OnTimeSalesChanged - need just trades

[cgaylord]

I'm not sure, but it seems like we're getting notified (vb.net) when a bid or ask comes through as well as a trade in the "OnTimeSalesChanged" event.

When we request "RequestTimeSales" we set the filter:

filter.bQuotes = 0
filter.bTrades = 1

When we retrieve the bars I think we are only getting trades, but haven't verified that.

Should we just be being notified of trades in the "OnTimeSalesChanged" event?

[sthornington]

Not sure on the filter codes. You should be able to filter out quotes yourself by doing a bitwise AND on the value of lFlags in the TimeSalesData for tsdTRADE.

Hope this helps,

Simon.

[cgaylord]

this is true

Yes, that's not a problem but creates a bit more overhead.

I was just wondering if I was doing something wrong since it seems that, inspite of filtering out only trades (which works for the bar set), I'm still getting notification of bids/asks.

Certainly, and thankyou, we can check that, but we have opted to just go ahead and add it to our que. If there are no new trades we don't attempt to retrieve. Would just be more elegant if we were only informed of trades.

I'm still thinking we may be doing something wrong, but may the return in this regard triggers regradless if it is a trade or a bid/ask even if one has requested trades only.