I
asked IB about this, and they tell me they have no plans to incorporate Level 2
access through the API. Perhaps some solution capturing messages to this window
but more dificult and risky because this can change at any moment without
notice.
?
Michel.
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Hi,
Does anyone
know if it possible to retrieve the data from the TWS
market depth window
into excel. For example, is it possible to get
the cumulative bid/ask
quantity down to the fifth level ?
Thanks
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