IB data feed

[drexl]

Thanks for the reply. I am a little embarrassed, as there was no need for me to actually make this post at all. I was in fact replying to a thread on one of the first pages of the forum, before I actually got to read through the entire forum, and my reply was posted last, obviously.

Thereafter, I continued reading, and saw that the issue had actually already been addressed in much detail.

But thanks for your reply.

FYI - As a result of what I have been reading, I have already begun re-coding my 'Trade Robot' to incorporate this 'new' method of calculating 'lastSize' . . .

 

[alanm]

Quote from drexl:
FYI - As a result of what I have been reading, I have already begun re-coding my 'Trade Robot' to incorporate this 'new' method of calculating 'lastSize' . . .

You cannot calculate "last size". You can only know the total size traded between two points in time. It may be one trade or many.

 

[drexl]

Yes, of course.

 

[txuk]

Quote from makosgu:Personally, I use IQFEED with everything else.

I looked into IQFEED and was disappointed to find that they do not offer market depth in their retail feed, only in their institutional feed. I know the DOM figures into your trading strategy, so do you use the institutional? I found it a tad pricey at $750/mo!

 

[mark1]

Quote from dcraig:

You must calculate volume bars from TWS VOLUME events (not LAST_SIZE event). These report cumulative volume. If you do this then volume bars are fairly accurate and fairly closely correspond to backfill data. Jerry Medved has pointed this out several times and he is quite right about it.
..snip

I was not aware there was an option available to change the way QT computes volume data received from TWS.
May I ask you where you find this option in QT?

Thanks IA

 

[j_medved]

there is no such option in QT. QT always uses the cumulative volume

 

[mark1]

gees man that was a fast reply

Ok thanks a lot!

 

[dcraig]

Quote from mark1:

I was not aware there was an option available to change the way QT computes volume data received from TWS.
May I ask you where you find this option in QT?

Thanks IA

Sorry if I was misleading, I meant anybody developing software to use the TWS API must calculate bar volume as stated.

 

[makosgu]

Quote from txuk:

I looked into IQFEED and was disappointed to find that they do not offer market depth in their retail feed, only in their institutional feed. I know the DOM figures into your trading strategy, so do you use the institutional? I found it a tad pricey at $750/mo!

IB DOM... You can also build a top level DOM off of QT's streaming API. I combine IB Data with IQFEED data and build that which you are aware of...

MAK!

 

[txuk]

Very nice solution Mak, thanks for replying.