I don’t know either, but since you can request the real time level 2 data via reqMktDepth, if you were to request it and subsequently store it, would that give you what you need?
On Wed, Jan 15, 2025 at 8:41 AM, Neal Young via groups.io <
youngneal=gmail.com_at_groups_io_k228j4f9pxfcc8_496s0895@...> wrote:
?
What do you gain from this approach?
?
Mainly, as far as I can tell (per
), for some data historical data is not available. ?E.g. my algo uses
, and I don't know how to request historical level2 data.
?
