I am using IBrokers R API to collect IB market depth data (reqMktDepth(...) for ESU15, ES expired in Sep 15) What is each column description? Especially column 3, 4 and 5. Please see the sample data below. It seems, 1. Data 2. Time 3. ? 4. ? 5. ? 6. price? 7. volume? Many thanks for your help Ref: https://cran.r-project.org/web/packages/IBrokers/IBrokers.pdf The CSV data 20150728 00:00:24.155280,0,0,1,2062.25,568 20150728 00:00:24.194745,1,0,1,2062.00,470 20150728 00:00:24.195280,2,0,1,2061.75,1106 20150728 00:00:24.195647,3,0,1,2061.50,832 20150728 00:00:24.195994,4,0,1,2061.25,1096 20150728 00:00:24.196352,5,0,1,2061.00,1026 20150728 00:00:24.196688,6,0,1,2060.75,753 20150728 00:00:24.197032,7,0,1,2060.50,759 20150728 00:00:24.197359,8,0,1,2060.25,896 20150728 00:00:24.197700,9,0,1,2060.00,829 20150728 00:00:24.198037,0,0,0,2062.50,64 20150728 00:00:24.198360,1,0,0,2062.75,357 20150728 00:00:24.198718,2,0,0,2063.00,392 20150728 00:00:24.199057,3,0,0,2063.25,737 20150728 00:00:24.199379,4,0,0,2063.50,648 20150728 00:00:24.199710,5,0,0,2063.75,646 20150728 00:00:24.200029,6,0,0,2064.00,828 20150728 00:00:24.200361,7,0,0,2064.25,885 20150728 00:00:24.200704,8,0,0,2064.50,767 20150728 00:00:24.201022,9,0,0,2064.75,793 20150728 00:00:24.568122,9,2,1,0,0 20150728 00:00:24.568746,0,0,1,2062.50,4 20150728 00:00:24.569226,1,1,1,2062.25,538 20150728 00:00:24.569729,2,1,1,2062.00,467 20150728 00:00:24.570155,3,1,1,2061.75,1071 20150728 00:00:24.570583,4,1,1,2061.50,833 20150728 00:00:24.571085,5,1,1,2061.25,1070 20150728 00:00:24.571536,6,1,1,2061.00,950 20150728 00:00:24.572009,9,1,1,2060.25,895 20150728 00:00:24.572385,0,2,0,0,0 20150728 00:00:24.572754,9,0,0,2065.00,810 20150728 00:00:24.573178,0,1,0,2062.75,349 20150728 00:00:24.573579,1,1,0,2063.00,404
I contacted the API support, wait 5 minutes, got the answer. 1. Date 2. Time with micro second 3. Specifies the row Id of this market depth entry 4. Identifies how this order should be applied to the market depth. Valid values are: 0 = insert (insert this new order into the row identified by 'position')· 1 = update (update the existing order in the row identified by 'position')· 2 = delete (delete the existing order at the row identified by 'position') 5. Identifies the side of the book that this order belongs to. Valid values are: 0 = ask 1 = bid 6. The order price. 7. The order size.