Marius -
That's pretty much it! One other suspicion I have regarding how TWS does it - when tickSize # of contracts is the same as the previous one the update is *not* notified through the API interface. Definately happens using DDE (a known generic DDE isssue) but I also see it (surprisingly!) using ActiveX. I haven't used the low level interface.
Of course it happens mostly on most common # of contracts, like 1, so on a high volume market like ES it's really a moot point. For mainly historical reasons I also trade a low volume market, Australian SPI (index futures), and there it makes enough difference for me to "manufacture" a duplicate of the last complete tick when no sizeTick is shown but accumulatedSizeTick goes up by exactly the amount of the previous sizeTick.
A natural consequence of that is while I do capture accumulatedSize, when the sum of sizeTicks falls short of accumulated size I don't generate a tick showning the difference at the prevailing / last priceTick price. So in my "tick log" sum of all tick sizes steadily falls behind accumulated size. Whether this reasonable / wise is a good question .......
I s'pose the reason I don't complete the complete the tick log this way is my methods are significantly volume at price dependent and I've been stung too often with "little API issues" to assign an implicit price to the "missing volume". I've seen out-of-sequence updates causing large trades, like 1000 contracts in one case, showing up in my tick log at 1 price tick difference to what the actual trade was!
To see this type of thing I look at TWS Charts Time and Sales that clearly shows all market transactions (a la historical data) and not just the subset we see in real time - it's sum of sizeTick volume clearly matches accumulatedSize volume! Comparing it with realtime data is a very messy business as TWS aggregates successive (or maybe with only smalllll volume at other price??) trades at same price into a single realtime sizeTick.
When I saw some time ago that Richard King generates complete ticks for the missing volume as you are doing I took another good look at Time and Sales to see what happens when there's "missing sizeTicks". As you'd expect, the amount of "missing volume" goes up with higher levels of market activity until TWS's "max data rate" governor really cuts in when differences of many hundreds of contracts appear. My concern was that the price could also be moving quickly when this happens so the "actual average price" of the missing volume could be quite different to the last trade price seen. It's not absolutely conclusive but it seems that is *not* the case (phew!) - it looks as though TWS manages to slip in a price update if price changes significantly so assigning last seen price to "missing volume" is a good approxomation!
That's quite enough for now! Best of luck with your trading!
Regards
John Murray jmurray3210@yahoo.com.au
Tick capture
Marius -
That's pretty much it! One other suspicion I have regarding how TWS does it - when tickSize # of contracts is the same as the previous one the update is *not* notified through the API interface. Definately happens using DDE (a known generic DDE isssue) but I also see it (surprisingly!) using ActiveX. I haven't used the low level interface.
Of course it happens mostly on most common # of contracts, like 1, so on a high volume market like ES it's really a moot point. For mainly historical reasons I also trade a low volume market, Australian SPI (index futures), and there it makes enough difference for me to "manufacture" a duplicate of the last complete tick when no sizeTick is shown but accumulatedSizeTick goes up by exactly the amount of the previous sizeTick.
A natural consequence of that is while I do capture accumulatedSize, when the sum of sizeTicks falls short of accumulated size I don't generate a tick showning the difference at the prevailing / last priceTick price. So in my "tick log" sum of all tick sizes steadily falls behind accumulated size. Whether this reasonable / wise is a good question .......
I s'pose the reason I don't complete the complete the tick log this way is my methods are significantly volume at price dependent and I've been stung too often with "little API issues" to assign an implicit price to the "missing volume". I've seen out-of-sequence updates causing large trades, like 1000 contracts in one case, showing up in my tick log at 1 price tick difference to what the actual trade was!
To see this type of thing I look at TWS Charts Time and Sales that clearly shows all market transactions (a la historical data) and not just the subset we see in real time - it's sum of sizeTick volume clearly matches accumulatedSize volume! Comparing it with realtime data is a very messy business as TWS aggregates successive (or maybe with only smalllll volume at other price??) trades at same price into a single realtime sizeTick.
When I saw some time ago that Richard King generates complete ticks for the missing volume as you are doing I took another good look at Time and Sales to see what happens when there's "missing sizeTicks". As you'd expect, the amount of "missing volume" goes up with higher levels of market activity until TWS's "max data rate" governor really cuts in when differences of many hundreds of contracts appear. My concern was that the price could also be moving quickly when this happens so the "actual average price" of the missing volume could be quite different to the last trade price seen. It's not absolutely conclusive but it seems that is *not* the case (phew!) - it looks as though TWS manages to slip in a price update if price changes significantly so assigning last seen price to "missing volume" is a good approxomation!
That's quite enough for now! Best of luck with your trading!
Regards
John Murray
jmurray3210@yahoo.com.au