Using Time Sales to get historical data

[kenlam]

Hi there,

I am using Time Sales to pull realtime and historical data. But I cannot get the bid/ask quotes in historical data like that aof realtime quotes. How can I get it? Please help.

Thanks,
Ken

[kenlam]

Hi there,

I try again today with the same program. No problem now. I can get the bid/ask tick as well. However, the data lost is serious.

I pulled the symbol "HSI H8-HKF" of today 3/25/2008. The total traded volume of my pulled result is 73211 contracts only. But the true traded volume is 104112 contracts. Over 20% lost.

How can I fix this? I am using VB2003 and the program show me the bars received. When I see the number of bars do not increase anymore, I click the button to trigger the data export to file. What can I do to improve this?

Thanks!

Cheers,
Ken

[StarrM]

Hi Ken,

Volume on futures is sent by the exchange once per day for the previous day. This is different for some electronic contracts, but for the Hang Seng you will not see that figure match your calculations for the present day.