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On Wed, 6/1/16, Broom IAmBroom@... [TWSAPI] <TWSAPI@...> wrote:

Subject: [TWS API] Re: I am new to this group and post my first request
To: TWSAPI@...
Date: Wednesday, June 1, 2016, 7:51 AM


?









Hi,
Mike.
>?I would like to start
downloading data on stocks or futures on a tick-by-tick
basis. I would like to RECORD and import (export from
wherever is required from IB) this data to an MS Excel
format. From there I will know how to program the
spreadsheet and analyse the data as I see fit (don't
want to confuse any readers with too much ultimate detail at
this point).?

As I understand that
sentence, it is not a workable idea. First, the amount of
data you are describing would quickly fill the limits of
Excel rows or columns.

Second, writing data to an Excel cell takes
time - more time than simply storing it in a variable, even
if the spreadsheet is set to not visibly update cells to the
user (but FAR MORE TIME if it does try to stay current).
You'll be bogging down the program with updates, keeping
it from processing the information into decisions.

Finally, I'm not sure -
someone else can verify or refute this - but I don't
believe the TWS connection can reliably give you
tick-by-tick data in near-real-time. (Please correct me if
I'm wrong here, folks - I don't look at that level
of data).

Therefore, it
would be best to send the data to a text file, and keep only
the last N data points (or S seconds worth of data, or
whatever) handy in memory. When the program loads, it can
easily load the tail end of the last data output to a file,
and use that to fill the array of most-recent data
points.
--Joe










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