If you use, or want to use, the IB TWS API for (stocks) market depth , please vote!

Discussion in 'Automated Trading' started by trader422, May 9, 2011.

  1. Please read this if you currently use the API for market depth, for stocks, or if you WOULD use it if it were improved...

    The problem:

    The TWS market depth screen is great because it allows you to get all available market depth including NASDAQ Level II depth, ARCA depth, NYSE OpenBook depth (for NYSE stocks) and depth for a bunch of others including BYX, BATS, EDGEA, NSX, TRACKECN and BEX ... plus Level I data for others like PSX, DRCTEDGE, CSFBALGO, ISE, LAVA, JEFFALGO, CBSX, CHX and BTRADE ... and TWS consolidates all this data into one pair of bid/ask ladders. However, in order to get all this data for just one stock via the API you need to make at least 9 separate market depth subscriptions (only possible if your commissions are at least $7200/month), plus somomehow gather all the Level I data for exchanges with no depth, and then write complicated code to consolidate all the data into ladders ... pretty much impossible, and definitely impractical.

    Some of you who have always just called exchange = "ISLAND" for NASDAQ Level II, or exchange = "NYSE" for NYSE OpenBook, may not be fully aware how much important data you are missing ... only a few years ago you could get by like this, but these days there is almost always important data in ARCA depth that you don't get with NASDAQ Level II or NYSE OpenBook, and NYSE stocks have tons of important data in NASDAQ Level II ... that's not to mention the "Others" which frequently have very important data not delivered through ARCA or NASDAQ Level II...

    The bottom line, especially for less liquid stocks, is that these days you need the complete, consolidated market depth picture or you are trading half-blind.

    The solution:

    Rack up enough votes for "consolidated market depth via the API" and they will probably get it done ... read the feature poll ID #7074 for details, and please vote for it if you agree.

    Note: to vote in Interactive Brokers Features Poll you need a "Voting Subscription" ... if you don't have one it only takes a minute to sign up by logging into your Account Management and selecting "Voting Subscription" under "User Management".

    URL for Interactive Brokers Features Poll (#7074 is under the "API" section):


    Direct URL for Poll ID #7074:


  2. You obviously trade slightly different than me, but I'm curious why you'd care about market depth everywhere. Does it matter more for the thinner stocks?
  3. IMHO, it's absolutely critical for illiquid and thinly trade issues, which is mostly what I trade ... but even if I only traded the most liquid large-caps I think I would very highly value the full available depth...
  4. codeine


    Hello, please excuse my "newbie" question.

    I'm new to automated trading, and I found IB's webpage where they list monthly fees for market data:


    Of course, this fee schedule applies to market data for TWS. But I'm wondering where you find the information to calculate the $7200/month for API market data? Is there a separate fee schedule (for all the individual exchanges) for market data to the API?

    I'm probably just not looking in the right place.
  5. Market data fees aren't the issue - those are fair, reasonable and ordinary. The tragicomedy is IB's rules on how much market data you can get AFTER you pay for it and it's yours ... the last several times I checked it works like this: everyone gets 100 market data lines and 3 market depth windows ... that's the minimum ... then for every $800/month in commissions that puts you in excess of minimum levels you get 100 more market data lines and 1 more market depth window ... so for example, to get a fourth market data window you need $3200/month in commissions ... to get 9 market depth windows you need $7200/month in commissions.

    So far as I know, IB will not relax or change these rules even if you are God ... does anyone know any different?
  6. Bob111


    if you did spend enough time to observe the data flow from various venues, you should realize that within all 50+ ECN's or whatever only very few actually active and have orders close to NBBO.
    if you have to track few tickers- i don't see any problems..just subscribe each ticker to active ecn's(usually 5 to 10 of them) and here you have your market depth. very simple task,i've done that.you can consolidate or not. more-it will allow you to analyze order flow more precisely,because each ecn's is separated. and you can find how is buying or selling.

    not sure what is your problem with market depth via API anyway:
  7. Bob111


    if you subscribe to 10 tickers and top 10 venues(by transaction volume) per ticker-it would be 100 data lines. IB's limit. no need to generate 7K in commish
  8. Bob111


    on such active ticker as IWM only 10 market centers are posting quotes. rest of them just dead. like i said-on low volume stocks this number will be between 3-5.
  9. Bob111


    what really interesting and i hope IB can explain this that as you can see on last screen shoot sizes on IWM "smart" quotes did not match at all,if you sum all sizes posted on various venues @ NBBO prices.
    how so,IB? :p
    there is 3200 on smart bid @84.47 and BATS alone posting 6300 at same price. oh uh...IB..every time i point on something..anything in TWS, there is some problems..def! i'm big complainer? is something wrong with me ? or TWS?
  10. Thanks for posting Bob111 ... but it seems clear from what you are saying that you don't even know what market depth is ... everything you are saying seems to be referencing Level I data.
    #10     May 12, 2011