Hi Stephen, Here's a link to the most recent thread on the TWS Yahoo Group concerning how to decode the tick and volume stream from the mktData. It's full of knowledge gained the hard way, especially regrading the double volume tick bug. I think it would be best to read that thread where the topic was thoroughly hashed out.
https://groups.yahoo.com/neo/groups/TWSAPI/conversations/topics/29480 -- Stergios Marinopoulos ________________________________ From: Stephen Choularton <[email protected]> To: [email protected] Sent: Thursday, February 27, 2014 3:41 PM Subject: Re: [R-SIG-Finance] meaning of IBroker mktData information I hope someone can help me with this. No one has replied so far. I am working on the principal that: 1. Volume is issued each time a trade takes place and is the cumulative volume for the day, and 2. lastPrice is the last price a trade took place and that is only issued again when the price changes. This would lead me to be able to deduce the size of each deal from the change in volume and apply the (current) lastPrice to the transaction. Have I got that right? Even if I have I still have a problem. Logic dictates that Volume !< 1 but for example if I extract just the price volume data I get some examples like this: 10:17:12.158900 volume: 135 Price: 33.13 10:17:13.720741 volume: -47 Price: 33.13 10:17:22.875066 volume: 589 Price: 33.15 The original data was: <20140210 10:17:12.158900> id=1 symbol=NAB Volume: 263348 <20140210 10:17:13.048749> id=1 symbol=NAB askSize: 2334 <20140210 10:17:13.720741> id=1 symbol=NAB Volume: 263301 <20140210 10:17:13.721744> id=1 symbol=NAB lastTimestamp: 1391987823 <20140210 10:17:13.723745> id=1 symbol=NAB lastPrice: 33.16 <20140210 10:17:13.724759> id=1 symbol=NAB lastSize: 88 <20140210 10:17:13.943221> id=1 symbol=NAB askSize: 2246 <20140210 10:17:17.308927> id=1 symbol=NAB askPrice: 33.15 askSize: 589 <20140210 10:17:17.309927> id=1 symbol=NAB askSize: 589 <20140210 10:17:18.195319> id=1 symbol=NAB askSize: 889 <20140210 10:17:20.466965> id=1 symbol=NAB bidSize: 3998 <20140210 10:17:21.219959> id=1 symbol=NAB askSize: 589 <20140210 10:17:22.868062> id=1 symbol=NAB lastTimestamp: 1391987832 <20140210 10:17:22.873064> id=1 symbol=NAB lastPrice: 33.15 <20140210 10:17:22.874064> id=1 symbol=NAB lastSize: 589 <20140210 10:17:22.875066> id=1 symbol=NAB Volume: 263890 <20140210 10:17:22.877067> id=1 symbol=NAB bidPrice: 33.14 bidSize: 762 <20140210 10:17:22.878067> id=1 symbol=NAB askPrice: 33.16 askSize: 3332 [[elided Yahoo spam]] I know you might say just use lastPrice and lastSize but logic dictates you could have a lastPrice and multiple lastSize's but not multiple lastPrice's but see three lastPrices in a row below: 10:15:45.332624> id=1 symbol=NAB lastSize: 93 10:15:45.987894> id=1 symbol=NAB lastSize: 50 10:15:46.888228> id=1 symbol=NAB lastSize: 104 10:15:47.447062> id=1 symbol=NAB lastSize: 50 10:15:48.552406> id=1 symbol=NAB lastPrice: 33.10 10:15:49.450579> id=1 symbol=NAB lastSize: 42 10:15:50.201786> id=1 symbol=NAB lastSize: 122 10:15:51.455403> id=1 symbol=NAB lastSize: 50 10:15:54.460002> id=1 symbol=NAB lastPrice: 33.085 10:15:55.461604> id=1 symbol=NAB lastPrice: 33.10 10:15:56.463385> id=1 symbol=NAB lastPrice: 33.11 10:15:57.568193> id=1 symbol=NAB lastSize: 58 10:15:58.466236> id=1 symbol=NAB lastPrice: 33.10 10:15:59.585589> id=1 symbol=NAB lastPrice: 33.11 10:16:00.457302> id=1 symbol=NAB lastSize: 8 10:16:01.344762> id=1 symbol=NAB lastSize: 50 10:16:02.016870> id=1 symbol=NAB lastSize: 85 10:16:02.900224> id=1 symbol=NAB lastSize: 46 10:16:03.654076> id=1 symbol=NAB lastSize: 50 10:16:04.464855> id=1 symbol=NAB lastPrice: 33.095 (I have only shown the relevant lines.) Have I got this wrong? All I am trying to do is get accurate deal by deal price and size data. Stephen Choularton PhD, FIoD _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. [[alternative HTML version deleted]]
_______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
