Any API's able to access Market Depth?

Discussion in 'Automated Trading' started by Janhaus, Jun 27, 2005.

  1. Janhaus


    I've looked a variety of different brokers and platforms these last couple of weeks but I am thus far unable to find any that offer access to market depth information (for futures, i.e. e-minis) through their API (almost all of them provide this information through the user interface), and do not wish to pay monthly 1k+ platform fees to use X-Trader Pro, which does have this functionality.

    Can the more experienced programmers/traders in this forum provide any suggestions?
  2. ptunic


    You can get this data from IB (Interactive Broker)'s API. They don't charge anything extra so the cost is $10/month (or less) + exchange fees. Keep in mind it isn't tick by tick data; some data is aggregated and delayed by up to several seconds.

  3. Janhaus


    Sorry about that,

    I did some more searching in the forums and found a very similar topic discussed earlier. Here it is in case anybody else wants to know:

    So, I'm currently thinking of either going the MB Trading route or the TradeMagic route, and I have questions about both.

    1. For MB Trading, I have not found many recent posts that discuss their ease of use/speed/reliability, etc. - any current users (of their API, hopefully) care to comment?

    2. For TradeMagic, what exactly does it mean on their website " TradeMagic 3 is not free if you make money on developing a trading application using TradeMagic"? Do they require %royalty payments or a flat sum or...?
  4. MB Trading API has market depth support.

    So is IB.
  5. The original post talked about emini depths -

    Based on our test, MB's depth data is on time comparing to other data feeds and broker feeds.

    Due to the nature of depth data, you cannot have a single threaded app processing the depth data while doing a lot of other things in the same thread at the same time. You need something more complex if that's your concern about ease of use.
  6. If you use TM for personal use it is free, if you use it to develop commercial applications it is not.