Quote from OldTrader:
Upgrading probably won't help you out. Somewhere in the last few upgrades is where this thing started in my opinion.
Hi OldTrader (good you are posting again).
I can add some more info if you like.
IB's MarketDepth-feed is from the very start (summer 2003, or was it 2002?) wrongly designed and implemented (I know this, as at that time I have deciphered the protocol to the bit and bytes). It is built to transport extremely fast, only the changes in the Depth-book, but thereby lacks (and that is the design problem) a "verify-completion-correction-recover" protocol.
Until IB redesigns the whole MarketDepth transport protocol (inclusive error-recovery) we will see the problems stated in this Thread (and many other ET-threads and Forums).
Problems will show like the screenshot in this thread: the levels on both sides out-of-sync. Or it will show by wrongly sorted price-rows in one or both levels. Or there will be Gaps and standing still. This will be in the TWS-market-depth window, as well in the BookTrader, as well in all API-programs, simply because they all depend on the very same transport-protocol.
This all will happen once markets become volatile and wild (news breaks or Opening). And can happen in one or a few tickers you are looking at (sometimes only ES or NQ on Globex, the other time in YM, or some Stock). Further: it's per Account so if you see it in one TWS-account, your second TWS-account is still working perfectly (I have two TWS's running myself).
Anyway: This is a design-problem in the core and thereby (very) costly to solve. I wonder if IB will solve this structorally, ever (as they are aware of the problem for at least 6 years, already).
Hope it Helps
Hoi (designer of ButtonTrader).