On Sunday, October 12, 2014 11:22:50 PM UTC-5, Eugene Kononov wrote: > > Three things: > 1. JBT records 1-second snapshots, not 1-minute bars. > I meant 1sec, that was a typo.
2. IB does not disseminate tick data through either TWS or the API, so you > will miss the ticks. What you get from IB are the market data samples, > approximately 4 times per second. > I wasn't sure what IB does wrt RTVolume, api doc reads to me like it should be T&S real time volume updates. So its good to have your feedback on that. 3. You sound like you don't use JBT at all, so it's not clear to me why you > post your question here. The term "RTVolume" doesn't mean anythything to > ost people here. You probably want to post in the IB API discussion group. > Yes, I haven't used JBT in a while. On the contrary I posted here precisely because I assumed folks who use JBT would be well versed with what RTVolume is and my question about missing volume would be easily answered. Also maybe some of them use tape reading with DOM for their strategies, anyways > On Oct 12, 2014 11:09 PM, "Random" <[email protected] <javascript:>> > wrote: > >> >> 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]> 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]. >>>> 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. >>>> >>> >>> -- >> 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.
