Market depth (order book)



In [1]:

    
from ib_insync import *
util.startLoop()

ib = IB()
ib.connect('127.0.0.1', 7497, clientId=16)









    Out[1]:





<IB connected to 127.0.0.1:7497 clientId=16>

To get a list of all exchanges that support market depth data and display the first five:



In [2]:

    
l = ib.reqMktDepthExchanges()
l[:5]









    Out[2]:





[DepthMktDataDescription(exchange='DTB', secType='OPT', listingExch='', serviceDataType='Deep', aggGroup=2147483647),
 DepthMktDataDescription(exchange='LSEETF', secType='STK', listingExch='', serviceDataType='Deep', aggGroup=2147483647),
 DepthMktDataDescription(exchange='SGX', secType='FUT', listingExch='', serviceDataType='Deep', aggGroup=2147483647),
 DepthMktDataDescription(exchange='IDEALPRO', secType='CASH', listingExch='', serviceDataType='Deep', aggGroup=4),
 DepthMktDataDescription(exchange='ARCA', secType='STK', listingExch='', serviceDataType='Deep', aggGroup=2147483647)]

Let's subscribe to market depth data for EURUSD:



In [3]:

    
contract = Forex('EURUSD')
ib.qualifyContracts(contract)
ticker = ib.reqMktDepth(contract)

To see a live order book, an event handler for ticker updates is made that displays a dynamically updated dataframe:



In [4]:

    
from IPython.display import display, clear_output
import pandas as pd

df = pd.DataFrame(index=range(5),
        columns='bidSize bidPrice askPrice askSize'.split())

def onTickerUpdate(ticker):
    bids = ticker.domBids
    for i in range(5):
        df.iloc[i, 0] = bids[i].size if i < len(bids) else 0
        df.iloc[i, 1] = bids[i].price if i < len(bids) else 0
    asks = ticker.domAsks
    for i in range(5):
        df.iloc[i, 2] = asks[i].price if i < len(asks) else 0
        df.iloc[i, 3] = asks[i].size if i < len(asks) else 0
    clear_output(wait=True)
    display(df)

ticker.updateEvent += onTickerUpdate

IB.sleep(15);

Stop the market depth subscription:



In [5]:

    
ib.cancelMktDepth(contract)



In [6]:

    
ib.disconnect()

	bidSize	bidPrice	askPrice	askSize
0	15500000	1.12265	1.12275	21500000
1	10200000	1.1226	1.1228	9000000
2	1000000	1.12255	1.12285	1000000
3	1000000	1.1225	1.1232	50000
4	0	0	0	0