Is IB's NBBO Size Totaled Across Exchanges/ECNs?

C

ChadZ1

An example:
Say the national best bid price for a security is $5 and Exchange/ECN 1 has a best bid of 100 shares @ $5 and Exchange/ECN 2 has a best bid of 200 shares @ $5 and all other Exchanges/ECNs have best bids below $5. Would IB/TWS report the bid size as 100 or 200 or would it total the two and report it as 300?

I'd always thought the answer was 300 but would like to be sure and don't want to pay for L2 data just to check this. Is there a standard on which way to do this that most data providers follow? I ask bc I was surprised to learn IQ Feed does not seem to total by default here.
 
The answer is 300 - total shares available at price. Most data providers don’t calculate anything themselves. They simply display/propagate data published by SIPs. That makes it consistent across different brokers.

L2 data is more expensive, so if you are charged for it, the broker receives L2 feeds from every exchange and combines them into consolidated display. There could be a lot of variability there between brokers/providers, but it changes so fast that you are unlikely to notice by eye.
 
You must log in or register to reply here.
Back
Top