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real-time level-i streaming for volume information - Am I getting all the volume

 

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Hi,

I have set-up streaming for level-i data (multiple symbols) by using the following construct :


....? ? m_pClient->reqMktData(j, ContractSamples::USStockAtSmart_NEW(i), "", false, false, TagValueListSPtr());? ? ?....

The data comes back ok and I am capturing volume data as follows :??

....? ? if (field == 8) {
????? my_ts_data.the_array[7][my_symbol_rev_map] = size * 100;? ? // from tickSize callback... (field and size are from callback argument list)
??? }
....

Are their other field and areas that contain volume that I may be missing? Thank you.

Best,
? Chris
 

lists all tick types you can expect or request, Chris. Volume (#8) is a good overview of trade volume, but it only counts regular trades and does not include odd lots or any of a long list of "unreportable" trades.

You might find it helpful to also subscrive to "RT Volume" (#48) and "RT Trade Volume" (#77) as described in "RT Volume" includes "unreportable" trades while "RT Trade Volume" does not. Those two tick types return incremental volume numbers of recent trades.

´³¨¹°ù²µ±ð²Ô

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