Getting Live TimeSales

[damageboy]

Hi,
I was wondering what is the proper way of continuously receiving TimeSales data from ESignal.

The desktop API reference doesn't seem to mention anything specific about this.

It is clear that the ".RequestTimeSales" method of the IHooks interface is "meant" for historical time sales retrieval on one hand,
on the other hand, it is possible to record and get ".GetNumTimeSalesRTBars" for each TimeSales request handle.

Should I simply request TimeSales and specifiy 1 day in the time sale filter to get a continuous stream of TimeSales?

[AChan]

The RequestTimeSales method provides both historical T&S data as well as real-time T&S data. If you set day filter to 1, it will provide 1 day of T&S historical data and real-time data as well. The key is to whether you are using GetNumTimeSalesRTBars or GetNumTimeSalesBars. If you want to obtain real-time data, you will need to use GetNumTimeSalesRTBars and keep track of how many real-time bars you received in the previous event and display only the new bars in the current event.

For further detail, you can take a look at our VB Sample on our fileshare site under the ActiveX Development Group.

[damageboy]

That was my understanding of the API as well.

What I want to know is can I get ONLY the realtime T&S data.

If I understand the API correctly setting the filter to 1 day will force the data manager to get all of today's T&S, both historical and real-time..
...after I get today's "Historical" T&S I will have to call the GetNumTimeSalesRTBars to detect new RT bars (every time the TimeSalesChanged event is fired).

While this is OK, I would like to understand if there is a way to save the loading time for today's history (i.e.: get only the RT bars)

While on the same subject, I want to make sure that the RequestTimeSales method also works for realtime data continuously for 24hrs markets/symbols such as the S&P 500 E-Mini.
i.e. that I can call RequestTimeSales ONE time on Sunday midnight and theoretically have it retrieve data throughout the entire coming week without having to call the function again (assuming nothing crashes...)

[AChan]

Your understanding is correct. However, historical bars and real-time bars are returned at the same time, there is no way to separate them. However, for your purposes, in OnTimeSalesChanged event handler, you can choose to only handle lNumRTBars by calling GetNumTimeSalesRTBars. You can ignore the historical bars.

As for data request, you should be able to make only one call and subsequent updates should appear when they come in, there is no need to re-request data as long as your application and eSignal is up and running correctly.

[dhh]

How many days of historical TS data for a stock can I get with Desktop API? In other words, what maximum days can I set filter to and get TS data for each day?

Thanks,

dhh

[AChan]

You can obtain up to 10 days of historical T&S data from the eSignal Desktop API.

[AChan]

You can take a look at our VB sample for further detail. You can actually bring up multiple T&S windows. For each separate symbol, you have a unique tsHandle to keep track of data for each symbol.

Hi AChan,

How do I receive two symbol's realt time TS at same time? Please give me some instructions

Thank you,

dhh

[Cone Killer]

For following multiple handles, you need a quick way of retrieving the associated symbol and RTBar count. I created a collection of custom data objects indexed by handle. It's working so far.

[Cone Killer]

Time Stamp Resolution

The time stamp provided by eSignal appears to be only as accurate as the nearest second. It is common to have more than one trade per second.

Questions: Is it possible to get a more precise time from eSignal? Otherwise, is there a suggested method of appending a more precise time to a trade?

[AChan]

You are correct. The eSignal Desktop API provides up to the second timestamp for T&S data. This is the highest precision supported at the moment.

[dhh]

How can I know if it is last TimeSalesChanged event ?

After RequestTimeSales, API Applications will receive TimeSalesChanged event . How can I know if it is last TimeSalesChanged event ?

For example, After market closes, I try to get current day's TS data for a stock. Actually I only care about regular hour TS data. It's easy for big trading number stock to know last event, just check time stamp (i.e, 6:30:01)

But for these small trading number stock, it's not easy because there may not have any trade until 6:40 ( 10 mintues later than market open). Do I have to set timer?


Thanks.

[AChan]

There isn't a way to determine if an event is the last T&S event. You will have to rely on the timestamp or set up some kind of timer or time filter on your own.