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Jason,
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Yes. ?Also I think that what I described may be the easiest way to do that.
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One reason is that to store level 2 data efficiently you need some kind of diff-based approach (as level 2 levels are built and change incrementally over time). ?
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This is how level 2 data is transmitted from TWS, and ib_async is already built to maintain the level 2 levels over time from the incremental update from TWS.
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I should add that I was easily able to overload the Connection class in connection.py to store all messages sent and received from TWS. ? I will make a separate reply summarizing that code so far.
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-Neal
