IB TWS Time & Sales

[paradox]

I think I read somewhere that access to time&sales info would be added to TWS.

Can you confirm Ibsoft?

 

[IBsoft]

Quote from paradox:

I think I read somewhere that access to time&sales info would be added to TWS.

Can you confirm Ibsoft?

Yes. The first version will allow you to click on the bar in a chart and see the corresponding times&sales (or times&quotes if applicable).

 

[laocoon]

Quote from IBsoft:

Yes. The first version will allow you to click on the bar in a chart and see the corresponding times&sales (or times&quotes if applicable).

Will the T&S feature also be accessible through the API?

Thanks

 

[IBsoft]

Quote from laocoon:

Will the T&S feature also be accessible through the API?

Thanks

Not at the beginning,

 

[zxcv1fu]

I use Quote Tracker, it has the raw data for eminis too. Think they are the T & S. Let me know if it is untrue.

 

[alanm]

If QT is getting the data from IB, it is not true T&S. It can't be if IB does not provide it. It's the snapshot data, perhaps with some enhancement to make the volume total correctly.

IBSoft: Can you confirm that you are saying you will provide true T&S retrieval? This seems contrary to the earlier comment about not changing the quote strategy (which I like).

If you mean you will allow snapshot retrievals of a time range of actual rows from the tape, that would be nice. I'd like to be able to do it from a market data row, too - not just a chart. A quota system could keep this from being abused via the API, yet still provide the ability to get the data for some instruments from TWS when that data is not easily available elsewhere (like NYMEX products, last time I searched).

 

[j_medved]

With QuoteTracker if IB is the datafeed, then the raw data window is not showing true T&S unless the symbol being tracked happens to trade less often than IB updates.

When using a non-tick datafeed, the volume values for each row in the raw data window can represent volume from multiple trades

 

[IBsoft]

Quote from alanm:

If QT is getting the data from IB, it is not true T&S. It can't be if IB does not provide it. It's the snapshot data, perhaps with some enhancement to make the volume total correctly.

IBSoft: Can you confirm that you are saying you will provide true T&S retrieval? This seems contrary to the earlier comment about not changing the quote strategy (which I like).

If you mean you will allow snapshot retrievals of a time range of actual rows from the tape, that would be nice. I'd like to be able to do it from a market data row, too - not just a chart. A quota system could keep this from being abused via the API, yet still provide the ability to get the data for some instruments from TWS when that data is not easily available elsewhere (like NYMEX products, last time I searched).

Yes, we will provide limited t&s and q&s retrieval. This data comes from our charting database.

The delivery of realtime quotes and sales to the TWS will not change to tick-by-tick.

 

[alanm]

Are you saying that the charting database contains real tick-by-tick data?

 

[IBsoft]

Quote from alanm:

Are you saying that the charting database contains real tick-by-tick data?

yes