C++ API – How to Request a Watchlist

Algo Trading

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
m_pClient->reqMktData(1013, ContractSamples::USStock(), "", false, true, TagValueListSPtr());

Follow our C++ News Channel for more updates in this programming field.

Disclosure: Interactive Brokers

The analysis in this material is provided for information only and is not and should not be construed as an offer to sell or the solicitation of an offer to buy any security. To the extent that this material discusses general market activity, industry or sector trends or other broad-based economic or political conditions, it should not be construed as research or investment advice. To the extent that it includes references to specific securities, commodities, currencies, or other instruments, those references do not constitute a recommendation by IBKR to buy, sell or hold such investments. This material does not and is not intended to take into account the particular financial conditions, investment objectives or requirements of individual customers. Before acting on this material, you should consider whether it is suitable for your particular circumstances and, as necessary, seek professional advice.

The views and opinions expressed herein are those of the author and do not necessarily reflect the views of Interactive Brokers LLC, its affiliates, or its employees.

Any trading symbols displayed are for illustrative purposes only and are not intended to portray recommendations.

In accordance with EU regulation: The statements in this document shall not be considered as an objective or independent explanation of the matters. Please note that this document (a) has not been prepared in accordance with legal requirements designed to promote the independence of investment research, and (b) is not subject to any prohibition on dealing ahead of the dissemination or publication of investment research.