I would like to track the real time intraday up volume (at ask price) versus the down volume (at bid price) in the Dow e-mini future contract YM. I see the function Getrtdata() can return ask & bid prices to compare with the last trade and trade volume. I am using the IB data feed and trying to understand how it handles sending the price and volume data. If anyone has done something similar to this or can offer afl suggestions, I would greatly appreciate it.
Thanks, Joe
