Level2 API

[maxima]

Is there a company who provides Level2 feed from LSE and/or LIFFE with C# API ?

If I would like to create my small application which can get order book data and transform it into some graphical human-readable form? What do I do?

 

[dcraig1]

InteractiveBrokers. I've done this in Java (graphical display of the book) and it works fine for US futures, Eurex, Korea, HK, Aus etc. I havn't tried FTSE but I don't see any reason why it shouldn't work. IB also have C# support, I think.

 

[maxima]

no. they have VB6

but I found that OEC have DOM which displays some graph for volume in itself which is quite nice. And I found that some broker (mentioned here in threads) have C# API.

So when I will be at the edge when I need custom tools - I will probably shop again. By that time could be more options will exist

 

[dcraig1]

no. they have VB6

but I found that OEC have DOM which displays some graph for volume in itself which is quite nice. And I found that some broker (mentioned here in threads) have C# API.

So when I will be at the edge when I need custom tools - I will probably shop again. By that time could be more options will exist

IB provide the source code for their API libs. It should not be very difficult to convert the Java to C#. They also tend to maintain good backward compatibility with their API.

 

[maxima]

IB provide the source code for their API libs. It should not be very difficult to convert the Java to C#. They also tend to maintain good backward compatibility with their API.

it is not difficult. But I have no idea how C# application can call Java libraries. Even if there are some wrappers they arent commercial. Never heard about it and wont bother to use them as benefits will be always lesser than troubles.

 

[dcraig1]

it is not difficult. But I have no idea how C# application can call Java libraries. Even if there are some wrappers they arent commercial. Never heard about it and wont bother to use them as benefits will be always lesser than troubles.

Just take the Java source code for the lib and translate it into C# and compile it. You don't need to call the Java libraries. I'd be surprised if somebody hasn't already done this. Have a look on the IB support forum.

 

[maxima]

Just take the Java source code for the lib and translate it into C# and compile it. You don't need to call the Java libraries. I'd be surprised if somebody hasn't already done this. Have a look on the IB support forum.

OK. I assumed that your code is a plugin into their soft. But if it is standalone app which just connectes to their services through TCP and sends correct messages than its fine.

Thanks for the tip