I am using IBrokers R API to collect IB market depth data (reqMktDepth(...) for ESU15, ES expired in Sep 15)
What is each column description? Especially column 3, 4 and 5. Please see the sample data below.
It seems,
1. Data
2. Time
3. ?
4. ?
5. ?
6. price?
7. volume?
Many thanks for your help
Ref:
https://cran.r-project.org/web/packages/IBrokers/IBrokers.pdf
The CSV data
20150728 00:00:24.155280,0,0,1,2062.25,568
20150728 00:00:24.194745,1,0,1,2062.00,470
20150728 00:00:24.195280,2,0,1,2061.75,1106
20150728 00:00:24.195647,3,0,1,2061.50,832
20150728 00:00:24.195994,4,0,1,2061.25,1096
20150728 00:00:24.196352,5,0,1,2061.00,1026
20150728 00:00:24.196688,6,0,1,2060.75,753
20150728 00:00:24.197032,7,0,1,2060.50,759
20150728 00:00:24.197359,8,0,1,2060.25,896
20150728 00:00:24.197700,9,0,1,2060.00,829
20150728 00:00:24.198037,0,0,0,2062.50,64
20150728 00:00:24.198360,1,0,0,2062.75,357
20150728 00:00:24.198718,2,0,0,2063.00,392
20150728 00:00:24.199057,3,0,0,2063.25,737
20150728 00:00:24.199379,4,0,0,2063.50,648
20150728 00:00:24.199710,5,0,0,2063.75,646
20150728 00:00:24.200029,6,0,0,2064.00,828
20150728 00:00:24.200361,7,0,0,2064.25,885
20150728 00:00:24.200704,8,0,0,2064.50,767
20150728 00:00:24.201022,9,0,0,2064.75,793
20150728 00:00:24.568122,9,2,1,0,0
20150728 00:00:24.568746,0,0,1,2062.50,4
20150728 00:00:24.569226,1,1,1,2062.25,538
20150728 00:00:24.569729,2,1,1,2062.00,467
20150728 00:00:24.570155,3,1,1,2061.75,1071
20150728 00:00:24.570583,4,1,1,2061.50,833
20150728 00:00:24.571085,5,1,1,2061.25,1070
20150728 00:00:24.571536,6,1,1,2061.00,950
20150728 00:00:24.572009,9,1,1,2060.25,895
20150728 00:00:24.572385,0,2,0,0,0
20150728 00:00:24.572754,9,0,0,2065.00,810
20150728 00:00:24.573178,0,1,0,2062.75,349
20150728 00:00:24.573579,1,1,0,2063.00,404
What is each column description? Especially column 3, 4 and 5. Please see the sample data below.
It seems,
1. Data
2. Time
3. ?
4. ?
5. ?
6. price?
7. volume?
Many thanks for your help
Ref:
https://cran.r-project.org/web/packages/IBrokers/IBrokers.pdf
The CSV data
20150728 00:00:24.155280,0,0,1,2062.25,568
20150728 00:00:24.194745,1,0,1,2062.00,470
20150728 00:00:24.195280,2,0,1,2061.75,1106
20150728 00:00:24.195647,3,0,1,2061.50,832
20150728 00:00:24.195994,4,0,1,2061.25,1096
20150728 00:00:24.196352,5,0,1,2061.00,1026
20150728 00:00:24.196688,6,0,1,2060.75,753
20150728 00:00:24.197032,7,0,1,2060.50,759
20150728 00:00:24.197359,8,0,1,2060.25,896
20150728 00:00:24.197700,9,0,1,2060.00,829
20150728 00:00:24.198037,0,0,0,2062.50,64
20150728 00:00:24.198360,1,0,0,2062.75,357
20150728 00:00:24.198718,2,0,0,2063.00,392
20150728 00:00:24.199057,3,0,0,2063.25,737
20150728 00:00:24.199379,4,0,0,2063.50,648
20150728 00:00:24.199710,5,0,0,2063.75,646
20150728 00:00:24.200029,6,0,0,2064.00,828
20150728 00:00:24.200361,7,0,0,2064.25,885
20150728 00:00:24.200704,8,0,0,2064.50,767
20150728 00:00:24.201022,9,0,0,2064.75,793
20150728 00:00:24.568122,9,2,1,0,0
20150728 00:00:24.568746,0,0,1,2062.50,4
20150728 00:00:24.569226,1,1,1,2062.25,538
20150728 00:00:24.569729,2,1,1,2062.00,467
20150728 00:00:24.570155,3,1,1,2061.75,1071
20150728 00:00:24.570583,4,1,1,2061.50,833
20150728 00:00:24.571085,5,1,1,2061.25,1070
20150728 00:00:24.571536,6,1,1,2061.00,950
20150728 00:00:24.572009,9,1,1,2060.25,895
20150728 00:00:24.572385,0,2,0,0,0
20150728 00:00:24.572754,9,0,0,2065.00,810
20150728 00:00:24.573178,0,1,0,2062.75,349
20150728 00:00:24.573579,1,1,0,2063.00,404