mrmargin Posted January 9, 2015 Report Share Posted January 9, 2015 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 Quote Link to comment Share on other sites More sharing options...
Jerry Medved Posted January 9, 2015 Report Share Posted January 9, 2015 Mr.Margin, MT does not ignore any Level II entries. It is showing exactly what is returned by TWS API. And thats where the issue is. Basically, there is no request that we can make via the IB's API that will return the same data that is visible in TWS. The settings in MT that control how IB data is requested for Level II are: "Subscribed to TotalView" "Subscribed to NYSE Open Book" You would have to have those checked in settings if you are subscribed to them for MT to use it, but you will still see differences Quote Link to comment Share on other sites More sharing options...
mrmargin Posted January 10, 2015 Author Report Share Posted January 10, 2015 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? Quote Link to comment Share on other sites More sharing options...
Jerry Medved Posted January 10, 2015 Report Share Posted January 10, 2015 MT can connect to ARCA as a separate source, so you would need to have a 2nd L II window open Quote Link to comment Share on other sites More sharing options...
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