Accessing Block Trades

[josh571]

I've been using 'getMostRecentTrade()' and 'getMostRecentTradeSize()' in one ofs codes to get the real time emini SP500 trades and trade sizes. I noticed that my numbers were about an order of magnitude less than similar results from applications that also accessed the eSignal datafeed.

I found out that the above two functions that I used did not access the Block Trades (large size trades that are privately transacted outside the exchange. How can I access the Block Trades together with the exchange trades? I know that there has to be a way because other applications are doing it from the eSignal datafeed. Would appleciate some help. Thx.

C;off

[eSignal_JasonK]

Hello josh571,

EFS will only be able to access trade data that is sent from the exchanges. The data you see for ES #F in a time and sales window is the data EFS can reference.

However, be aware that EFS is not executed on each trade on the electronically traded futures symbols for indices such as ES, AB, NQ, YM on intraday intervals (i.e. 1, 10, 60 etc). For these intervals EFS only executes on a change in price on on trades where the bid/ask changed. If you are calculating a cumulative value within EFS, your value will not include all trades due to this. To preform cumulative calculations in EFS on a trade-by-trade basis for these symbols you need to use a tick-based interval such as 60S in stead of 1 for a one minute chart.