Hi,
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I have discussed this with the API support team, but I am still fuzzy and was not given the most clear answer. I am backtesting a strategy where the data has been collected using reqHistoricalTicks() & whatToShow='TRADES' was selected going back to early 2023 for natural gas. In real time, I imagined I would use reqTickByTick() to get the most recent ticks and act accordingly to the strategy. However, I am aware that reqHistoricalTicks() uses a batching algorithm to batch all ticks to each second I believe. Atleast, that's what the timestamp suggests when received from IB. So, because reqTickByTick() is more granular and I do not believe batches to each second, I am concerned any strategy I form will not be reliable in execution because the data will be too granular and you cannot stream reqHistoricalTicks() in realtime I believe like you can with reqHistoricalData(). The main problem, is my strategy revolves a lot around large "tick" trades. So, more granularity means broken up matched orders, in turn large order sightings are not frequent. In practice, should I just be streaming some sort of 1 second bar using reqHistoricalData() as that is really what reqHistoricalTicks() is giving me? Or am I wrong?
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Thank you.
