Yes, I
sometimes get quotes and/or sizes =0 for a litle moment buy I dont understand
your problem: 'if lastPrice = 0 then... exit sub'
?
Michel.
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I guess I
will reply to myself and ask a different question:
Is anyone else
getting bad quotes, i.e. quotes == 0 from the TWS
interface. If not, it
seems I must be doing something wrong.
Thanks,
Mark
---
In twsapi@y..., "mbluhm2001" wrote:
> I have
been getting a price quote of zero for some of the stock
> tickers
throughout the trading day. So I decided to put in a filter
> and
wanted to see if anyone else had any better ideas. The way I'm
> trying
it is the following:
>
> IF
>?? the current
price quote is greater than or less than the previous
> quote by X% and
the error counter is less than Y
>
> THEN
>??
throw away the quote and increment the error counter
>
>
ELSE
>?? use the price quote and clear the error
counter
>
> The idea is to set some min and max % (i'm starting
with 5%) that
the
> quote can be outside the previous quote. But to
handle gaps, if the
> quote is out of range Y number of times (i'm
starting with 5) then
use
> that new quote.? Also I don't
allow quotes that are a value of zero
> either.
>
> Any
thoughts would be helpful.
>
> Thanks,
>
Mark
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