Separate Quote and Trade Info

[wyatta]

Hello All,

Using OnQuoteChanged gives me bid, ask, last, bidSize, askSize, and lastSize information all at once. Using this I cannot necessarily tell if a trade has happened. (The last price and size could possibly be the same as the previous trade). I can track the bid and ask information and detect quote changes obviously, but there should be a more convenient way to handle quotes and trades. If there isn't a way already, it would be nice to be able to get quote information, including a timestamp (preferrably to the 1/100th of a second), and trades, with timestamp, through separate requests. Or possibly add flags denoting what has changed within the quote structure. Could someone point me to this if it exists already? Is this maybe something that is possible using the Standard eSignal API rather than the eSignal Desktop API?

Thanks in advance for your help!

Regards,
Wyatt

[GenSpoo]

Hi Wyatt,

Take a look at RequestTimeSales.

Cheers... George

[wyatta]

Hi George,

I'd like to get this data in real-time, which is the only way I can get options data, correct? Basically, I need to differentiate between a quote change and when a trade happens...both of these with actual timestamps so I don't have to rely on my PC's timestamp.

Is this something I can do with the Standard eSignal API? How can I obtain this doc? I've tried emailing turbofeed support and they have not gotten back to me at all!

Thanks in advance!
Wyatt

[GenSpoo]

Hi Wyatt,

I don't know much about options or how eSignal delivers option quotes. I do know that at least for stocks and futures, I use the Desktop API and use the RequestTimeAndSales function. This differentiates between quote changes and trades and includes a time stamp for each (and the data is received in realtime just like in the OnQuoteChanged event). Please take a look at that function and see if it does what you need.

As for the Standard API, I don't have access to it and do not know anything about it. Sorry.

Cheers... George

[wyatta]

George,

Thank you for your timely reply! I guess I did not realize from reading the Desktop API doc that I would receive realtime information after doing a RequestTimeSales. I will pursue this further with options.

Regards,
Wyatt