same volume for SMART and NYSE or ISLAND in reqMktData
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In this answer it was pointed out the importance of setting SMART as a contract exchange to get most of the information/volume while using reqMktData. Which I always believed is the correct way, totally agree. However I double checked and found that for reqMktData it doesn't seem to matter. I.e. no matter if I ask for SMART or specific exchange I get the same volume information. Note, this is true only for reqMktData, if I use historical data using reqHistoricalData I see very different volume for SMART vs NYSE/ISLAND just like expected. So not to hijack the original thread maybe we can clear it up here.?
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If I run the attached program like this >python Program_exchanges.py --port 4001 I get the following output. I.e. looks like I am getting same volume for all exchanges (maybe several lots difference sometimes, I guess it has to do with timing, but definitely not 20-70% volume difference as one would expect having seen historical data).
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I have tried different stocks. Seems to be true for all I have tried. In case one want to experiment this is how I list the contracts I want data for
and then loop through them and ship go reqMktData
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The question is: is that expected behavior for reqMktData? I was not expecting this, I was expecting same behavior as for reqHistoricalData
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