I haven't read much good about the IB data feed in general, so I'd like to know if the negatives extend to the IB Level 2 data. And which is the best source for Level 2 data on IB, the free one or the subscription ones?
Ever since I started using their Historical Market Depth Graph feature in Sierra Charts, I too was curious about the accuracy. I first learned about this feature through Bookmap. Anyway, long story short, I've viewed videos from Bookmap, and hence seen their charts, and then compared to the data I was getting from IB. Visually, I would say they lined up pretty good (the DOM levels shown on the chart graphically). The thick levels of liquidity were thick, and they roughly appeared and disappeared at the same time. If I was to compare the actual values with a different data feed, I have no idea what they would be, but given how these numbers move so quickly, I'm not even sure if it would matter to see actual numbers and if the real quote for any given level was 750 contracts or 760. For my purposes, I concluded that the level 2 was sufficient, but I'm not sure what your requirements are. About the data feed, there is an option that IB provides which allows for accurate 5 seconds bars to be drawn, which are from their historical server. This means in real time, you're seeing price that isn't very accurate, but every 5 seconds, you're getting the very accurate data redrawn. This to me is also sufficient, considering I'm only paying $5 I think I think for data, since the $10 fee gets subtracted when you spend at least $30 on commissions. Before this setting, I would see some bars would have spiked much lower or higher once I reloaded the data.