[Incomplete L2 Data]

Thank Jerry, I actually missed those settings. But what about the ARCA book? It's a separate service or does MT include this with the NYSE book option?

[Incomplete L2 Data]

Level 2 data in the MT L2 Window appears to be incomplete. When running MT and using IB as source for L2 data, it almost exclusively displays NSDQ prices and only displays one MM per price even if there is more than one at the same price. In fact, it may even outright ignore better bids and offers from other MMs or markets.

 

 

Say SPY has bids as displayed by TWS:

 

033 | 204.03 | ARCA

036 | 204.03 | BATS

017 | 204.03 | BYX

072 | 204.03 | DRCTEDGE

017 | 204.03 | EDGEA

017 | 204.03 | NSDQ

036 | 204.03 | NSDQ

111 | 204.02 | ARCA

095 | 204.02 | BATS

024 | 204.02 | NSDQ

096 | 204.02 | NSDQ

454 | 204.01 | ARCA

125 | 204.01 | BATS

036 | 204.01 | NSDQ

096 | 204.01 | NSDQ

 

and offers

 

008 | 204.04 | ARCA

134 | 204.05 | ARCA

025 | 204.05 | BATS

004 | 204.05 | BYX

027 | 204.05 | DRCTEDGE

004 | 204.05 | EDGEA

004 | 204.05 | NSDQ

074 | 204.05 | NSDQ

507 | 204.06 | ARCA

096 | 204.06 | BATS

001 | 204.06 | NSDQ

169 | 204.06 | NSDQ

 

then MT displays

 

040 | 204.03 | NSDQ

096 | 204.02 | NSDQ

122 | 204.01 | NSDQ

 

and

 

078 | 204.05 | NSDQ

074 | 204.05 | NSDQ

169 | 204.06 | NSDQ

 

 

Note that MT ignored the 204.04 offer on ARCA completely and that some of the sizes for NDSQ also don't match with what TWS displays. From time to time I could also see UBS and Timber Hill quotes but for the most part MT was exclusively displaying NSDQ. As an additional note: I was also connected to IQFeed but I don't have L2 there and specifically selected IB as a data source because of this.

 

 

 

MT Version: 1.0.5947.932

[Request for Beta]

Hi Jerry,

 

I would very much like to try out the MT beta. Thank you!