Tick by tick data on TWS

Discussion in 'Data Sets and Feeds' started by e-miNY, Sep 7, 2006.

  1. feb2006

    feb2006

    As promised in my previous posting here the ZeroVersion 2,01 of my ExcelTicker.
     
    #21     Sep 11, 2006
  2. Thanks Martin,

    Finding my way round slowly....ironicaly I used to be a software engineer many years ago. The whole environment takes getting used too for us old timers. Of course nowadays its just a case of learning 5000 odd API calls and passing the correct parameters. I prefer the old way ;-)

    Looking at things I am guessing it might be as easy to do it in something like visual studio. I guess it has controls for grids of figures graphs etc.

    Cheers,
    Nick
     
    #22     Sep 11, 2006
  3. feb2006

    feb2006

    Hi Nick,

    with latest VisualStudio2005 you really can do great things. And instead of costing hundrets of Dollars for earlier versions it's even free (ExpressVersion).

    Nevertheless I think it's not advisable to learn that new stuff for a trader. Versions too often change so you keep learning and learning loosing valuable trading time.

    Better keep it simple. As long as possible do it with Excel using the knowledge you already have.

    That's my opinion.

    Regards, Martin
     
    #23     Sep 11, 2006
  4. Forget to say.
    They are not really 0.2-0.3 bar chart.

    It should be 0.2-0.3 line chart due to the fact IB returns only close (Highs and lows are missing).
     
    #24     Sep 11, 2006
  5. feb2006

    feb2006

    You are right, Henry, until now IB delivers data bars without low and high. They call it 'snapshot' taken every 0.2 to 0.3 seconds.

    But IB accepted improvement proposal number 1035 of kiwi_trader, so there might be hope that we'll get additional high and low soon.

    With real high and low bars charting these data individually in Excel, as discussed above, would lead to even better results.
     
    #25     Sep 11, 2006
  6. OK,

    I am seeing a couple of things on DAX with IB that concern me. DAX is pretty thin so should have no problem keeping up. Every now and then I get a tick with 100's if not 1000+ contracts. This is like getting 1000 on ER are YM it hapens a few times a day. I guess it must be due to aggreagating (Does Eurex aggregate ? I believe so).

    The wierd thing is that this often leaves the bid and ask unchanged. It's like a block trade.

    Strange.
     
    #26     Sep 12, 2006
  7. I'm not seeing any problems with IB DAX data. In fact I can't rememebr the last time I saw any problems with IB DAX feed. Are you using cumulative VOLUME events to calculate bar volume ? Using LAST_SIZE events is not reliable.

    As the rollover date for DAX approaches you will often get big blocks. It's a real nuisance and you should consider filtering above a certain size.
     
    #27     Sep 12, 2006
  8. Hi DC,

    <blush> You know I didn't know that Eurex supported block trades, what a newb.

    Yes I am looking at the change in cumlative volume.

    Cheers,
    nick.

    EDIT: if you do want to filter I had a look at the Eurex site and Block trades on DAX must be >250 contracts
     
    #28     Sep 12, 2006
  9. Thanks for the info.
     
    #29     Sep 12, 2006
  10. gpw797

    gpw797

    my german is rusty, :) can we add / change symbols (idealpro)?
     
    #30     Oct 26, 2006