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Direct MessagesDate/Time: Mon, 20 May 2024 15:24:56 +0000
Post From: Accessing Level 2 / Market Depth Data for Stocks - IB
| [2020-08-15 21:24:37] |
| User347741 - Posts: 5 |
|
Hello Sierra Chart support, Just want to let you know that it seems IB has updated their API to handle SMART Exchange for accessing level 2 data (https://www.interactivebrokers.com/en/index.php?f=24356). Following is from the link mentioned in this email: "Smart Depth: The API now provides aggregated depth of market (DOM) quotes from the level 1 and level 2 feeds to which a user has subscribed, instead of requiring the API client to make reqMktDepth requests to each exchange individually. This is requested by setting the new parameter isSmartDepth in reqMktDepth to True." I also tested their API with a Java client for the following scenarios. 1) I used the Exchange as SMART and checked the SMART Depth Checkbox and I got the data from various exchanges for which I have the data subscription (see attached). 2) I used the Exchange as Island and unchecked the SMART Depth Checkbox and I got the data from only NASDAQ (see attached). 3) I used the Exchange as SMART and unchecked the SMART Depth Checkbox and I didn't get any data. I am finishing my trial and would have moved from DAS Trader PRO to Sierra Chart if not for the Incorrect Volume issue(Incorrect Volume - Stocks). I am quite sure that this might not be an issue with the IB API as other application like NinjaTrader, MultiCharts and Motivewave display accurate volume with IB data feed. Anyway, I hope in the near future either this issue gets resolved or Sierra Chart data feed can provide level 2 data for US stocks. Thank you! |
 IB SMART Depth.mp4 - Attached On 2020-08-15 21:18:46 UTC - Size: 1.27 MB - 800 views |