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Direct MessagesDate/Time: Fri, 10 May 2024 02:54:38 +0000
Accessing Level 2 / Market Depth Data for Stocks - IB
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| [2020-08-15 21:24:37] |
| User347741 - Posts: 5 |
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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 - 794 views |
| [2020-08-17 10:26:59] |
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Sierra Chart for at least the last five months or so, does set this to true: SocketAppendData("1"); // SmartDepth So this has been supported all of this time. If it is not working as expected the only thing we can conclude is perhaps the client version number provided, is not being set high enough. We definitely do not see how there could be any type of incorrect Intraday volume. This should not be relevant but make sure you are not using Sierra Chart Historical Data: Interactive Brokers Trading Service: Using Sierra Chart Historical Data And also refer to this section: Chart Data and Chart Data Files: Simulate Trades to Match Daily Volume You also need to update to the latest prerelease: Software Download: Fast Update We noticed that the daily volume number was not being multiplied by the volume multiplier provided by TWS Security definition data for the symbol. This has been resolved in the latest prerelease. 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: 2020-08-17 10:27:54
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| [2020-08-17 14:24:40] |
| User347741 - Posts: 5 |
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I think the variable name is isSmartDepth and once it is set to true you can use SMART as the exchange and will not need to the specify the specific exchange the symbol trades on for accessing level 2/market depth data for stocks using IB data feed. I had attached the video of the test in my original post with AAPL as an example. For the volume issue I cannot test further as my trial period has finished. Thank you for all you support! |
| [2020-08-17 19:53:24] |
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The variable name does not matter. It is the field position within the message which is relevant.
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: 2020-08-17 19:53:39
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