RTVolume question

[Random]

Hi All,

Am aware that users of JBookTrader use RTVolume, and wonder if T&S showed the trades that nanex tweeted about

Nanex - Oct 10, 10:04:54 - a 2600 contract sell in $ES_f
Nanex - Oct 10, 10:25:34 - 2300 eMini's sold at once (through 1910)

This is what I get from the tickPrice snapshots, clearly no 2300 order except for the nbbo widening for half a second.

Time, Side, Last, Size, Nbbo
10.25.34.061,B,1910.25,1,1910.25/1910.50
10.25.34.666,B,1910.00,1,1910.00/1910.25
10.25.34.846,B,1909.00,1,1909.00/1910.00
10.25.35.415,B,1909.00,9,1909.00/1909.25

Same for the 2600 contract trade. I use tickPrice/tickSize calls to create the T&S, so I thought I would ask folks here.

Can anyone confirm.

Thanks in advance

[Eugene Kononov]

JBokkTrader does not record the volumes for  single trades, but rather the volumes of trades that occurred within the last second. With that in mind, I think I can confirm the unusually large volumes in those two instances that you referred to. Here are the 1-second samples recorded by JBT:

101014,100454,3.85,1920.5,1920.75,5189

101014,102535,29.26,1909,1909.25,6183

From the above recorded data, it can be seen that 5189 contracts were traded in one second at 10:04:54, and 6183 contracts were traded in one second at 10:25:35.

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[Random]

Thanks for your reply.

I haven't looked a the JBT code but I assume that the 1minute volume is computed using RTVolume tick messages, and must be capturing the tick level information that I'm missing via tickPrice/tickSize.

I'll look at RTVolume modifications for my code, but wonder if anyone here records tick data and can find that big trade (more incentive for me to make code changes :)

But thanks again

[Eugene Kononov]

Three things:
1. JBT records 1-second snapshots, not 1-minute bars.
2. IB does not disseminate tick data through either TWS or the API, so you will miss the ticks. What you get from IB are the market data samples, approximately 4 times per second.
3. You sound like you don't use JBT at all, so it's not clear to me why you post your question here.  The term "RTVolume" doesn't mean anythything to ost people here. You probably want to post in the IB API discussion group.

[Random]

On Sunday, October 12, 2014 11:22:50 PM UTC-5, Eugene Kononov wrote:

Three things:
1. JBT records 1-second snapshots, not 1-minute bars.

I meant 1sec, that was a typo.

2. IB does not disseminate tick data through either TWS or the API, so you will miss the ticks. What you get from IB are the market data samples, approximately 4 times per second.

I wasn't sure what IB does wrt RTVolume, api doc reads to me like it should be T&S real time volume updates. So its good to have your feedback on that.

3. You sound like you don't use JBT at all, so it's not clear to me why you post your question here.  The term "RTVolume" doesn't mean anythything to ost people here. You probably want to post in the IB API discussion group.

Yes, I haven't used JBT in a while. On the contrary I posted here precisely because I assumed folks who use JBT would be well versed with what RTVolume is and my question about missing volume would be easily answered. Also maybe some of them use tape reading with DOM for their strategies, anyways