C++ ranks among the top ten programming languages and continues to attract users from many fields. Due to its robust and efficient framework, it has become especially useful in coding trading algos and retrieving market data.
Today we will look at requesting a watchlist with C++ via our API. Let’s review an example from GitHub. The function
reqMktData invokes a request to obtain market data level I:
m_pClient->reqMktData(1001, ContractSamples::StockComboContract(), “”, false, false, TagValueListSPtr());
m_pClient->reqMktData(1002, ContractSamples::OptionWithLocalSymbol(), “”, false, false, TagValueListSPtr());
Quants in need of more granular data will find the function
TickByTickData critical in retrieving the information via the API and compiling data for up to five U.S. securities. See the Tick-by-Tick article for detailed instructions.
Another important argument added to the function
reqMktData serves to obtain regulatory snapshots. Here is a GitHub example on how to code it:
// Each regulatory snapshot incurs a fee of 0.01 USD
m_pClient->reqMktData(1013, ContractSamples::USStock(), “”, false, true, TagValueListSPtr());
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Disclosure: Interactive Brokers
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