Registered: Jun 2006
05-09-11 02:48 PM
Please read this if you currently use the API for market depth, for stocks, or if you WOULD use it if it were improved...
The TWS market depth screen is great because it allows you to get all available market depth including NASDAQ Level II depth, ARCA depth, NYSE OpenBook depth (for NYSE stocks) and depth for a bunch of others including BYX, BATS, EDGEA, NSX, TRACKECN and BEX ... plus Level I data for others like PSX, DRCTEDGE, CSFBALGO, ISE, LAVA, JEFFALGO, CBSX, CHX and BTRADE ... and TWS consolidates all this data into one pair of bid/ask ladders. However, in order to get all this data for just one stock via the API you need to make at least 9 separate market depth subscriptions (only possible if your commissions are at least $7200/month), plus somomehow gather all the Level I data for exchanges with no depth, and then write complicated code to consolidate all the data into ladders ... pretty much impossible, and definitely impractical.
Some of you who have always just called exchange = "ISLAND" for NASDAQ Level II, or exchange = "NYSE" for NYSE OpenBook, may not be fully aware how much important data you are missing ... only a few years ago you could get by like this, but these days there is almost always important data in ARCA depth that you don't get with NASDAQ Level II or NYSE OpenBook, and NYSE stocks have tons of important data in NASDAQ Level II ... that's not to mention the "Others" which frequently have very important data not delivered through ARCA or NASDAQ Level II...
The bottom line, especially for less liquid stocks, is that these days you need the complete, consolidated market depth picture or you are trading half-blind.
Rack up enough votes for "consolidated market depth via the API" and they will probably get it done ... read the feature poll ID #7074 for details, and please vote for it if you agree.
Note: to vote in Interactive Brokers Features Poll you need a "Voting Subscription" ... if you don't have one it only takes a minute to sign up by logging into your Account Management and selecting "Voting Subscription" under "User Management".
URL for Interactive Brokers Features Poll (#7074 is under the "API" section):
Direct URL for Poll ID #7074: