I dont
know how you handle your quotes and sizes so I can't help.
The
way in which I handle them is through the use of a 'one shoot' timer of 200 ms.
In my tickPrice event I update a variable LastPrice = price and enable the
timer. In my tickSize event I update a variable LastSize = size and also enable
the timer if it is not. Then in the Timer.Timer event I disable the timer and do
the job with LastPrice and LastSize.
This
way I allow a 200ms. time window after every price or size event to wait for the
second event (size or price) to update the other variable and if the second
event dont comes, simply the other variable is unchanged when I use them in my
Timer.timer event.
?
Michel.
[Michel]??-----Mensaje
original-----
De: mbluhm2001
[mailto:mbluhm2001@...]
Enviado el: jueves, 04 de julio de 2002
21:35
Para: twsapi@...
Asunto: twsapi: Re: Ways
of filtering bad quotes from TWS
toggle quoted message
Show quoted text
Tbanks
for the reply. Thanks what I'm doing with the 0 price quotes,
throwing
them away. I didn't mention that I'm also getting what seems
to be quotes
that non zero but incorrect. So I'm trying to filter them
with some type
of algrothrim so I don't get caught executing a bad
trade. I also wanted
to make sure that its not something I'm doing
incorrectly with my
interface to TWS.
Thanks,
Mark
