Beginning in API v974 and TWS v974 it is possible to Smart-route a IBApi.EClient.reqMarketDepth request to receive aggregated data from all available exchanges, similar to the TWS BookTrader display. I've been trying to setup L2 data on SC for the last few days and in its current state it seems not worth using for daytrading US stocks, considering that the depth data is split across many exchanges. The issues I'm having are as follows, please let me know if I'm missing something: -L2 data is only available from IB if you turn off the SC data feed -depth data is only available from 1 exchange at a time, using ???-stk-island etc -when using the specific exchange symbol (???-stk-island etc) the historical intraday data seems to only show volume specific to that exchange, while the live data is correct and aggregated. thanks