Introduction

To check which exchanges offer deep book data, the function EClient.reqMktDepthExchanges can be invoked. It will return a list of exchanges from where market depth is available if the user has the appropriate market data subscription.

API ‘Exchange’ fields for which a market depth request would return market maker information and result in a callback to EWrapper.updateMktDepthL2 will be indicated in the results from the EWrapper.mktDepthExchanges field by a ‘True’ value in the ‘isL2’ field: