Hi all, If I want to track 500+ stocks simultaneously and in real time, with 1 second tick data... Is it feasible at all using TWS API programming? Has anybody tried some sort of "high frequency" programming on InteractiveBroker's account? Do I need to use IB's CTCI interface? How much fee does that incur? Thanks!
IB has a full description of their API and CTCI/FIX on their website. Message limit per second: 50 for API and 150 for FIX. $500 setup fee for FIX and $100 minimum monthly commissions.
Not sure about CTCI interface but I know IB API currently supports live bar subscription but that's only available in 5sec time frames. You may be able to subscribe for 1sec tick data but you need to process/parse the incoming stream at your end. BTW, forget about using IB historical data back fill in high frequency. It's limited and unreliable.
You should be able to subscribe to real time tick data for all 500 (given the sufficient system and stream processing resources at your end). But last time I check (<1yr ago), you could only receive front bid/ask sizes and levels, but I don't remember seeing book depth at the tick level. I'd suggest to call them for their level 2 capabilities/limitations. You should ask them to let you take their C++/Java api for a test drive first!