You can't do it from historical download.
In the live stream my observation so far is that you'll get the
events in the proper order. I don't know how it lines up with the
T&S display in TWS. You'll have to try it and see if it meets
your needs.
On 9/2/2018 10:09 AM, hannnnny via
Groups.Io wrote:
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Hi all,
I'm trying to request historical ticks data for trades but i also
want to see the bid/offer at the time of the trades in order to
reconstruct the time and sales. However ib has this in 2 different
functions, I've no idea why. Can anyone help with how can I piece
info from these two streams together in a way that is identical to
the time and sales screen, so the little red and green dots are
also constructed.
If this is not possible,? can i live record the market data to
recreate this effect? how does tws do it?
thank you for any assistance
Dave
