It's not clear from your question what you're trying to accomplish. If you're interested in market microstructure, i.e. very short term, you might have a look at TickString. See this old post:
[rwk]
--- "sc1447" <sc1447@...> wrote:
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I'm trying to encode tick data from IB, and wanted to use TickUtils.jar contributed here. But it seems to work with standard tick formats for example a Trade tick would have format (%time %price %trade size).
IB data shows up as (%time %tick type %value), so IB would send two tick responses for a trade tick, instead of one.
I was wondering if anyone was using the encoding utility for IB and if they would have a converter for IB tick data into the the format the encoder needs and are willing to share it.
