Looking for recommendations for comprehensive Real-Time quotes for Level II data to store in a SQL Server database to do some data mining on. Also any insights into methods you've used to load the database from the data feed. Best Regards, Larry Chan
I manually ported Level II data in an Access DB from t he RealTick (or perhaps it was MyTrack?) feed some time ago. I am now in the process of trying to re-develop it with the IB TWS feed which has a cleaner interface. I think I am after the exact same thing you are. Happy to share my crappy code to get to something better.