Interactive Brokers Level 2 missing data?

[zesty_mordant]

Hi,

I am trying to setup MedVed to show Level 2, DOM and Time and Sales. I'm noticing some issues with some of the data coming in. For example, there's missing orders on the Time and Sales in MedVed. if I compare the two between what I see in IB TWS and what I see in MedVed, some of it is missing. Am I doing something wrong? Did I configure this incorrectly? Am I missing subscription data from IB? 

Thanks! 

[Jerry Medved]

1) if you are not going to show bid/ask, you may want to set the filtering to TRADES so you won't get the blank rows

2) in MT the Raw Data/T&S is just showing you every Level I quote that comes in. We do not have a separate data request to the server for T&S.  In the case of IB, their Level I data is aggregated. It does not show every tick. in TWS, when they show T&S, they do a separate data requests for just that, and that does have every tick. We cannot do that. If you were to use a tick by tick datafeed such as IQFeed, QuoteMedia and others, then you would see the stuff match. 

3) from the looks of it, the odd lots are the ones that IB is not sending.

[zesty_mordant]

9 minutes ago, Jerry Medved said:

1) if you are not going to show bid/ask, you may want to set the filtering to TRADES so you won't get the blank rows

2) in MT the Raw Data/T&S is just showing you every Level I quote that comes in. We do not have a separate data request to the server for T&S.  In the case of IB, their Level I data is aggregated. It does not show every tick. in TWS, when they show T&S, they do a separate data requests for just that, and that does have every tick. We cannot do that. If you were to use a tick by tick datafeed such as IQFeed, QuoteMedia and others, then you would see the stuff match. 

3) from the looks of it, the odd lots are the ones that IB is not sending.

1) thank you, that fixed the blank rows.

2) so if I want a more detailed view of T&S, I would have to use the one in TWS? 

3) Is this also why my level 2 only shows NYSE? it looks like my level 2 on medved is slower and missing orders vs the one on TWS. Is it an API limitation? 

Thanks for all your help so far, I appreciate it! 

[Jerry Medved]

2) that or use a tick by tick datafeed

3) IB Level II API is horrible. There is no way to get the same data that you see in TWS (covered in a bunch of other posts here)

Unfortunately, IB data API is a mess.