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Top Market Data (Level I)

Using the TWS API, you can request real time market data for trading and analysis. From the API, market data returned from the function IBApi.EClient.reqMktData corresponds to market data displayed in TWS watchlists. This data is not tick-by-tick but consists of aggregated snapshots taken at intra-second intervals which differ depending on the type of instrument:

Beginning in TWS v969 and API v973.04, tick-by-tick data. In TWS, tick-by-tick data is available in the Time & Sales Window. From the API, this corresponds to the function IBApi::EClient::reqTickByTick. Tick-by-tick data can be streamed for up to 5 instruments simultaneously in TWS and the API.