The realtime volume (not realtime bars) gives trades and volume
in the same message so it's probably the easiest to work with.
TickByTick data also includes volume but by default is limited to
3 concurrent tickers.
There is volume in the mktdata stream but you have to deal with
multiple tick types and include logic to process them so it's not
worth it unless you need other info from that stream.
On 11/16/2020 1:01 PM, kat wrote:
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Hoping someone can point me in the right direction....
I need the 2¦Ò VWAP bands calculated with 1 min bars... what¡¯s the best way to go about this? I¡¯m streaming tick data for my strategy, but from my understanding that¡¯s not gonna get me volume. So I need to also stream the 5 sec bars and then use that to calculate VWAP and the bands? Am I on the right track or is there an easier way to go about this?
Would appreciate any advice on what is the most efficient way to go about this or if anyone can point me to existing code (python) someplace that addresses this. I'm still learning how to work with the API.
Thanks :-)
