Streaming quotes data

[mikev777]

Hello all,

I am new to API Desktop and have several questions:

1/
Is there a way to get trades executed with volume on a streaming basis, but also be able to differentiate whether that trade was the bid or ask being hit?

As far as I can tell the Basic Quote structure gives information on the last Last, Ask, or Bid but does not say whether the last Last was on the Bid or the Ask. And the last Ask (or Bid) may actually be a few minutes ago.

2/
When the documentation specifies AskSize or BidSize, what does that mean? I thought the Asks or Bids were just quotes. Are they actually trades executed on Ask or Bid, with the corresponding size of those trades.

In that case, I could always compare the Last and LastSize with the Ask/AskSize or Bid/BidSize. But that would still not solve the problem if Ask = Bid and AskSize = BidSize.

3/
Can I use the Time and Sales structure to do question 1? As far as I can tell, Time and Sales allows you to request n number of days in the past. How would I do it if I want real-time data to come?

Or am I completely missing something?

Thank you for your help,
Michael

[Guest]

The Last is the last trade price.

The AskSize and BidSize are for quotes.

TimeAndSales cannot be streamed, but should be able to derive that information from XMLGetBasicQuote.

[mikev777]

Thanks Robi,

Does that mean I can find out if the Last price was the Bid that was being hit by using XMLGetBasicQuote and comparing Last to Bid (i.e. Last == Bid) for that Basic Quote?

Couldn't there be a slight lag between the Last and Bid in this case? Meaning, isn't the Bid in XMLGetBasicQuote the price at which the next Market Maker is willing to buy, and not the price at which the last trade hit the bid if the bid was being hit?

What I'm looking for is the 'tsfTradeBid' and 'tsfTradeAsk' bitflags that are found in the TimeSalesData data structure. This tells me if the trade transaction was a trade where the Bid or Ask was being hit.

By looking at the example in the documentation, it seems I can use Time and Sales to get real-time data. Are you saying this does not work on streaming tick data? I guess I'd have to allocate a buffer and release frequently.

Is this possible? I haven't actually written a line of code yet. I'm still trying to figure out how this would work in Visual C++ with some C code I have.

Thanks,
Michael

[mikev777]

I actually got everything to work over the weekend, using Time & Sales. It works fine.

However, I compare the Time & Sales data to another provider I have and, sometimes, it's a little different. OK, for sure, the 2 data providers are aggregating data differently (sometimes i need to sum up trades on the eSignal data feed to get a full lot size on the other).

But even after I do that, sometimes data is different. At times, I have more trades on the eSignal data feed and, at other times, I have more trades on the other data feed.

Most of the times it's just one lot size and the type of work I'm doing does not require me to be that precise. But I've seen differences of even 10 lot sizes. If this can get worse, it would be troubling.

Do you know why this is happenning?

Michael

[mikev777]

Actually, I've now noticed a lot size difference of 20.

Michael

[Guest]

It's tough to answer this question, considering I do not know anything about what you are comparing it against. The differences could be in trade corrections and cancellations, but I am only speculating.

[mikev777]

The data feed I'm getting is from Integrated Trading Solutions, that provides their solutions to companies like eTrade, Solaris Securities, and AB Watley.

Is this common that different providers could have minor differences in their data? If it were only a few lots, I guess it could be explained by what you say.

Is it possible that certain types of traders (CTI1,2,3,4) may not be fully accounted by certain data feeds, which would account for differences?

I know for a fact that candlesticks on eSignal and Tradestation do not appear the same sometimes.

I just want to make sure that the TS data I'm using through eSignal can be relatively counted upon.

Michael

[Guest]

I don't personally know anything about Integrated Trading Solutions, but our reliability has been verified by independent sources through a number of awards and accolades.