Abandon the thought of computing volume from IB's data.
You will only get a small fraction of all ticks from IB. Okay for
some things, but not anywhere near a full data feed.
Richard
} Thanks Scott, this is as I understand it.
} So there is no way to detect various trades at the same price and size?
} This could be a very bad issue because it is important (at least for me, and
} I think for many people) to compute volume along the day.
}
} Michel.
} -----Mensaje original-----
} De: marinindextrader [mailto:marinindextrader@...]
} Enviado el: mi?rcoles, 19 de junio de 2002 19:38
} Para: twsapi@...
} Asunto: twsapi: Re: Timing of events
}
}
} 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.
