Interactive Broker market depth column descriptions

Discussion in 'Data Sets and Feeds' started by tradingcomputer, Aug 11, 2015.

  1. 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
     
  2. 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.
     
    Last edited by a moderator: Aug 12, 2015