Again, thanks for the posts Bob111, codeine and GTG ... I don't want to beat this thread to death, but just in case anyone is confused by what Bob111 is saying in his last post:
#1: Of course it is possible to get depth via the API ... I've had it coded in my trading apps since at least 2004 ... but IB has designed the API so we have to make separate depth requests for (1) NASDAQ Level II, (2) ArcaBook, (3) NYSE OpenBook and (4,5,6,7,8,9...) all the other ECNs that TWS shows depth for. So you need 8 or 9+ depth requests to make sure you're getting all depth for one stock. To open 9 simultaneous market depth datastreams, you need $7200/month in commissions.
Up until 2006 or so you could trade well just using NASDAQ Level II for NASDAQ stocks and NYSE Openbook for NYSE stocks ... but now you need at least ARCA depth plus NASDAQ LEvel II for any symbol, and for any NYSE symbol you need OpenBook, ARCA and NASDAQ Level II ... and truthfully, to trade illiquid stocks right you need everything.
#2: As codeine points out, this is not "not exactly" but rather "not at all". Agreed that "10%-50% away" "makes no sense", but "1 cent - 5% away" makes a great deal of sense, and makes me and many other traders a great deal of money.
Regarding "price and size, but not time": This is not "1/2 of the picture", but rather "99.9% of the picture" ... personally, if I had any depth window showing timestamps I would immediately remove the timestamp columns to get useless clutter off my screen.
Regarding "MB trading L2 was pretty good. at least-use to be": I've been trading the same system full-time for the last 8 years ... it's so simple that a monkey could do it (that's me), and you could document the whole thing on the back of a postage stamp ... the raw ingredients are 85% market depth, 10% simple daily charts and 5% coffee ... starting with a $300,000 stake, in 8 years I've pulled $6.8 million out of the market, with winning days about 14 out of 15 and average p&l on winning days about 3x average loss on losing days (yes I know you big boys are not impressed, but we're talking about one kinda dumb retail trader on a laptop with a slow internet connection...). Anyway my point is, "who says trading off market depth is dead?"
Response to GTG: My stats are 8 years, 250 days/year, 1 hour pre-open plus 6.5 market hours, 85% of the time analyzing market depth and trading off it. That's 12,750 hours processing market depth data and trading off it profitably. I'm probably as qualified as anyone to gently point out that you are totally wrong.
