After looking through the Java API docs more carefully, in the reqHistoricalData() function, there is an input variable named whatToShow that can be set to BID, ASK or BID_ASK.
Does anyone have experience with this and how it works, and how the data is calculated? Would setting it to BID return Bid data during the bar in question?? How would BID_ASK work?
I'm wondering if one can recreate market depth data using this...
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--- In TWSAPI@..., Jim Covington <jim@...> wrote:
I save collected market depth data and backtest against my own database.
On 4/29/2011 5:55 PM, gururise wrote:
How is everyone back-testing their strategies that utilize Market
Depth? As far as I can tell, historical market depth data is not
available through the API, or am I missing something?
Thanks!
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