Again,
I think that makes sense to use a datafeed provider if you want to get market
data. eSignal and PCQuote are specialised on providing realtime datafeed and
both have an API.
?
Marcus
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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.
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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