Interactive Brokers updates IB API software
The IB API now provides aggregated depth of market (DOM) quotes from the level 1 and level 2 feeds to which a user has subscribed.
It has been a while since electronic trading major Interactive Brokers Group, Inc. (NASDAQ:IBKR) updated the IB API Software – its proprietary Application Program Interface (API) that can be used by users to build their own automated rules-based trading application in their favorite programming language or protocol. The broker has just posted some release notes concerning the latest beta version of the IB API.
The enhancements range from Smart Depth to generic filters in the API scanner.
Regarding Smart Depth, let’s note that the API now provides aggregated depth of market (DOM) quotes from the level 1 and level 2 feeds to which a user has subscribed, instead of requiring the API client to make reqMktDepth requests to each exchange individually. This is requested by setting the new parameter isSmartDepth in reqMktDepth to True.
In addition, the functions reqPositionsMulti and reqAccountUpdatesMulti will no longer accept an “account” parameter set as the empty string with Financial Advisor accounts, in order to prevent possible confusion. To request data from ‘all’ sub-accounts, the account parameter must be defined as “All”.
API messages sent at a higher rate than 50/second can now be paced by TWS at the 50/second rate instead of potentially causing a disconnection. This is now done automatically by the RTD Server API and can be done with other API technologies by invoking SetConnectOptions(“+PACEAPI”) prior to eConnect.
Furthermore, Generic filters (which are not fields in the ScannerSubscription class) are now available to use with the API scanner. The new filters can be found from the API reqScannerParameters function and are added through an additional parameter in reqScannerSubscription. This function requires TWS version 973 or higher.
The broker notes that the ActiveX Excel sample spreadsheet will soon be provided as class (.cls) files to improve versioning and merging into Github. To provide updates to the ActiveX sample spreadsheet, the provided decompile.vbs script should be used to update the spreadsheet decompiled vbproject files, and these files should then be committed in addition to TwsActiveX.xls. (not yet merged).
Let’s note that the latest production release of the IB API came with a number of enhancements. Among these were ones targeted at EEA investment firms required to comply with MiFIR reporting, and who have opted in to Enriched and Delegated Transaction Reporting. The IB API team has added four new order attributes to the Order class, and several new presets to TWS and IB Gateway Global Configuration.