开云体育

twsapi: Timing of events

Robert Carey #131 开云体育 When I started working with TWS ActiveX with VB I explored tickPrice and tickSize first. My observation was that either event occurred once a second and only if a number changed. You could build a set of one second bars of price, or any multiple of it (say 60 seconds), that would be reasonably accurate for trades, bids, and asks. You could develop a concept of the depth of the market by averaging out all the ask sizes for a minute. Ditto for bid sizes. No way can you get anything resembling the tick stream from this data. I don't think IB wants to get into the datafeed business. RCarey toggle quoted message Show quoted text ----- Original Message ----- From: migurull To: twsapi@... Sent: Wednesday, June 19, 2002 12:55 PM Subject: twsapi: Timing of events Hello, I'm evaluating TWS ActiveX component in Visual Basic and I have some questions/problems regarding 'tickPrice' and 'tickSize' events (I'm using the web based Demo system for this evaluations): 1- When last price AND last size change at the same time(new quotation), is there some guarantee about the order in which tickPrice and tickSize events are rised? (ALWAYS tickPrice BEFORE tickSize?) 2- When quotation repeats at the same price and the same size, it seems that there is no tickPrice, nor tickSize events fired. In this case, how to detect that a new quotation had taken place (for example, in order to compute total traded volume by adding all last sizes)? Thanks for your help. Michel. `To unsubscribe from this group, send an email to: twsapi-unsubscribe@...` `Your use of Yahoo! Groups is subject to the .`

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