i'm saying 2 things- #1 it is possible to subscribe to market depth via API. see API guide. #2-if you pick top level(level1 if you will) from each market center you going to have your market depth. not exactly,because not all price levels will be shown,but the ones that close to NBBO. or you interested to see prices 10-50% below nbbo? imo-it's make no sense.. btw-IB's market depth shows only prices and sizes..not the time,when order was placed..kind of 1/2 of the picture(if there is anything). MB trading L2 was pretty good. at least-use to be.
I think I would have to second the idea that you may not fully understand the difference between Level 1 and Level 2. I'm not sure who the guy in this video is, but he explains it pretty succinctly: http://www.ehow.com/video_4790909_difference-level-ii-stock-trades.html Level 2 is pretty much an essential for day traders, at least in my minimal experience.
Bob111 knows what he's talking about, and his suggestion is a damn good idea. Obviously it isn't a 100% solution to the problem, but probably a pretty good solution for illiquid stocks.
Again, thanks for the posts Bob111, codeine and GTG ... I don't want to beat this thread to death, but just in case anyone is confused by what Bob111 is saying in his last post: #1: Of course it is possible to get depth via the API ... I've had it coded in my trading apps since at least 2004 ... but IB has designed the API so we have to make separate depth requests for (1) NASDAQ Level II, (2) ArcaBook, (3) NYSE OpenBook and (4,5,6,7,8,9...) all the other ECNs that TWS shows depth for. So you need 8 or 9+ depth requests to make sure you're getting all depth for one stock. To open 9 simultaneous market depth datastreams, you need $7200/month in commissions. Up until 2006 or so you could trade well just using NASDAQ Level II for NASDAQ stocks and NYSE Openbook for NYSE stocks ... but now you need at least ARCA depth plus NASDAQ LEvel II for any symbol, and for any NYSE symbol you need OpenBook, ARCA and NASDAQ Level II ... and truthfully, to trade illiquid stocks right you need everything. #2: As codeine points out, this is not "not exactly" but rather "not at all". Agreed that "10%-50% away" "makes no sense", but "1 cent - 5% away" makes a great deal of sense, and makes me and many other traders a great deal of money. Regarding "price and size, but not time": This is not "1/2 of the picture", but rather "99.9% of the picture" ... personally, if I had any depth window showing timestamps I would immediately remove the timestamp columns to get useless clutter off my screen. Regarding "MB trading L2 was pretty good. at least-use to be": I've been trading the same system full-time for the last 8 years ... it's so simple that a monkey could do it (that's me), and you could document the whole thing on the back of a postage stamp ... the raw ingredients are 85% market depth, 10% simple daily charts and 5% coffee ... starting with a $300,000 stake, in 8 years I've pulled $6.8 million out of the market, with winning days about 14 out of 15 and average p&l on winning days about 3x average loss on losing days (yes I know you big boys are not impressed, but we're talking about one kinda dumb retail trader on a laptop with a slow internet connection...). Anyway my point is, "who says trading off market depth is dead?" Response to GTG: My stats are 8 years, 250 days/year, 1 hour pre-open plus 6.5 market hours, 85% of the time analyzing market depth and trading off it. That's 12,750 hours processing market depth data and trading off it profitably. I'm probably as qualified as anyone to gently point out that you are totally wrong.
if market depth is 85% of your system and you pulling out millions of $ from the market, then it maybe worth it to have : #1 live data(not snapshots,like IB's) #2 separate,really good data provider who will have consolidated market depth..there is should be something outhere..i would start from IQ feed,DTN etc just an opinion..
Fantastic opinion, couldn't agree more (although snapshot data is sufficient for me)! Now, where is this data provider? I have looked and looked and looked and looked and ... the single possibility left on my list is MAYBE Genesis, but at the moment I'm not keen on putting $millions in a Genesis trading account. I am willing to pay lots of $$$, anyone reading please advise!
what about those two above? IQ and DTN? they don't have it either? NXCore? Genesis should be good,but require some serious programming skills. http://www.nanex.net/API_Explain_coreHeader.html
Definitely not IQFeed or DTN ... in my notes I have NxCore on the list and then crossed out as inadequate, but it doesn't say why so I will check again. This has been my top priority for a long time ... I will pay a $500 bounty to anyone on elitetrader who steers me to a non-IB market depth API solution that I actually use! By the way, I am a programmer in a former life so complex programming requirements are not a problem.
Last time I checked NxCore provides Level I data (meaning best bid and asks from each market participant). I have requested multiple times that they give true Level II data (i.e., multiple bid/asks from each market participant) but from what I know it is not currently offered. The rep that I talked to claimed they were working on it but the estimated date that it would come to fruition has come and gone by a year.
DTN doesn't provide market depth for equities, though they say they're planning to, but what about Esignal? http://www.esignal.com/esignal/matrix/default.aspx and http://www.esignal.com/exchanges/default.aspx?name=North_South_AmericanRegions