I'm thinking to go on with IB, but i'm a bit confused with their documentation. This may be combination of lack of java skills and non-perfect english. But please, bear with me. At first, one can request simultaneously 100 lines of market data (with reqMktData)? How about level 2 data? Does single reqMktDepth count as single "line" regardless of number of rows requested? Second, API has message limit of 50 per second. So, does IB's servers limit datastream to that? Or do I have to update data (from IB's servers) with updateMktDepthL2 (in case of level 2 data) and make sure that I don't cross 50pcs/sec mark. Again, does that function count as single message regardless of levels requested? My trading system will require absolutely huge amounts of realtime data, so I'm likely to hit those barriers quite fast.
If your trading is highly dependent on quality real-time data... Then why would you consider a ** free service ** throw-in like the IB market data. Since it's a freebie, you are not entitled to anything at all... Like reliability, support, speed, or even consistent availability. And they will try to force artificial constraints down your throat... Like you took a vacation and no longer qualify for free data till next month or whatever. Professional traders get professional feeds like Thompson/ILX... Which has had virtually 100% up time for the 6 years I've subscribed... Then have ** freebie stuff ** like IB data as a convenience or backup. All IB systems seem to go down for short intervals (seconds or minutes) throughout the day... every day. rm+
"All IB systems seem to go down for short intervals (seconds or minutes) throughout the day... every day." Could you please elaborate this statement? Are you talking about EST midnight or other time?
Actually... I think the TWS platform is ** relatively ** stable and reliable. As reliable as any internet platform I've ever used. What I probably meant to say... Is that the entire trading "environment" and infrastructure... Your network, the Web, ISPs, IB systems, connections to ECNs/exchanges , etc... Is not perfectly stable... And it's normal for a trader to experience "brownouts" lasting a few seconds... Or access to a certain ECN/exchange going down for a while. This happens throughout the day... And it's almost never clear where exactly the problem is. IB is to blame some part of the time... But it has no real impact on trading. So let me restate my post: Unlike some people here... I think that the IB TWS platform and API is mature and stable... And I highly recommend it. As for quotes, IMO... There is no way that free quotes or $20/month quotes... Are going to be equivalent to a $300/month professional service... (I have both)... Even though sales people will tell you otherwise. I would never run my business on free or near free quotes. rm+
As a follow-up... Here is a specific example of 2 ** one time problems ** at IB. I trade through IB Canada... All lo-volume listed NYSE stocks... So 100% orders Smart and 95% fills on NYSE. One morning about 3 months ago... NONE of my 100 or so orders went to the NYSE. No orders were being routed to the NYSE. When I called Montreal at 9:40... 10 long minutes into the trading day... They were not even aware of this problem. It was fixed and by 9:50 all my orders were sitting in the NYSE Limit Book. Sh*t happens... even serious stuff like this. Or at one point in 2005... IB, by error, started leaving off all preferred stock from the Shortable List... And no one noticed until I pointed this out... And this oversight was fixed. Again... sh*t happens and it's 1% of the time. If a problem is real... IB responds quickly. And a successful trader just carries on and perseveres. rm+
I appreciate time you spent for the clarification and agree with almost all of your comments. If you have a direct line to a professional quote service, it will be generally better then any service through the Internet. We are a brokerage company, not a tick data warehouse. Nevertheless, we do care about quality of any service, even if it is free or cheap.
Red: Can you clarify which Thomson product you use? Their website is big and it's tough to find what a particular product is/costs. Is there an API available? Ticker limit? ECN books, pre-market, after-hours quotes. $300/month is relatively attractive, as I'm currently paying more than that for myTrack + API, and not happy with data quality there.
Thank You RedManPlus for input, it was most interesting. Going Thompson would be good idea, but I don't think I have resources to do that just yet. I presume they use FIX protocol? Also I didn't spot european markets from their website. And to ids following question; I spotted alarming API message code from user guide, namely "309 - Max number (3) of market depth requests has been reached". Is it that one can monitor market depth only from 3 stocks? If so, is it possible to circumvent such limitation by calling reqMktDepth to 3 stocks and then cancelMktDepth those, and then do another block of 3 stocks and so forth?
Sorry, I do not know IB API specifics. The best you can do is to put this question on IB Discussion Board in TWS API group. It is very active and well-working community.
Yes...very sadly ONLY 3 MarketDepth Tickers can be requested...a limitation from-history (in 2002 when MD was offered for the first time it was probably a resource eater..but I doubt it is still the case...remember that you now can open many more BookTrader windows all with MD. it would be good when IB enlarges this limit for API-programs..