The last column in the data file, labeled as "volume", is the number of contracts bought/sold during the last interval which the snapshot captures, i.e., 1second. As far as accuracy, this can be validated by comparing TWS volume charts with JBT strategy performance charts. I expect a match, but if you go through the actual exercise and post your results to the group, it would be very helpful.
Note that you used the term "number of trades", which is a different quantity. -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en.
