Both tickPrice and tickSize are autonamous of one another. Further
they only fire when there is a change.
An example would be 10 trades going off at the same price at
different volumes would fire zero price events, and 10 size events.
and vice versa
10 trades at different price but the same size would fire 10 price
events and zero size events.
and ten trades going off the same price and size would have the same
effect as if no trade had occured at all.
That is my understanding and experience with tickPrice and tickSize.
Scott
--- In twsapi@y..., "migurull" <migurull@t...> wrote:
Hello,
I'm evaluating TWS ActiveX component in Visual Basic and I have
some
questions/problems regarding 'tickPrice' and 'tickSize' events (I'm
using the web based Demo system for this evaluations):
1- When last price AND last size change at the same time(new
quotation), is there some guarantee about the order in which
tickPrice and tickSize events are rised? (ALWAYS tickPrice BEFORE
tickSize?)
2- When quotation repeats at the same price and the same size, it
seems that there is no tickPrice, nor tickSize events fired. In
this
case, how to detect that a new quotation had taken place (for
example, in order to compute total traded volume by adding all last
sizes)?
Thanks for your help.
Michel.
