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' . . .
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.
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!
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.
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!