Level 2 Data providers/platforms for Eurex?

[A Dashing Blade]

Specifically Bund & STOXX

eSignal doesn't (no idea why not as they do for other exchanges).
Reuters/Bloomberg also no good.

Specifically I want to COM/API the data out, start playing around with it and see if I can come up with anything interesting indicator-wise.

 

[grantx]

DB,

Couldn't you download tick-data into Excel, for example - last trade, size, bid and ask - and work from that?

A bit obvious and therefore probably wrong.

Grant.

 

[dcraig1]

If you have an IB account you can use the TWS API to gather book data. Unfortunately IB only allows a maximum of 3 concurrent L2 streams, which is a real PITA (pain in the .....).

If you want to experiment with US markets OpenTick allows lots of L2 streams. The API is superior as it explicitly reports executions and cancels, which the IB API doesn't. The OpenTick API also has historical book data support, though I haven't tried it and I'm not sure that it works at all. I recall reading some post on the OpenTick forum that it doesn't, but I couldn't say if that is the case or not.

As for using tick data with BID/ASK, I don't think it's a substitute. Size in the book not at the best bid/ask is very important.