Real-Time 15 min Volume Data

[dfaulkner44]

I am using the C++ sample to create 15 min real time data, using GetBasicQuote() calls.

While the price data seems OK, the vol data is off. To construct vol, I zero out vol every 15 mins. On OnQuoteChange() call, I add the value of Quote.lLastSize to the vol data. I then record the Volume for the 15 minute sample at the end of 15 minutes for that ticker, zero that volume, and re-start.

Using another source that uses vol deltas every 15 min, the ESignal is 3 - 5 times too big. If I add up all 15 min data vol from ESignal at the end of the day, same results: vol is 3 - 5 times too big.

Are all "Quote.lLastSize" legit?

Also, there are no examples of C++ usage of XMLGetBasicQuote() and so I cant integrate this into my app. And why is the state of the docs for C++ so poor?

[Guest]

There may not be a sample that have the GetBasicQuote() function in C++. but you can surely use it if you would like. The documentation is not really specific to any development language, which is why we have created samples in the most commonly used ones.

As for the volumes, are you sure that you are filtering out only trades or are you adding up the sizes for the bids and asks as well?

[dfaulkner44]

Thanks for the quick reply and your help.....

How do you filter out, or know that the call is for bid/ask when OnQuoteChange() is called? It would seem that this is probably the problem, but there is no field to say what the event is for.

Also....if you use the existing code to call XMLGetBasicQuote() within the example, you get compiler errors:

XML xmlQuote =(*m_piHooks)->XMLGetBasicQuote(S2(sTicker));

bad type (XML), and XMLGetBasicQuote is unrecognized. Certainly a code example that compiles would help, especially if the code were within the DesktopAPI C++ sample code, thanks.