I would have used the same approach and cannot see a way to do it differently. How long does it take to grab a snapshot for 30 instruments?
When you are done with a snapshot it will take a while for your request to be finalized. TWS sees it right away, but I am sure they won't add the feed back to the "available" pool until TWS receives a cancellation confirmation from the IBKR back-end. So I am not surprised that the next might get denied until TWS has received a cancellation confirmation from IBKR. Unfortunately, has no callback that indicates to you when it is safe to make the next request. This could potentially be an ongoing area of instability.
The hard limit for the number of simultaneous Level 2 streams must have been increased, since now says you can have up to 60. But you can only get 10 of them by purchasing booster packs. To get to 60 you must have enough equity or commission to "earn" them.
According to the fine print in
- "There is no cap on the quantity of market data lines allocated per customer."
- You get one market line per $8 in monthly commissions
- Or for each $10,000 in equity
If my math is correct, $48,000 in monthly commission or an account value of $60Mio gets you to the 6,000 market line allocations you'd need for 60 simultaneous market depth feeds. Or half of that for 30 feeds :-)
闯ü谤驳别苍
