Understanding IESignal.BasicQuote

[Dierk Droth]

Hi,

IESignal.BasicQuote has fields for last bid/ask/trade plus the associated size.

How to figure out that an IESignal.BasicQuote holding unchanged trade price and size actually is the same trade and not a new one at the same price level with the same size ?

Regards

[Dierk Droth]

Anyone ?

[GenSpoo]

If you are concerned with that level of detail, why not use Time and Sales instead of Quotes?

Cheers... George

[Dierk Droth]

Thanks for your reply.

a) So I understand you currectly that on using IESignal.BasicQuote there is no way to overcome this issue, right ? (just trying to understand the concept)

b) As for times and sales: Interesting idea, but wouldn't there be ressource issue, since all "seen" time and sales data will be kept in memory ? AFAIK there is no way to release it except calling ReleaseHistory and re-requesting it, right ?

Regards

[GenSpoo]

a) So I understand you currectly that on using IESignal.BasicQuote there is no way to overcome this issue, right ? (just trying to understand the concept)

I do not know if an OnQuoteChanged event is triggered if a new trade comes through with the same price and volume as the previous trade. That would be the only way I would know of to tell.

b) As for times and sales: Interesting idea, but wouldn't there be ressource issue, since all "seen" time and sales data will be kept in memory ? AFAIK there is no way to release it except calling ReleaseHistory and re-requesting it, right ?

Correct. Time and sales are more resource intensive. BTW, if you RequestTimeSales, you want to ReleaseTimeSales, not ReleaseHistory.

Cheers... George

[Dierk Droth]

Thanks for comments.