IB Last Price/Size versus Time & Sales

Discussion in 'Trading' started by skerbitz, Apr 1, 2002.

  1. skerbitz


    ok, here is a rather basic question I have not seen answered anywhere ...

    (and please don't reply to use the search button as I did this for 5 hours already and no info ... include a URL if you do have info hidden somewhere on ET that I haven't found, please ...)

    On TWS (and other various other quote/trading platforms) the ticker is continually updated with Last Price and Last Size information.

    1) For the NAZ, is this information the SAME as the time and sales info on Level II (excluding the bid/ask price/size/MM changes of course)

    2) IF SO, does this information EXCLUDE trades completed out of sequence ? for example, does this ticker include trades that have gone off 1,4,5,20+ minutes previously, OR are these trades that have gone off IN SEQUENCE and are completely up to date ?

    3) IF NOT, then where EXACTLY is the Last Price/Last Size ticker info coming from, and how accurate is it really ?

    It seems to me that IF the ticker is just a reprise of the T&S info without the 'rogue' / out of sequence trades filtered out, this makes the ticker info quite misleading and inaccurate ...

    maybe def knows more about this in regards to IB ???

    any help/info greatly appreciated ...


  2. It's kind of like this: Of all the say 120 trades that happen to take place for a particular stock in one second only the one that happens to be reported just before the TWS updates its data (which happens approximately once per second) is displayed as "Last", which means you get interesting snapshots that are even good for OK almost-realtime charts (as long as you ignore volume), but you will not be able to reproduce Time And Sales from the data you pay IB for.

    However, the API is cool, Java Compiler is free and easy to learn, I made my own little charting program that uses IB's Index and Globex data, since they are pretty fast most of the time. It's not tick-by-tick, but free and more stable than Medved, plus I can do my own fair value and indicator calculations and incorporate them all in a nice compact chart.