I'm trying to find some way of extracting level 2 data from UK shares and feed it into my own program. Is there a way of doing this? I can get a DDE link output for "level 1" data, but not Level 2. Would a decent programmer be able to extract the data from my level 2 software package somehow despite no user facility to do this, or perhaps capture the data from screen somehow? Any help or suggestions much appreciated.
I use IB's TWS API to log level 2 data stream into a Mysql database for some stock index futures. Code is written in Java. It's not especially difficult to do. I see no reason why similiar code wouldn't work for stocks.
Captain Haddock, whats your trading / quote platform ? Sounds like it is something like ProRealtime or a brokers offering which has a level I DDE feed but not much more. As dcraig says, it is definitely possible to get at level II data, as he is doing it now and I have done it before. It all depends on the data feed you have. If you are talking about somehow hacking into the platform you already have, then that is a bit more tricky HTH Mac
D craig thanks for your reply. I've fired up my old IB account again. Will try the API for UK Level 2. theknifemac I'm using sharescope's L2 at the moment. They supply Level 1 data via DDE but not much else. I would be happy to switch suppliers to one that allowed me to extract L2 data. I'm going to try out IB for now to see if that gives me what I'm after, if not it's on the hunt for a hacker
could you comment on how you structure your price database - i have recently looked at setting one up and couldn't decide if it's better to keep prices in seprate tables for each ticker or in one big table, for example. in the end, i have gone with binary files for now, due to speed of access, thx.
IB don't seem to provide UK Level 2 data for equities. Does anyone else with experience in this sort of thing have any suggestions as to how I might capture this data?
I would also keep it that way. You'll always be faster accessing from and writing to a binary file than a relational database. Unless you need SQL queries for some reason I'd just stick with binary files and optionally index them. As far as the Lvl2 question goes... do you only get lvl1 quotes or also a ticker stream that gives you last trade, etc.? If not your only option is to fina a data vendor that offers UK equities data and a decent API... look at eSignal, iQFeed, Reuters, etc. It would be possible though to hook into your existing platform and possibly extract the time & sales via a couple hwnd hooks but that's not the most elegant and stable solution