The IBKR market data you need for Level 2

Why Scalpel uses your IBKR data and nothing else

We built Scalpel so that a trader does not have to pay for third-party data or charting on top of a broker. There is no Massive.com (formerly Polygon.io) feed to buy, no TradingView subscription and no separate scanner service. Everything comes from two places:

• What you already get through Interactive Brokers: quotes, Level 2 depth, the time and sales tape, the candle history behind the charts, IBKR's own market scanner, the borrow file and the news feeds on your account.
• Free public sources: SEC EDGAR for filings and dilution, FINRA for short interest and short volume, and Nasdaq's Reg SHO list.

The charts are drawn with TradingView's free, open-source Lightweight Charts library (credited in Settings > About), so there is nothing to subscribe to there either. The only optional paid extra is an OpenAI key for grading headlines, which costs a few cents a day (guide 9.1).

What you do pay for is the market data itself, to Interactive Brokers, at their published prices. That data is what makes a scalping screen work, and it is the same data every IBKR platform uses.

What each part of a desk needs

Level 1 is the top of the book: the best bid, the best ask and the last trade. Level 2 (depth) is every venue's bids and offers below and above that (read the glossary). Scalpel asks IBKR for SMART depth, which merges the venues you subscribe to into one ladder. Each venue you add fills in more of the book.

Subscribe in Client Portal

1. 01

   Open the market data page

   Log in to Client Portal, the Interactive Brokers website. Open Settings and find Market Data Subscriptions, then click Configure next to your username. Subscriptions belong to a username, not to an account.

2. 02

   Confirm your subscriber status

   IBKR asks whether you are a non-professional or a professional subscriber. Most individuals trading their own money are non-professional, which is far cheaper. Answer honestly: the exchanges set the rules, not IBKR or Scalpel.

3. 03

   Add live US stock data

   Under North America, add the US securities bundle that gives streaming quotes for NYSE, NYSE American and Nasdaq stocks. On IBKR this is a snapshot bundle plus a streaming add-on; their page lists which bundle includes what. This is what lights up quotes, the tape and charts in Scalpel.

4. 04

   Add depth for Level 2

   Add at least one depth-of-book feed, for example NASDAQ TotalView-OpenView (Nasdaq's full book, which also carries shares listed elsewhere that trade on Nasdaq) and NYSE ArcaBook. Nasdaq and Arca carry much of the extended-hours trading in small caps, which matters because Scalpel is built first for the pre-market. Each extra venue adds rows to the ladder.

5. 05

   Accept the agreements and restart the platform

   Accept the exchange agreements (and IBKR's market data API acknowledgement if it asks: API programs such as Scalpel need it). New subscriptions usually start within minutes; log out of TWS or IB Gateway and back in so it picks them up.

IBKR shows the monthly price of every subscription on that page, and waives some of them in months when you pay enough commission. Prices change, so check there rather than trusting a number in a guide.

How missing or delayed data shows in Scalpel

Each desk header carries a session badge (RTH, PRE, AFTER or CLOSED) and, when the data is not live, a flag after it:

When IBKR refuses the Level 2 for a symbol, Scalpel shows a warning toast, Depth unavailable for the symbol, followed by IBKR's reason. The ladder stays empty, but the quote, the tape and the chart keep streaming, so the desk is still usable to watch.

D1TRADERABCDRTH

D2TRADEREFGHRTHDELAYED

Depth unavailable for EFGH: Requested market data is not subscribed.

12

More on every badge: guide 2.5. Fixes: guide 13.4.

Limits worth knowing

• One live data session per username. If you also stream quotes on the same username elsewhere (another TWS, IBKR Desktop, sometimes the phone app), IBKR may give the live data to that session and leave Scalpel delayed. Close the other one, or add a second username with its own subscriptions.
• Depth books at once. IBKR caps how many Level 2 books an account can stream at the same time; the cap depends on your account's market data lines, and a basic account often gets only a few. With six desks open, the desks past the cap show Depth unavailable and keep everything else.
• Market data lines. Every streaming symbol uses a line, including each name in the IBKR scanner list (30 by default, set by List size in Settings > Connection). If you run out, lower the list size or close desks you are not using.

Questions

Which IBKR market data do I need for Level 2?

Live US stock data (level 1) for quotes, the tape and charts, plus at least one depth-of-book feed such as NASDAQ TotalView-OpenView or NYSE ArcaBook for the Level 2 ladder. More depth feeds add more venues to the ladder.

Does Scalpel need a paid data feed besides Interactive Brokers?

No. Scalpel uses only the market data on your IBKR account plus free public sources (SEC EDGAR, FINRA, Nasdaq). There is no third-party feed, no TradingView subscription and no separate scanner to pay for.

Why does my desk say DELAYED?

IBKR is sending 15-minute delayed quotes, almost always because the username has no live subscription for that stock's exchange, or another session on the same username has the live data.

Why do I get Depth unavailable on some desks?

Either the username has no depth subscription for that stock, or the account has reached IBKR's limit on Level 2 books streaming at once. The desk keeps its quote, chart and tape.

Does SIM need live data too?

Yes. SIM fills your orders against the live book, so it needs the same live data and depth as LIVE trading. Practising on delayed data teaches the wrong habits.