Feature Request: API Access to Full Market Depth (Long-Standing & Critical) #978
Description
Description
I’d like to raise a request for API access to full stock market depth / order book data.
This has been a long-standing request and is critical for my trading use case. I’ve seen this mentioned in past discussions and on the roadmap back in Feb 2022, but progress appears to have stalled, which is somewhat disappointing given how fundamental this capability is for trading-focused users.
Why this matters
Top-of-book data alone is insufficient for:
- execution algorithms
- liquidity and microstructure analysis
- slippage and market-impact modeling
Without market depth, it’s difficult to use the API for realistic or production-grade trading systems.
(For me, I have to make a workaround with the IB level2 data. Which is not nice.)
Request
Even if full depth is not currently feasible, it would be very helpful to have one of the following:
- a clear status update or roadmap position
- a scoped or partial solution (e.g. limited depth, paid tier, specific venues)
- clarification on technical or licensing constraints
Thanks for taking a look. I’m raising this respectfully but intentionally, as this feature materially affects whether the API can support advanced trading use cases.