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Interactive Brokers lvl2 / Dom and Directa feed.


merlin8121
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how to get Level II that in any way matches TWS has been a mystery for years. And now that they screwed around with the subscriptions, it is messed up again. Can you send me the log via the HELP => menu.. I will get them to re-enable stuff on our account so we can check as well meanwhile.

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  • 2 weeks later...

As far as IB, I fixed stuff in the last build for getting Level II for OTC/PINK sheet stocks.

As for others, if you do not have a TOTALVIEW or NYSE OpenBook subscription, TWS shows some book from other ECNs, BUT there is no way to get that data from their API. I confirmed it with them

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47 minutes ago, Jerry Medved said:

As far as IB, I fixed stuff in the last build for getting Level II for OTC/PINK sheet stocks.

As for others, if you do not have a TOTALVIEW or NYSE OpenBook subscription, TWS shows some book from other ECNs, BUT there is no way to get that data from their API. I confirmed it with them

I have all subscriptions , but  as you can see in the image,  something is wrong. In the IB lvl2  you see how many shares/levels .  And in MT lvl2 just some .

lvl 2 IB MT.png

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I think you are viewing NASDAQ TotalView, while MT is showing OpenBook. if you enter AMD:NYSE into MT Level II, does it show OK? Also, add MMID column to MT window. If still no match, please email me and I can look further at that specific stuff. One other thing is that TWS may be doing multiple subscriptions, like to NYSE, ISLAND and Others. MT cannot do that because of IB's restrictions on # of L II subscriptions

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46 minutes ago, Jerry Medved said:

I think you are viewing NASDAQ TotalView, while MT is showing OpenBook. if you enter AMD:NYSE into MT Level II, does it show OK? Also, add MMID column to MT window. If still no match, please email me and I can look further at that specific stuff. One other thing is that TWS may be doing multiple subscriptions, like to NYSE, ISLAND and Others. MT cannot do that because of IB's restrictions on # of L II subscriptions

Done, but no mmid in MT to compare.. 

IB MT AMD NYSE.png

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  • 3 weeks later...

Jerry, have you tried poking around on the TWS API Users Group for how to get Level II to work properly with the API? There are a lot of active developers there well versed in many of the API issues. They insist there is a way to get it working and others have done it. Here is the link:

https://groups.io/g/twsapi

Also, check out this guy on Youtube... He created his own trading platform in C# using IB's API and in the video you can see in his Level II window all of the MM names showing properly with streaming data. Here is the link:

 

This isn't some sort of advertisement by me. He isn't selling a trading platform and seems to be just sharing his coding and information on his sight.

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We got it from the horses mouth. There are some things that you simply cannot do via the API that you can get in TWS. Plus, TWS subscribes to multiple exchanges and merges the result. We can't do that since ib limits the API to 3 level II subscriptions at a time by default. 

If writing custom platform with just 1 level II window and paying to get higher max # of subscriptions, you can get closer to what TWS shows, but we cannot assume that our clients will do that. Plus, by the time you add in the extra cost, would be easier and cheaper to just bet a proper datafeed 

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6 minutes ago, Jerry Medved said:

We got it from the horses mouth. There are some things that you simply cannot do via the API that you can get in TWS. Plus, TWS subscribes to multiple exchanges and merges the result. We can't do that since ib limits the API to 3 level II subscriptions at a time by default.

If writing custom platform with just 1 level II window and paying to get higher max # of subscriptions, you can get closer to what TWS shows, but we cannot assume that our clients will do that. Plus, by the time you add in the extra cost, would be easier and cheaper to just bet a proper datafeed 

By saying that IB limits the API to 3 Level II subscriptions by default, do you mean that they would only permit API access to, for example, NYSE OpenBook, NYSE ArcaBook and NASDAQ TotalView, but wouldn't then allow access to Cboe BZX Depth (BATS) at the same time without paying something extra to IB for the API access? Would that imply that the guy who did it above was only subscribed to 3 of of those?

I have just over $60 worth of subscriptions with the 4 major ones above for data through IB and I use maybe, maximum of 2 Level II windows. I do know they require some Level I subscriptions that are rolled into that amount. I'm not sure specifically what they are requiring and maybe this guy on Youtube is paying something extravagant to achieve what he has there but it just seems there must be a different approach at work or something to be able to get what would appear to be exactly what I would see in TWS from API. And he seems to be getting access from NASDAQ, Arca, and BATS.

I have stuck with IB data as I'm concerned with not being able to use their SMART order routing, concerns with data consistency and the higher prices with a couple of providers that I checked out in the past. It's a bummer as IB is one of the few larger brokerages that MT works with.

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yes, that is basically the way it works. If you open the L II on TWS, the one that has the exchanges across the top, you can see exactly how things work. By default TWS selects all the exchanges on top.  If you unselect all, then select them one at a time, that is equivalent to a single subscription request that we can make in MT.  For example, if you ONLY select NASDAQ TotalView, that is the same as SPY:ISLAND. Or if you only select ArcaBook, that is the same as SPY:ARCA.  Note though that the OTHERS button returns a bunch of data. However, we cannot get that data via API. Nobody can. 

image.png

In TWS you can have multiple Level II windows open and select multiple exchanges on each. Via API, you can do 3 concurrent requests at a time by default and that's it. If you pay to have more symbols that you can stream (above 100) for Level I, the Level II max # of subscriptions goes up as well, but I think it goes up to max 6 on top tier.

Had there been no restriction, we would be glad to merge the data from multiple requests, but are not going to mess with it under current circumstances. 

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Oh I see, so because they link the number of simultaneous quotes to the number of subscriptions available through the API I would have to pay extra to get access to say, 4 of those. And while there may be many people who use 4 subscriptions there aren't going to be many who are paying for more than 100 symbols. So there isn't a very large user base who would be able to take advantage of it. Then you'd have to pick and choose which three to implement and even then you'd only satisfy those who would be happy with that. And, admittedly, I would need the 4th.

That's a really wonky restriction they have. Thanks for clarifying. I'll have reconsider finding a way to use another data provider.

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