Thanks for your reply. I haven't looked a the JBT code but I assume that the 1minute volume is computed using RTVolume tick messages, and must be capturing the tick level information that I'm missing via tickPrice/tickSize.
I'll look at RTVolume modifications for my code, but wonder if anyone here records tick data and can find that big trade (more incentive for me to make code changes :) But thanks again On Sunday, October 12, 2014 7:44:53 PM UTC-5, Eugene Kononov wrote: > > JBokkTrader does not record the volumes for single trades, but rather the > volumes of trades that occurred within the last second. With that in mind, > I think I can confirm the unusually large volumes in those two instances > that you referred to. Here are the 1-second samples recorded by JBT: > > 101014,100454,3.85,1920.5,1920.75,5189 > 101014,102535,29.26,1909,1909.25,6183 > > From the above recorded data, it can be seen that 5189 contracts were > traded in one second at 10:04:54, and 6183 contracts were traded in one > second at 10:25:35. > > > > On Sun, Oct 12, 2014 at 6:00 PM, Random <[email protected] <javascript:>> > wrote: > >> >> Hi All, >> >> Am aware that users of JBookTrader use RTVolume, and wonder if T&S showed >> the trades that nanex tweeted about >> >> Nanex - Oct 10, 10:04:54 - a 2600 contract sell in $ES_f >> Nanex - Oct 10, 10:25:34 - 2300 eMini's sold at once (through 1910) >> >> This is what I get from the tickPrice snapshots, clearly no 2300 order >> except for the nbbo widening for half a second. >> >> Time, Side, Last, Size, Nbbo >> 10.25.34.061,B,1910.25,1,1910.25/1910.50 >> 10.25.34.666,B,1910.00,1,1910.00/1910.25 >> 10.25.34.846,B,1909.00,1,1909.00/1910.00 >> 10.25.35.415,B,1909.00,9,1909.00/1909.25 >> >> Same for the 2600 contract trade. I use tickPrice/tickSize calls to >> create the T&S, so I thought I would ask folks here. >> >> Can anyone confirm. >> >> Thanks in advance >> >> -- >> You received this message because you are subscribed to the Google Groups >> "JBookTrader" group. >> To unsubscribe from this group and stop receiving emails from it, send an >> email to [email protected] <javascript:>. >> To post to this group, send email to [email protected] >> <javascript:>. >> Visit this group at http://groups.google.com/group/jbooktrader. >> For more options, visit https://groups.google.com/d/optout. >> > > -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To unsubscribe from this group and stop receiving emails from it, send an email to [email protected]. To post to this group, send email to [email protected]. Visit this group at http://groups.google.com/group/jbooktrader. For more options, visit https://groups.google.com/d/optout.
