C++ programming language just ranked # 4 on TIOBE Index for February 2020. C++ is stable, and it is especially useful in coding trading algos and retrieving market data. Moreover, it provides a robust connection to apps build in other languages such as Python or R.
Today we’ll focus on a quick routine – requesting a watchlist with C++ API.
Let’s review an example from IBKR GitHub. The function
reqMktData invokes a request to obtain market data level I:
m_pClient->reqMktData(1001, ContractSamples::StockComboContract(), "", false, false, TagValueListSPtr());
Traders 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
>reqMktData(1013, ContractSamples::USStock(), "", false, true, TagValueListSPtr());
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Disclosure: Interactive Brokers
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