How do I scan BidSize AskSize, Level2?

Discussion in 'Automated Trading' started by qll, Feb 9, 2007.

  1. qll



    Ticker,Date,Time,Last,Bid,Ask,Change,Tick,Volume,High,Low,BidSize,AskSize,LastVolume,AvgTrade,NumTrades,Open,52w Low,52w High
    Ticker,Date,Time,Last,Bid,Ask,Change,Tick,Volume,High,Low,BidSize,AskSize,LastVolume,AvgTrade,NumTrades,Open,52w Low,52w High

    But it does not return Level2 books.

    there are not even asksize or bidsize

    I mainly enter positions based on ask/bid size and if last trade is at ask or bid price.
  2. qll


    still loooking for solutions.
  3. TWS API provides access to the book, but you are limited to 100 symbols. provides the book for up to 1000 symbols. The reliability of OpenTick seems to be improving and it seems it might be ready for serious use in the not too distant future. Free + exchange fees - you can't beat the price.
  4. Based on the above, did you consider you really don't NEED level 2 to meet your strategy's requirement ?
    You may discover the level 1 data is adequate and that you won't have the problem of the volatile nature (faking, pulling) of bids/asks above or below the last print price.
    Strategy Runner does a simple total of the bids and asks for 5 levels from the last print and simply subtracts the two. I have no idea of the value of this "statistic". Myself, I would weight the calculation with heavier weights 1 to 2 levels from the last print.
  5. Actually IB is limited to 3 simultaneous level II subscriptions. I use IQ Feed for depth (almost unlimited), but more than 10 subs gets CPU intensive.

    I agree with weighting by level on the book, in addition to time, cancel or replace, and volatility.
  6. Quite so about the 3 level II streams. Sorry if I was misleading.

    When you say that 10 LII subscriptions with IQ feed becomes CPU intensive, do you mean 10 simultaneous price ladder displays or some other processing ?