It's of no benfit? It is if the price were off by 10 cents. Look, again, I explained why the sizes on the TWS don't sometimes add up to the smart route size. You can believe or not. I will find out why there is a discreoancy against the api smart quote.
if prices are off by 10 cents there is will be no IB. your company will be gone in blink. you are not alone on the market. i hope you know this. sizes did not "sometimes" off. they wrong ALL the time. i can spend few days and come up with report where your quotes will be against some other data providers. YOU NOT GOING LIKE IT. and your existing and potential customers not going to like it either
the fact that you do not understand importance of DOM and particularly of bid/ask sizes tells quite a bit about you... btw, many traders do not trade SPY only...
It's no big secret. If you request the SMART quote from your API, you will see exactly what the TWS is showing. I have done this myself when the TWS was not showing true aggregated sizes and the API was showing those same sizes. I don't know exactly what you are requesting via the API but my guess would be either market depth or the market data from each exchange and doing the aggregation yourself. We currently calculate one SMART quote based on our direct feeds to the various exchanges. If you are not subscribed to ARCA or TOTALVIEW, then we can't show you data aggregated from those sources and in this case, as long as you are paying for level1 data, we can give you the consolidated quote as disseminated by the NASDAQ and SIAC level 1 feeds. NASDAQ and SIAC do not disseminate the true aggregated size in the consolidated quote. What we are planning to have rolled out shortly is another smart quote calculated from the market participants in the NASDAQ and SIAC level1 feed and disseminate that instead of the consolidated quote as provided by SIAC and NASDAQ.
Thanks for the information, but I think we're talking past each other here. If you take the symbol I mentioned WMT, and a Level 2 feed during the day, and compare that to what TWS Smart is showing for SIZE, I think you'll see that none of the explanations are relevant. I posted screen shots. I mentioned that size will stick at 1 or 2 hundred shares for 30 seconds or more or until the PRICE changes, even while there are 5 or more routes at the bid with shares in the many thousands. Even now, after hours on WMT there are 400 shares bid on Island , TWS's Island shows the 400 shares , and TWS SMART shows 100. I do not subscribe to totalview or arca, but we're talking about the inside quote here and nothing else. If there's something in the explanations to account for this , its over my head.