Level II

[chuckt101]

Hi, I'm using NT 8 with Interactive Brokers. I've subscribed to the necessary Market Depth/Level II data feeds with IB. As you can see in the screenshot, the feed is up and working in IB (left side of the screenshot); however, in NT, it doesn't seem like NT is receiving/displaying all of the data (right side).

Also, what is the refresh speed of the Level II window? My IB Level II window is updating more quickly, but it might be because NT is not displaying everything IB is displaying.

Thank you

[rickyblah12]

My problem is level 2 not showing data in the colored boxes...How to fix?

[NinjaTrader_Kate]

Hello chuckt101 and rickyblah12,

Thank you for your posts.

chuckt101, for Interactive Brokers specifically, only the primary exchange level II data will be available

• For example, SPY's primary exchange is NYSE
• In TWS, you may notice that you see other market makers, but these additional market makers data will not be available in NinjaTrader

As to your other question, the refresh rate on the Level II window is 250 ms.

rickyblah12, your issue is likely different. Who is your data provider and have you confirmed you should be receiving Level II data from your provider?

Thanks in advance; I look forward to assisting you further.

[chuckt101]

Thanks Kate - is the IB API not providing it or just that it's not being displayed in the NT Level II window? Essentially, would I be able to access the data by coding a ninjascript/indicator?

Thanks

[NinjaTrader_Kate]

Hello chuckt101,

Thank you for your reply.

Unfortunately it's not provided by the API, there would not be a way to access that data within NinjaTrader. If there was, we'd be displaying it within the Level II window!

Please let us know if we may be of further assistance to you.

[chuckt101]

Thanks again Kate!

I dug around a little more and found this page from Interactive Brokers: https://interactivebrokers.github.io/tws-api/market_depth.html

Perhaps the full information wasn't exposed via the API previously but it does appear to suggest it is available now. Wondering if you're reading it the same way and, if so, whether NT can add the full L2 information to the Level II window?

Thank you!

[NinjaTrader_Kate]

Hello chuckt101,

Thank you for your reply.

It's important to remember that NinjaTrader isn't updated as often as TWS and there's a specific version we have to use to connect to IB. I've put in a vote on a current feature request to have NinjaTrader 8 support Level 2 information for exchanges that are not the primary exchange with IB. This request is being tracked under the number SFT-3060.

As with all feature requests, interest is tracked before implementation is considered, so we cannot offer an ETA or promise of fulfillment. If implemented, it will be noted in the Release Notes page of the Help Guide.

Release Notes — https://ninjatrader.com/support/help...ease_notes.htm

Please let us know if we may be of further assistance to you.

[tpdk2012]

Hello,

Please add my vote.

Best regards
Thomas

[rickyblah12]

it was showing level 2 data before

[NinjaTrader_Kate]

Hello tpdk2012 and rickyblah12,

Thank you for your reply.

tpdk2012, I have added a vote for your to SFT-3060 as well.

rickyblah12, you did not answer my questions regarding your data provider or whether you have confirmed with them that your account is currently enabled for Level II data for the instrument you're attempting to view. We will likely need to see your log and trace files, so I would recommend writing into our Platform Support team directly at platformsupport [at] ninjatrader [dot] com for further assistance with this issue as we don't want you to post those on the forums since they can contain personal information.

Please let us know if we may be of further assistance to you.