IB API ActiveX / Hong Kong Stock Data

Discussion in 'Data Sets and Feeds' started by hiromichi, Sep 28, 2009.

  1. hiromichi


    Good morning everybody I am new here and I would be grateful if anyone can help solve this problem...

    I am doing some programming job with IB API ActiveX lately to deal with hong kong stock data, but I have some problem about the data feed.

    I found out the the same transaction recorded in the stock exchange will sometimes be reported by the API twice.

    For example,

    consider the following piece of data feed of 941, STK, SEHK, HKD
    lastTimestamp = 1254189609
    volume = 981500
    lastPrice = 77.3
    lastSize = 5500
    lastSize = 5500
    volume = 987000

    So we can see that the actual volume of transactions between two "volume" tick is actually (987000-981500), that is 5500 shares being transacted at $77.30 in the stock exchange (which is correct) but the API actually reported twice lastSize = 5500 through the data feed.

    This situation does not always happen. Sometimes only 1 time of lastSize can be observed while in the above-mentioned case two times of lastSize are observed.

    I would be very grateful if you can help me to solve this problem!

    Thank you very much.

  2. hiromichi


    Thank you so much Billie.

    I will try to ask them.