![]() ![]() ![]() I've never heard of book or Level 2 for Amex, but would love to hear someone correct me.Īs to PinkSheets, IB does not do Level 2, but it is available at eSignal and others. It does sound like you need a true quote provider, esp if you want NYSE OpenBook, the additional cost is probably not significant. the NASDAQ Level2 fee is only $9 as charged by NASDAQ as I recall, $14 for TotalView. More.I believe $50 is the actual fee charged by NYSE so you will at best find it a tad cheaper. Correction is needed because without it we would end up having incorrect total volume (sometimes real trades may have same events so multiple REAL ticks may have same price/size, unfortunately there is no way to detect whenever it is real trade or duplicate generated by IB, so correction according to cumulative volume is the only way to go)." Now the plugin tries to workaround this weirdness by ignoring duplicate tickSize LAST_SIZE events (with the same size) and correcting missing ticks usign CUMULATIVE volume sent with tickSize VOLUME event. This is because IB feed was NOT designed as tick-by-tick and never intended to create time&sales series, but rather solely to update TWS display grid. Problem was that IB sometimes repeats many times the same tick and sometimes skips some ticks and cumulate them into one tickSize LAST_SIZE event. "+ Implemented workaround to IB weird way of sending tickSize events ![]() Backfills using IQFeed or eSignal are upto 100 times faster !" We strongly recommend using TRUE real time data providers such as IQFeed or eSignal. ![]() IB throttles backfills and you can not send more than 60 requests within 5 minutes (it equals to one month of 1-minute data for 12 symbols only).ĪmiBroker can not really show its full potential using IB/TWS because of IB limitations. Its backfill is very limited (1 symbol at a time) and VERY VERY slow. ".IB / TWS is not really up to professional standards when considering it as real time data source. ![]()
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