Is it possible on sterling to see the depth of the book and how many shares are on each specific exchange? If so... how do you access that through the API? Thanks Private Sub OnSTIBookUpdateMsg(ByRef structSTIBookUpdate As SterlingLib.structSTIBookUpdate) Dim BBid As Boolean Dim bstrSymbol As String = "" Dim x As String x = stiBook.GetBookInfo(BBid, bstrSymbol) End Sub Do you just parse the "x"?
actually sorry I must've seen a different version of your post.... it used to not be possible to access level2 even when it was available in STP. the method you reference is very new, eg added in last few months. I'm looking at their docs now and it appears that might be level2.
Yes, if someone knows the snippet of code that allows us to grab the level 2 quotes with visual basic from the STP api, please post. : )
I'd be careful with pulling L2 quotes until you check with your net admin of your STI Quote Server. You are probably throttled to a set number of messages per second and pulling L2 may hinder your ability to place orders.
Interesting. Thanks for the heads up on this. I expect that there is always a bottle neck like this. Maybe some potential solutions could be either getting the level 2 from another source (any you would suggest?), or placing some kind of priority on the orders so they always get done first.
Well I just got direct confirmation that STP does not have level 2 available in the API from sterling. If someone has a solution to this (other then buying the data from another source), then please post here with solution.
Sterling is a single-threadded application that provides 100ms 'snapshot' data. It is NOT going to give you what you want for L2 data. Why don't you ask your network admin or your prop firm where they get their data from and try to piggyback off that? This is probably one of those situations where you gotta pay to play though. I use Bloomberg for data fwiw.