I am more curious about level2. The way they describe it, you should be getting all updates to maintain the book. So that could be used to build consolidated limit order book and give you near real time nbbo(or close to it) I'm not that concerned if they conflate trade info. I'm more sceptical about performance though. I like your idea about revese engineering their API!
FWIW, their c++ client is really efficient, they have designed the entire client in a way to reduce memory allocation. Its why the API is somewhat clunky to use. They basically invoke callbacks as they parse leaving it up the user to take the performance hit (if they want) to make more meaningful/usable abstractions.
I'm not fond of their api, honestly. Basically what they are doing is letting their socket drive a state machine, which is fine, but the way they do it is bizarre to me, and doubly so in C++.
.. and the first thing I did was re-write the makefile and start reformatting the code. I don't know who wrote their code but it is annoying, and a lot of it is unnecessarily complex as if the coder was trying to be cute, or add a signature touch or something. Why ++var when there's no point to it, do a var++ like everybody else. Why put the comma after an arg on the next line BEFORE the arg ? as in ", var", what's the freaking point of that ? You could tell it was annoying to at least one programmer who came after them too because the style changes where obvious additions were made.
Yeah, if anyone also feels like reformatting IB's C++ code, there's an age-old util called indent on Linux / cygwin which will do just about everything you want. It bugs me to no end when people don't put a space beween "if" and "(". "if" IS NOT A FUNCTION CALL!
Tabs bug me, mostly because I learned to write C on a VT100 terminal in vi, and nobody ever used tabs doing that. Two spaces for each level of indent was the standard. I try not to be annoyed that people write lines of code longer than 80 characters because virtual terminals can be resized now, but I still kind of make a face like ..