You got it. My question remains.
Do all brokers block seeing book depths?
- Thread starter salamanderforex
- Start date
Not really. See http://www.nanex.net
From their website: "Every real-time quote and trade update includes additional valuable data elements immediately accessible by your software, saving significant CPU and memory resources, and development time. NxCore brings these elements to your software blazingly fast — 5,000,000 quote/trade updates per second on a 2.9 GHz processor, using less than 400 megabytes of RAM"
We all got pretty fat pipes these days. IB has always provided quotes like they are coming straight out of Peterffy's wallet at a cost.
That’s exactly my point - brokers don’t want to be in the business of delivering market data. It’s too much of a hassle with not enough reward.
I don’t know what that means. IB data is pulsed and they limit number of subscriptions. Quality of their data is also suspect, but I didn’t look very deep into that. I pay monthly fees for data but use like 0.0001% of what is available. Still, IB is great in this regard and many props to them!
It’s not about your pipes, it’s about how much resources brokers will need to allocate to allow thousands of clients subscribe to thousands of full depth books.
Yes, of course that will be the case if every client did that. But we all know they don't. IB can just provide the data and inquire politely why the client isn't trading enough after subscribing to a lot of depths, and then possibly cut him off. They are simply being aholes because they know their breadth of offering and global footprint makes them only option for some people. And they are exploiting it.
IB isn't a broker that people want to be at. They are there because they have to. And a bunch of people that get a rise over their auto liquidation. Till they get a taste themselves
Yep, I don't buy the rules and bandwidth intensive arguments. This is 2020.
I am looking for Book Order depth rather than streaming quotes. Book Trader Ask Size and Bid Size.
1- Is there a better broker you can suggest for this or a third party data provider?
2- How is IBKR data suspect? Shouldn't all data be equally same whoever provides? I mean they are read from an exchange no matter who reads it.
3- Do you know providers who allow hosting / colocating in their data center for up close access and high frequency trades?
Thanks,
Unfortunately I can't help you here. I trade futures only. And perhaps because the universe of futures products is a tiny fraction of stocks, I have never faced this issue with any futures broker I have used. Except IB of course. But I am not consuming the data with API, nor do I have more than 3 DOM windows open. Perhaps a max of 5 to 6 at a time. Never an issue with any broker but IB