Support Board
Date/Time: Sat, 01 Mar 2025 11:14:26 +0000
[User Discussion] - market depth-level2 problem
View Count: 896
| [2021-09-26 07:38:30] |
| User278398 - Posts: 291 |
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hello, i dont manage to connect level2 by interactive broker. i over all the instructions u ask me. * i will pay extra money, tell me how much u want and i will deliver u! i know this is an exceptional ask, but i dont know what to do more. i just want you to check my integration with sierra chart to connect level 2. can u assist me? regards. |
| [2021-09-26 07:40:19] |
| User278398 - Posts: 291 |
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maybe if i send u my trade log? or by connect my computer? regards. |
| [2021-09-26 16:52:56] |
| John - SC Support - Posts: 38292 |
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Are you certain that you are setup to get your data from Interactive Brokers? We see that you have the Sierra Chart Exchange Data Feed active with the U.S. Equities exchange. As such, you would get the U.S. Equities data from us, unless you have the option for Global Settings >> Data/Trade Service Settings >> Common Settings >> Allow Support for Sierra Chart Data Feeds set to No. Keep in mind, the U.S. Equities from us do not include the Level 2 data. Which is why we think you are not getting the IB data. Once you are certain that you are getting the data from IB, then if you are still having an issue with their Market Depth data, then the only information we can give you is at this link: Interactive Brokers Trading Service: Accessing Level 2 / Market Depth Data for Stocks We are working on our new NASDAQ interface that will have level 2 data. Refer to the information here: Upcoming Data Feed Plans 2, New Exchange For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2021-09-27 22:15:02] |
| User504778 - Posts: 22 |
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Hi, I've struggled for a long time to connect to US Equity Level 2 data from IB and finally got it working. A few tips: 1. At IB, subscribe to NASDAQ TotalView-OpenView Bundled ($16.5) **AND** NASDAQ TotalView-OpenView EDS ($1); this would also require subscription to Level 1 from various exchanges (a few bucks each); 2. Disable Sierra Chart data feed as John suggested above; 3. Add "-STK-ISLAND" to all stock symbols, regardless of the listing exchange, e.g. AMC-STK-ISLAND, NIO-STK-ISLAND, AAPL-STK-ISLAND 4. Normally you can get Level 2 for up to 3 symbols at the same time. If you exceed the quota, you won't receive Level 2 for any new symbols. When this happens, close the windows of unwanted charts, disconnect and reconnect to data feed to reset. Hope this helps. |
| [2021-09-28 12:44:04] |
| User278398 - Posts: 291 |
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it worked!!! for the next charts exchange: NIO-STK-NYSE-USD NIO-STK-ARCA-USD i have some questions about what i got: 1. i got 2 different level 2 for nio (one from arca and one from nyse ) *pic attached. there is a way to see all the data in one market depth window ? i tried to open chart which include all but i didnt get there market depth (i tried: NIO-STK-SMART/NYSE-USD and it didnt worked.... i allso tryied as i see in your NIO-STK-SMART[NYSE-USD (when i done it, it opend again NIO-STK-SMART/NYSE-USD (with out the "[" symbol) 2. i get only 100 rows for level 2 * u can see allso in the pic i attached there is a way to see all the data of market depth (more then 100 rows) ? ( in interactive broker program i see much much more ) 3. there is a way to put another column in market depth window which show me the exchange name ? many thanks. |
 level2 data- 1.jpg / V - Attached On 2021-09-28 12:43:56 UTC - Size: 348.99 KB - 190 views |
| [2021-09-28 14:00:32] |
| User504778 - Posts: 22 |
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Glad it worked for you. 1. No. I believe the symbol suffix "-STK-NYSE" or "-STK-ARCA" has designated which exchange you pull Level 2 data from. So I use NASDAQ TotalView/OpenView only, because I believe it has the most volume among all exchanges. 2. 100 lines is the limit of SC. The only possible way would be to use ASCIL to read the Level 2 data directly. I can test it when I get a chance, but 100 lines would be an overkill for me because the price would be so off that they're not relevant after 50 levels or so. 3. Not easily. The only solution would be to open one window for "NIO-STK-NYSE" and another for "NIO-STK-ARCA", then write an ASCIL program to pull the data from each window, add them up, then display the sum. It's cumbersome but doable. |
| [2021-09-28 17:07:53] |
| User278398 - Posts: 291 |
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1. does "smart" is cumulative of all volume from all exchanges for nio stock (nio for example) ? i'm trade only on "smart" mode for stocks, how can i watch for NIO-STK-SMART/NYSE-USD market depth ( now i just see NIO-STK-NYSE-USD market depth and NIO-STK-ARCA-USD market depth , as i describe in my last answer) ? what are you mean by that : " So I use NASDAQ TotalView/OpenView only " ... you say to me that if i subscribe it (NASDAQ TotalView/OpenView in my broker interactive broker) , so i can open chart that will show me much more market depth (now, to see a similar chart of NIO as i can see in interactive brokers program, i write only "nio" in the symbol name (in SC) and i get that similar chart) and i get similar chat like i see in interactive broker program? and if i subscribe it, what i need to write to open that chart/market depth, "NIO-STK-nasdaq-USD" ? 2. what is "ASCIL" ? *i know that i ask many question, i hope you can answer them all many thanks. Date Time Of Last Edit: 2021-09-28 17:15:01
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| [2021-09-28 18:20:47] |
| User504778 - Posts: 22 |
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My understanding is that each exchange has its own order book, for example NASDAQ, NYSE, ARCA, which are separate from each other. In IB's TWS, you will be able to add up all the orders from the exchanges that you subscribe to, but Sierra Chart can only get Level 2 data from a specific exchange, which is a subset of what you get in TWS. I chose NASDAQ because I don't want to pay for multiple Level 2 data and I assume NASDAQ volume is indicative of the total volume in the market. SMART is an automatic route that IB uses for order processing. However, you cannot use "NIO-STK-SMART" to get level 2 data according to SC's documentation, you have to choose between "NIO-STK-NYSE", "NIO-STK-ARCA" or "NIO-STK-ISLAND" (which is NASDAQ), etc. depending on where you want to get the Level 2 data from. ACSIL is a programming language for developing customized studies in Sierra Chart. It's based on C++. You can either learn the language yourself or hire a programmer to do it for you. See: Advanced Custom Study Interface and Language (ACSIL) Again, Sierra Chart is expected to come up with its own NASDAQ data feed in a month, which I look forward to. It may work better than the current approach with IB. Date Time Of Last Edit: 2021-09-28 18:31:16
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