Recording market depth from IB

[saiter]

Hey guys,

Is there a way to record the market depth from IB into a program like amibroker? I'd like to do this so I can see the changes in market depth for tickers that I'm not viewing.

Thanks.

 

[MS+Tradesim]

Apparently Ninjatrader can do that. TH will know for sure.

 

[saiter]

Apparently Ninjatrader can do that. TH will know for sure.

Thanks Tradesim, I'll look into it.

 

[jersey10]

ninja trader can do it and you can speed up the replay if you want to.

 

[saiter]

jersey and Tradesim,

Ninjatrader can record market depth for after hours use. I think I didn't explain myself too well in the OP...
Basically, I want to see the changes in market depth (in real time) so I can calculate the size of the parcel that was withdrawn/added to a particular price level. Unfortunately, I'm still too slow to do this by eye Kind of like a ticker tape.

 

[alex keaton]

jersey and Tradesim,

Ninjatrader can record market depth for after hours use. I think I didn't explain myself too well in the OP...
Basically, I want to see the changes in market depth (in real time) so I can calculate the size of the parcel that was withdrawn/added to a particular price level. Unfortunately, I'm still too slow to do this by eye Kind of like a ticker tape.

Spark Trader will allow you to do this in real-time.

http://iguana2.com/spark

Full market depth can be extracted using DDE and the visual market depth makes it easy to spot changes.

 

[saiter]

Spark Trader will allow you to do this in real-time.

http://iguana2.com/spark

Full market depth can be extracted using DDE and the visual market depth makes it easy to spot changes.

Hi alex,

Spark looks good, but I'm not interested in purchasing another charting package.

 

[paulchow2k]

Hey guys,

Is there a way to record the market depth from IB into a program like amibroker? I'd like to do this so I can see the changes in market depth for tickers that I'm not viewing.

Thanks.

I've got IB data going into NinjaTrader and AmiBroker. Both are capable to recording if it's for the purpose of replay. Recording is build into NinjaTrader and with Amibroker, you will need to setup the IB Plugin but both are straight forward.

regards

paul