Hi there.
I fixed it with this MyEventFilter.cs
Code:
using System;
using System.Collections.Generic;
using SmartQuant;
namespace OpenQuant
{
public class MyEventFilter : EventFilter
{
public MyEventFilter(Framework framework)
: base(framework)
{
//Global
}
public override Event Filter(Event e)
{
try
{
switch (e.TypeId)
{
case DataObjectType.Level2:
case DataObjectType.Level2Snapshot:
case DataObjectType.Level2Update:
return null;
break;
}
return e;
}
catch (Exception ex)
{
Console.WriteLine("Error in MyEventsFilter. Error is: {0}", ex.Message);
return null;
}
}
}
}
and this call in the Scenario:
framework.EventManager.Filter = new MyEventFilter(framework);
therefore, I conclude, that it is not possible to use Level2 data with the IB provider as of now.