Current Bid Offer price?

IBController
1

Hi there!
Is it possible to read current nearest Bid and Offer prices from TWS through IBController?
Thank you.

2

i think you mean: https://www.amibroker.com/guide/afl/getrtdata.html

3

Yes! Thank you!
And there is next question - how to get order book (I mean Market depth i.e. Level II)?

4

as far as I know you can not access the book from Amibroker

If you get a datasource like IQFeed you can get the historical price at the bid and ask saved in the arrays Aux1 and Aux2 (if you open a tick database). From this you can then derive the historical volume at the bid and ask and the socalled "deltavolume".

5

Thank you!
Im connected to IB TWS as live data. So I can see the depth from the TWS but Id like to know how to get it from AB, m.b. through IBController.

6

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