Market Depth Data

[Erroldactyl]

For those of you who are actively trading/in some sort of quant position, what sources of market depth data do you use? I am a student preparing for a career in financial engineering and am very curious.

I know the bloomberg professional service has a market depth monitor and that many exchanges offer such services, but are there any other sort of third party software products that offer market depth and related information?

Thanks!

 

[Joy Pathak]

I used to get Market Depth from Interactive Broker for some algo work I was doing for a hedge fund. It was not too extensive. You can get more features for a fee. I mostly used for VIX.

 

[Erroldactyl]

I used to get Market Depth from Interactive Broker for some algo work I was doing for a hedge fund. It was not too extensive. You can get more features for a fee. I mostly used for VIX.

Thanks! Are all the additional features you are referring to on the website? I will take a look.