Native/API support for L2 data

February 28th, 2019, 02:05 AM

Background:
I am trying to compile a list of platforms which support access to level 2 data via their API. I am developing an indicator (or standalone app/plugin) which will analyze full order book data upon which automated strategies will be built. Therefore, I need access to any order book update as it happens (event driven). Each instrument could have hundreds (or even thousands) of updates per second so polling is out of the question due to that approach not being able to scale to hundreds of instruments.

Since I know NinjaTrader's API very well I will use them as an example of native support via their API. NT8 supports it by exposing the override below. However, MultiCharts .NET only allows access to level 1 data via their API using the StartCalc() method which would require polling to get an order book snapshot.

Code

protected override void OnMarketDepth(MarketDepthEventArgs args)
{
   // arg.MarketDataType
   // arg.Volume
}

Any help from those familiar with the platforms below would be greatly appreciated.

February 28th, 2019, 03:53 AM

It is possible from nearly any package to also connect (socket tcp/ip) directly into IQfeed and do the things you want to do. IQ feed has a special L2 socket where all date is streamed.

You would need to procure a developer license on IQfeed

February 28th, 2019, 07:54 AM

Sierra Chart can get to all the liquidity info in the book but you will need to poll the levels to assess changes - you won't receive event notifications of changes. Your study will be called at a user-defined chart update interval. Alternatively you could use Sierra Chart's DTC server as a way of accessing the liquidity data and keep your routine away from the charting platform. Feel free to drop me a PM if you'd like further discussions with a commercially-published developer with expertise in this space.

February 28th, 2019, 11:15 AM

rleplae

It is possible from nearly any package to also connect (socket tcp/ip) directly into IQfeed and do the things you want to do. IQ feed has a special L2 socket where all date is streamed.

You would need to procure a developer license on IQfeed

Yes you are spot on correct with respect to IQFeed (they're awesome from a dev point of view). Maybe I should have mentioned this, I am trying to shy away from writing connectors to data providers. Instead, I am wanting to integrate this indicator into each platform.

February 28th, 2019, 11:29 AM

binaryduke

Sierra Chart can get to all the liquidity info in the book but you will need to poll the levels to assess changes - you won't receive event notifications of changes. Your study will be called at a user-defined chart update interval. Alternatively you could use Sierra Chart's DTC server as a way of accessing the liquidity data and keep your routine away from the charting platform. Feel free to drop me a PM if you'd like further discussions with a commercially-published developer with expertise in this space.

I started looking at the DTC, specifically MARKET_DEPTH_REQUEST. My question is about DTC. Does DTC relay data to which Sierra Chart is connected? Example being Sierra Chart is getting data from IQFeed/IB/Rithmic, does DTC translate and send those data event through its protocol? If so, I could simply subscribe to DTC and let any data SC received be piped into my application.

February 28th, 2019, 11:31 AM

Jasonnator

I started looking at the DTC, specifically MARKET_DEPTH_REQUEST. My question is about DTC. Does DTC relay data to which Sierra Chart is connected? Example being Sierra Chart is getting data from IQFeed/IB/Rithmic, does DTC translate and send those data event through its protocol? If so, I could simply subscribe to DTC and let any data SC received be piped into my application.

https://www.dtcprotocol.org/

Exactly. You can use Sierra Chart as a DTC server.

https://www.sierrachart.com/index.php?page=doc/DTCServer.php

March 1st, 2019, 11:45 PM

I spoke with someone at TradeStation today and getting L2 data out of their platform is possible via their web API. However, to get API access, I was informed an account with at least 50k must be opened. That makes developing a TradeStation plugin or app cost prohibitive if that is in fact the case

Can anyone else confirm or shed light on this?

Any Jedi masters out there offloading full order book data from TradeStation?

Native/API support for L2 data

Discussion in Platforms and Indicators

Native/API support for L2 data