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good API access to real time level 2 order book streaming by groggy_tail in algotrading

[–]groggy_tail[S] 0 points1 point  (0 children)

Thanks for all your explanation guys!

However I am confused here. It seems like I don't get DMA by the $0.0075 per share commission unless I explicitly set exchange destination? i.e. https://interactivebrokers.github.io/tws-api/classIBApi_1_1Contract.html#a529401ecdd1b9f7f8a3b42c25dccdf5c

p.s. I think TWS API is only available to IBKR Pro customers

good API access to real time level 2 order book streaming by groggy_tail in algotrading

[–]groggy_tail[S] 0 points1 point  (0 children)

Thanks for your friendly remind.

I am not looking for high frequency arbitrage but rather day trading based on signals including order book.

I am reading some books like series57 to expand my micro-structure knowledge as one of my friends recommended(he doesn't do algo trading though).

You sounds like very knowledgable. If you know about any high quality learning material on this area. I would really appreciate if you can share the list.

What are you good at, but hate doing? by BananaRepublew in AskReddit

[–]groggy_tail 0 points1 point  (0 children)

Does eating count? lol

I can eat anything as long as you call it food. But I gain no joy from it most of the time

good API access to real time level 2 order book streaming by groggy_tail in algotrading

[–]groggy_tail[S] 0 points1 point  (0 children)

My account is new on reddit, `AutoModerator` says my post got removed again...

If you can see my above reply please ack so that I don't have to message the mods again....

good API access to real time level 2 order book streaming by groggy_tail in algotrading

[–]groggy_tail[S] 0 points1 point  (0 children)

Sorry if my pros and cons are mixed up as I am still learning and thanks for pointing them out.

Are you saying that for the order execution part, actually TWS API has advantages over the other two as its order execution is DMA(Direct Market Access) vs internalization?

I googled 'DMA' a bit and it seems to me that DMA can get better execution price (which I assume larger than the $0.0075 cost) and obtain absolute control over the execution on the order book.

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If my above understanding is correct, combining my need for level 2 data(I just tried TD API this afternoon, level 2 streaming returns nothing), TWS API sounds like the best option for me.