I talked to IB and figured out what is going on. Here is an example of what was happening: For symbol ABC I would get see the following bids: eSignal platform: 100.50 TWS with IB's data: 100.50 TWS using eSignal: 100.25 What was happening is if you enter in a symbol in TWS and select SMART, SMART won't register for eSignal, so it will find the best bid for the primary exchange (say ARCA). If the best bid happens to be on another exchange (ISLAND for example), you're going to see a bid price that is somewhere below the actual best bid. It seems that eSignal has a way of aggregating the exchanges and so does IB's TWS, but there isn't a way to get the aggregation to flow through the two systems. Bottom line: There is data lost in the communication between the two systems. Looks like the best option is to write an API. Any suggestions? I'm probably looking for the lowest cost option. Thanks for all the prior comments.
As you are finding out, combining two primary streaming feeds into the same instance of an application is a huge headache and one that TWS is not prepared to handle. Before you tackle this problem by writing your own API I recommend you do everything you can to explore NOT having to combine the feeds. Can you have two instances of TWS running and have IB feed one and eSignal the other? (Perhaps you'll need another computer.) Or could you trade the eSignal symbols through eSignal's IB broker adapter? Or could you use other third party charting software where you can have two instances running at the same time and have one fed by IB and the other by eSignal? Using two different TWS API Client ID's I simultaneously trade on a single TWS instance via eSignal's broker adapter and via Dynaorder. However, unlike you I don't do anything with the TWS data and half the time I'm not even subscribed at IB to the exchange I'm trading on. Let us know what you decide on! Aaron Schindler Schindler Trading