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If I get 3 updates at the ask (say volumes of 1,2 & 3) over 1 second, is it valid to say that I had a total volume at the ask of 6 over that second or an average volume of 2? (or both).

You should check out the Yahoo group. http://finance.groups.yahoo.com/group/TWSAPI/

I am evaluating the NT/IB combo and I'm not sure I would use it for live unattended trading. Overall NT has nice features and it's easy to automate if you know a little C#, but it chews memory like there is no tomorrow also level 2 subscriptions spontaneously error then stop working (support...

I do large scale, distributed, real time systems work for telecoms and Java and C# are never going to be faster than well coded C or C++, the fact that there is a whole extra layer before actual execution makes it physically impossible for a start plus you really don't want a garbage collection...

I'll put another vote in for NinjaTrader, I was using MT4 but the lack of a debugger and many subtle traps often resulted in many hours of chasing my tail. The NinjaTrader/C# combo is like a breath of fresh air, their on-line support is about a million times more friendly as well.

Thanks guys, it came back after about an hour, but it was too late by then, I'm not really sure what was going on as I could ping the server. Is there a preferable server to be connected to?

Is anybody else in the Asia region having problems with IB tonight? This is the second night in a row I have been locked out of the London open.

IB FIX is only for order entry, all rest has to be done via the TWS API, God only knows why...

FIX is a token separated, plain text protocol, just like the protocol between TWS and the API clients, each message may contain maybe half a dozen to a dozen tokens for basic trading. So size is not really an issue when most connections are in the megabit range and each message is like 1/10 of a KB.

http://finance.groups.yahoo.com/group/TWSAPI/ http://www.interactivebrokers.com/cgi-bin/discus/board-auth.pl?file=/2/2.html&lm=1201121223

I've used IB and from a design point of view it's a bit of a mess, functions take lots of arguments and they are not very well documented. On a C++ level the interface uses MFC types which is fairly retro at this point. On the upside it's fairly easy to learn the basics and get something...

...or their beautiful FIX solution which requires you to run not one but two pieces of bloat Java shiteware!

Point taken, I'm aware it does not give me a trading edge. I'm just more concerned with not re-inventing the wheel if and when I have to shift. As for the 3-filled messages, err...I'd worked that out, you can develop a finite state machine around the order id, the problem being that nobody...

Cheers! :)

Thanks for the reply, just to clarify, are you saying you would assume 0.6% of the trade size?

Really?! that's pretty much par for the course with IB I suppose, I'm looking at it in a longer term focus, going from FIX implementation to FIX implementation is surly quicker than recoding for a new API. But I appreciate it won't be all roses & kittens.

I don't see what load has to do with it, all the broker API's I have looked at (IB, MB, Genesis) all have gotchas or are just flat out awful (not to mention unstable). The major benefit of FIX as I see it (apart from the somewhat enhanced broker transparency) is the well defined order model...

So even QuickFix may be complete overkill for basic trading? It would seem that to develop something basic would not be too hard. Someone mentioned that you have to generate $100 of commissions, what time frame is this over?

I just know somebody could answer this if they wanted to... If the above figures are single trade sizes or daily volumes then why does the web page deal in monthly volume? I'm not sure I could make such a simple thing so confusing if I tried.

Hi Guys, Thank you for your input. I was reading the FIX spec last night, there certainly are a huge number of messages. I assume only a small subset of this functionality is needed for basic trading operations?