Recent content by ArthurC

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    Market Data Subscriptions to Cover Level II of US Stocks

    Thank you all for the replies. Hi hhiusa, yes, I am using IB; you mean I should have the following items to see L2 data (for Market Depth Trader (Level II)), is that right: 1. NASDAQ (Network C/UTP) 2. NYSE (Network A/CTA) 3. NYSE Open Book 4. NASDAQ total view-open view Thank you.
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    Market Data Subscriptions to Cover Level II of US Stocks

    Dear All, I am trying to find out which data packages I need to subscribe in order to cover all Level II of US stock. I was told to subscribe: NASDAQ total view-open view Is that enough? Are NASDAQ BX TotalView(NP,L2) NYSE ArcaBook (NP, L2) also necessary? Thank you all!
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    Minimum wait time between 2 reqMktData to IB

    Hi All, According to vicirek above, I can request market data with maximum rate of every 20ms; according to my experiment, I get the response is from 0.8 sec to 5 sec; without getting the response I cannot do the next request, unless I use multiple internet connections to IB and send out...
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    About algos in a pair trading

    Thank you man, this is informative enough :sneaky:
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    Re-create IB Stock Volume Chart

    Thank you for the advice, to cover more audience, let me spell out the mnemonic code here: - set time0 as current_time. - keep doing query of stockA and record the volume info. - when the current_time reaches time0+durationA, average all the volume data during durationA, save this as volumeA -...
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    Re-create IB Stock Volume Chart

    Hi All, I am trying to re-create the stock volume chart in IB to no avail, could anyone help me out? I use IB-Matlab to talk to API of IB, and so far I know that if I keep doing query of a stock with QuotesNumber set to 1, and I plot the volume info that's extracted from the output of the...
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    About algos in a pair trading

    What do you mean by pair trading?
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    Minimum wait time between 2 reqMktData to IB

    Thank you spacewiz!
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    Minimum wait time between 2 reqMktData to IB

    The data was actually purchased from IB.
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    Minimum wait time between 2 reqMktData to IB

    Thank you all for your input. I have had experiences of keep receiving last price of '0' and I think it's due to too frequent of my market data request; my request frequency was about a few seconds, definitely lower than 4 seconds. I will try 15 seconds. Thank you all again!
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    Minimum wait time between 2 reqMktData to IB

    Please let me know what's the minimum time required between two consecutive reqMktData commands issued to IB with snapshot parameter set to True. Thank you.
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