When I started working with TWS ActiveX with VB I
explored tickPrice and tickSize first.
My observation was that either event occurred once
a second and only if a number changed.
You could build a set of one second bars of price,
or any multiple of it (say 60 seconds), that would be reasonably accurate for
trades, bids, and asks.
You could develop a concept of the depth of the
market by averaging out all the ask sizes for a minute. Ditto for bid
sizes.
No way can you get anything resembling the tick
stream from this data. I don't think IB wants to get into the datafeed
business.
RCarey
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----- Original Message -----
Sent: Wednesday, June 19, 2002 12:55
PM
Subject: twsapi: Timing of events
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.
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