Jump to content
Medved Trader Forums

Incomplete L2 Data


mrmargin
 Share

Recommended Posts

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

Link to comment
Share on other sites

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

Link to comment
Share on other sites

Join the conversation

You can post now and register later. If you have an account, sign in now to post with your account.

Guest
Reply to this topic...

×   Pasted as rich text.   Paste as plain text instead

  Only 75 emoji are allowed.

×   Your link has been automatically embedded.   Display as a link instead

×   Your previous content has been restored.   Clear editor

×   You cannot paste images directly. Upload or insert images from URL.

 Share

×
×
  • Create New...