The "Volume" tick does seem to report the same value for @SMART and @NYSE and it includes "Unreportable Trades" since the value is identical to the totalVolume field of the "RtVolume" tick.
But the totalVolume field of the "RtTradeVolume" tick does report exchange specific values similar to reqHistoricalData if that is what you are looking for. Below the last reported Volume, RtVolume, and RtTradeVolume ticks for @SMART and @NYSE from my test.
Also, LastExchange in both feeds properly identifies the source of "Price" ticks so that your client could keep a more detailed picture of the trade distribution across all exchanges the instrument trades on.
闯ü谤驳别苍
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On Thu, Jan 9, 2025 at 05:13 AM, ajn wrote:
Thanks 闯ü谤驳别苍, very serious work! Very appreciated!
I guess the expectation that the difference between calling @SMART would give info from all exchanges yet @NYSE would give info specific for NYSE. And particular indicator which is expected to be very different is volume. Yet both my test and yours shows that it is basically the same number.?
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Fortunately, in my case I am only interested in full data. So it is not causing any issues for me. However, like it often happens: "If there is discrepancy between expectation and reality it is worth double checking, very likely there is an issue on my side, I understand it wrong or code it wrong or anything else is wrong on my side". So I approach it only from this angle. If consensus on this forum is?
1. reqHistoricalData will give you very different volume data for @SMART vs @NYSE (SMART having ALL the volume, NYSE only for that specific exchange)
2. reqMktData will give you same volume data no matter if you call it for @SMART or @NYSE, we don't know why (or insert explanation here)
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I am totally fine with that consensus. Just trying to get rid of bugs/discrepancies one by one in my code/understanding of IB API.?
AJ
