IB Market Depth Limitation

Discussion in 'Retail Brokers' started by hayman, Jul 27, 2009.

  1. hayman


    To all,

    I am an IB trading and market feed user, and have built a DDE-based Excel spreadsheet that uses their market feed API, and found out that there is a limitation of accessing market depth
    data for only 3 ticker symbols simultanteously.

    Is anyone aware of any IB plans of expanding this to more than 3 symbols any time soon, and if so, can you provide a timeframe for this that you've heard about ?

    Alternatively, does anyone have any strategies that you could recommend, for displaying more than 3 market depth books (size only) on the same spreadsheet concurrently ?

    Thank you in advance.
  2. I thought market depth was dead with all the icebergs, fake and high frequantcy.
  3. hayman


    Huh ??
  4. JackR


    I can't help with your Excel question but from a recent IB notice to customers:

    Deep Book data allowances have been changed to coincide with market data allocation, which is determined monthly based on commissions. Based on market data, the Deep Book data allows a minimum of three and maximum of 30 simultaneous deep books.
    (Release 894)

    The number of symbols that can be viewed simultaneously via the TWS deep book windows (including BookTrader, Market Depth and ISW) is now determined as follows: one unique symbol for every 100 allowed lines of market data, with a minimum of three and a maximum of 30. For example, a customer with the default allowance of 100 tickers will be able to simultaneously view three deep book windows. A customer who, based on commissions, equity or other criteria, is allowed 500 tickers will be able to simultaneously view five deep book windows. Note that this number may change month to month if the number of allowed tickers for your account changes.

  5. Maybe you can also use your paper trader acount.
  6. hayman


    Thanks, Jack. Looks like IB is rewarding their customers, who trade frequently.
  7. hayman


    An interesting tought, although that still won't give me the requisite # of symbols that I need market depth for (I'm assuming that using my "edemo" account would give me another 3).
  8. JackR


    The demo account is not real-time or even real data. The account is good to learn the features of the TWS for new or potential customers. It can also be used to test automated trading systems interface functions (or your Excel spreadsheet) using IB's API on Saturdays and Sundays when you cannot log into the real TWS's. The paper trading account is the same data as the real account but I do recall reading something about reallocation of some of the paper trading data servers to real accounts during lasts year's "panic".

  9. hayman


    Right you are, Jack. It's all coming back now. I am in the process of writing some VB script for my EXCEL spreadsheet, which will do the trick. I need to make it more generic, but for now, I'm hard-coding things for my spreadsheet. Essentially, I'm iterating through my list of symbols, requesting market depth for each, and moving on to the next, re-using same Id token. If you are interested in non-generic sample code, you can shoot me a private message.