If on the other hand you need it as a coding instruction part of a wider code, then it doesn’t exist. Hopefully one day maybe? I asked for it ages ago, along with order book orders sizes by level, and probably others asked too,
FYI : In the IBKR version this data is available to PRT. I think with PRT-IG it is not. So if you asked too long ago (prior to Autotrading with IB) this just was not possible (no Orderbook data, no proper volume data, no proper tick data). So I suggested this in January and the response was “Hey, you are right, good idea !”. But I am suggesting things for years …
Anyway, you could have another go on it. And JC, you know what you are doing it for ;-).
The below shown orderflow is available too in V12 (and PRT-IB). But it is so much hidden away that it is impossible to find for a human being (it is Plugin and sits in the Subscriptions page (remember, for the IBKR version). But again, impossible to code with.
Maybe it helps if PRT learns that other platforms can trade with this (DOM and such). Maybe it helps if PRT learns that no Professional trader will ever even start looking at PRT if this is not available (Autotrading as well as decent indicators for this).
In the 2nd attachment you see the Orderbook Volume indicator; I can’t show nice pictures of it (needs the right data to show all, like where the highest volume was – see little red rectangle next to the right margin and the white rectangle above it – these show on each bar with some volume) … which is another indication that all is there and someone over at PRT** is working on this in general. But use it in code ? maybe in 10 years.
**) It is a little mysterious for me, as the Orderflow (plugin ?) was made by CME. So maybe there is more to it, like API calls by the PRT software to the (CME-)Exchange software.
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