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.
I've taken a look at the EURUSD e-mini today, and I haven't found any incidents where there would be additional sizeTicks of the same size as the original priceTick (with size for last trade), except the "well known" duplicate of course. So this would confirm your observation. I do see additional accumulated volume sizeTicks however (and as stated, I use these for generating additional ticks at the last seen price).
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!
I hadn't seen this view before. When/if I get discrepancies again that would probably be a nice place to look.
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!
Based on what other people have written, it seems TWS tries harder to get price changes communicated fast, rather than accurately transmitting every tick, which agrees with what you are observing.
Anyway, thanks for taking the time to share your experiences.
One other suspicion I have
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.
I've taken a look at the EURUSD e-mini today, and I haven't found any incidents where there would be additional sizeTicks of the same size as the original priceTick (with size for last trade), except the "well known" duplicate of course. So this would confirm your observation. I do see additional accumulated volume sizeTicks however (and as stated, I use these for generating additional ticks at the last seen price).
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!
I hadn't seen this view before. When/if I get discrepancies again that would probably be a nice place to look.
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!
Based on what other people have written, it seems TWS tries harder to get price changes communicated fast, rather than accurately transmitting every tick, which agrees with what you are observing.
Anyway, thanks for taking the time to share your experiences.