Top Market Data (Level I)
Using the TWS API, you can request real time market data for trading and analysis. From the API, market data returned from the function IBApi.EClient.reqMktData corresponds to market data displayed in TWS watchlists. This data is not tick-by-tick but consists of aggregated snapshots taken at intra-second intervals which differ depending on the type of instrument:
[!WARNING|label:Important to note] Live market data and historical bars are currently not available from the API for the exchange OSE. Only 15 minute delayed streaming data will be available for this exchange.
|Stocks, Futures and others||250 ms|
|US Options||100 ms|
|FX pairs||5 ms|
Requesting Watchlist Data
Receiving Watchlist Data
Cancelling Streaming Data
Market Data Types
Beginning in TWS v969 and API v973.04, tick-by-tick data. In TWS, tick-by-tick data is available in the Time & Sales Window. From the API, this corresponds to the function IBApi.EClient.reqTickByTickData . The maximum number of simultaneous tick-by-tick subscriptions allowed for a user is determined by the same formula used to calculate maximum number of market depth subscriptions Limitations.
Real time tick-by-tick data is currently not available for options. Historical tick-by-tick data is available.
Delayed Streaming Data