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Direct MessagesDate/Time: Mon, 29 Apr 2024 07:46:55 +0000
IB Market Depth (Level 2)
View Count: 1026
| [2019-12-19 09:49:27] |
| User4761 - Posts: 9 |
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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 |
| [2019-12-19 15:14:23] |
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We will work on this today. However, we will need feedback as to whether the changes made are working properly or not.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2019-12-19 16:17:19] |
| User4761 - Posts: 9 |
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sure, happy to help test it
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| [2019-12-19 16:34:55] |
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We have released a new prerelease revision of 2029. Update update and test. But you will need a TWS version which provides a server version of 146 or higher in order to take advantage of the smart depth.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2019-12-19 16:35:22
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| [2019-12-19 18:25:20] |
| User4761 - Posts: 9 |
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Looks like we have correct L1 data now (first level bid/ask and volume), but no sign of full level 2 depth (Previously I would get L1 data when first loading the chart and it didn't update). Tried it on the following symbols: MU, BA, AMD ??-STK-SMART ??-STK-SMART/NASDAQ ??-STK-NYSE - still the same as previous I also updated the global symbol settings to supported market depth, with no change. 2029 64bit TWS 972.1v (1.8.0_152) Date Time Of Last Edit: 2019-12-19 18:29:54
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| [2019-12-20 22:42:01] |
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We do not see how we can provide further help with this. Our main concern is whether there is any problem accessing market depth data for futures now with us specifying the Smart Depth flag for market depth data.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
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