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How to access Level II depth-of-market data with an IB data feed...

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  • DeltaTraderX
    replied
    autogenix NT knows these limitations; which exists since NT7; but will not fix it because supporting equity instruments on their platform is not economically viable for them. Basic functions like displaying L2 data on the DOM and their licensed orderflow+ features are not supported for equity trading. I have a track open with on this and i still get same dodging answers from support.
    https://ninjatrader.com/support/foru...equity-trading

    Leave a comment:


  • autogenix
    replied
    I have to disagree, i would expect this to work out of the box. Also i would expect to be able to trade FDAX and FDXM at the same time (same goes for silver) via IB. You could document these limitations like other platform providers do. IMHO.
    Last edited by autogenix; 09-24-2020, 01:04 PM.

    Leave a comment:


  • NinjaTrader_PatrickG
    replied
    Thanks for the feedback, gapsmeister.

    I can understand where you're coming from. Keep in mind that all of this data functionality/compatibility can be tested before paying any more for any NinjaTrader licensing. In other words, connecting to Interactive Brokers is supported while using the simulated version of the platform.

    I'll add your vote to SFT-4414.

    Leave a comment:


  • gapsmeister
    replied
    I just started using L2 in IB to see how it compares to IQFeed.

    In MHO NinjaTrader's most basic function is to read data from the vendor period and that includes L2 data. I have a full license for Interactive Brokers and I find it unacceptable that I paid for a full license and I am unable to use the full data functionality of IB with NinjaTrader, now feel I have been ripped off!

    Please fix this issue and make NinjaTrader work with IB's L2-3 data.

    Leave a comment:


  • NinjaTrader_PatrickG
    replied
    This occurs due to a limitation in how mapping instruments and pulling data from Interactive Brokers works at a fundamental level. This is not a bug per se since it is functioning as designed. The feature requests discussed in post #10 are tracking interest in changing the API behavior.

    Leave a comment:


  • autogenix
    replied
    Same here, i have LvL 2 for Nasdaq Totalview, NYSE OpenBook and Arca. Shows up fine in TWS. But nothing in NT8 Level II window. I use the IB Gateway to connect to my IB account. Seems to be a bug. Ninjatrader could you please confirm, is this an open bug?
    Last edited by autogenix; 09-08-2020, 10:25 AM.

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  • wallstreetannex
    replied
    Thanks for getting back to me!
    I'm using IQFeed and they do offer NASDAQ Level II (OpenView) for $60.00 but they can't confirm if its the full book or not so i may just try it out to see for myself although i highly doubt it. I subscribed to NASDAQ BOOKVIEWER which allows me to download all L2 transactions. Now i wish there was a way to import them into NT8 for replay.

    Leave a comment:


  • JPPoulin
    replied
    The last I tried with IB to make this work was about 5 months ago and had to give up as L2 data appeared blank even if IB software showed the info local to your computer.

    Purchasing a subscription with Kinetic (adds about 60$ per month) gives me full L2 tick-level data and the NT L2 window fills up.

    From my perspective there is a bug in NT where it cannot properly pull L2 data from IB's software.

    Hope that helps

    Leave a comment:


  • wallstreetannex
    replied
    I have been trying to do the same thing with IB to no success. Also, has as anyone figured out a way to get Nasdaq TOTALVIEW into NT?

    Leave a comment:


  • goodknight777
    replied
    I am trying to do something very similar to what I think you are doing. It appears that there are not any data providers that provide Totalview for NT. I really do not think we getting the full L3 data, even with Totalview. I would love to be able to port Totalview data into the NT DOM and create my own DOM indicator. I have some programming experience but this is beyond my expertise.

    Leave a comment:


  • JPPoulin
    replied
    Ok I've been able to verify that Kinetick's L2 subscriptions (adds about $80 per month) do show the smaller market makers (not only NASDAQ such as is the problem with IB feed (which needs fixing IMO).

    Also the data appears in OnMarketDepth() so a usable L2 predictor can be crafter from the data.

    Thanks for the help!

    Leave a comment:


  • JPPoulin
    replied
    Awesome, well I've purchased the Kinetick subscription and hopefully I will get the data feed I need in OnMarketDeptt() I'll report what I find shortly.

    Thanks again

    Leave a comment:


  • NinjaTrader_PatrickG
    replied
    Again, I cannot provide a more specific answer with regards to access this data via NinjaScript. Please post on the NinjaScript sub-forums for a more specific answer regarding access to level II data via NinjaScript.

    Leave a comment:


  • JPPoulin
    replied
    Thanks for the new clip Patrick... If I get this L2 data from Kinetick in NT's call to OnMarketDepth() I'll be happy as a clam

    To try if this is so I've signed up for another $80 per month of data subscriptions from them, and hopefully I'll see all the market makers your test account has!

    However you mentioned earlier that NT8 has some limitations even when connected to Kinetick. The clip you just sent looks amazing however... what is missing?

    Can I assume that I get the data the clip you sent contains in calls to OnMarketDepth()? (If not then I'm no further along)

    Leave a comment:


  • NinjaTrader_PatrickG
    replied
    We do not purchase anything from Kinetick - we get a test account which has many enablements so we can assist from a technical point of view with Kinetick, but we would have no details on the subscriptions this test account has.

    Here is what my Level II window looks like right now for AMD when connected to Kinetick:

    https://www.screencast.com/t/evKiEso4qK

    Leave a comment:

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