IB volume data - anyone know the code?

DaxTrader

Active member
229 2
Hi

I'm trying to collect the volume data off IB but don't know what to put instead of "last"

any ideas ? :)
 

FTSE Beater

Experienced member
1,518 4
Hi Dax Trader

What are you trying to get Volume data into?
If it's excel I have a funny feeling it is Volume or Vol

I could very well be wrong though :eek:
 

DaxTrader

Active member
229 2
FTSE Beater

Into Snapdragon - uses dde links, for the last price I just put in "last" after the usual code with the _200312_dtb stuff.
Have tried Vol, Volume, last_size

many thanks
 

stevet

Established member
917 5
DaxTrader

are you using dde with excel or the api with visual basic or c?

its a tickSize event

and volume is tickType = 8
 
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DaxTrader

Active member
229 2
Thanks for reply Steve

Not sure, the code for collecting the last price is :

_DDA0 "id43?req?DAX_FUT_200312_DTB" TR 0
DDA0 "id43?last" TR 0

"last" being the bit I believe I need to change, doesn't work with volume, last size, last-size etc
 

stevet

Established member
917 5
DaxTrader

ok - i guess you have to use a basterdised formula to suit snapdraggon's way of interfacing with ib

i would have thought volume should work - have another go with it as there is plenty of opportunity to add a minor syntax error with all that stuff going on!

make sure it works with "last" first and then subsitute "volume"

but just as another thought - it might be gettting the volume - but the chart settings may not be set to show volume for some reason

its been a long long time since i used a snapdraggon chart
 
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DaxTrader

Active member
229 2
Spoke to IB

apparentlythe reason I can't collect Eurex Volume off IB is because although you can see it, it is not "collectable" unlike ES on IB. Apparently they are changing this "in the new Year".

Fingers crossed it isn't at the end of the new year
 

GreyingSurfer

Active member
173 0
DaxTrader said:
apparentlythe reason I can't collect Eurex Volume off IB is because although you can see it, it is not "collectable"

I'm not quite sure what your problem is, DaxTrader. I collect Eurex volume data off IB every day, using C++ apps, and Sierra does it for me too.

Here's a bit of today's data collection log for the Dax:

12/09/2003 15:21:24,521,lastSize,1
12/09/2003 15:21:25,521,lastPrice,3859.000000
12/09/2003 15:21:25,521,askSize,2
12/09/2003 15:21:26,521,askSize,11
12/09/2003 15:21:27,521,lastPrice,3858.500000
12/09/2003 15:21:27,521,lastSize,6
12/09/2003 15:21:28,521,lastPrice,3858.000000
12/09/2003 15:21:28,521,bidSize,16
12/09/2003 15:21:28,521,askSize,12
12/09/2003 15:21:28,521,lastSize,2
12/09/2003 15:21:29,521,lastPrice,3858.500000
12/09/2003 15:21:29,521,askSize,11
12/09/2003 15:21:29,521,lastSize,1
12/09/2003 15:21:31,521,lastPrice,3858.000000
12/09/2003 15:21:31,521,bidSize,14
12/09/2003 15:21:31,521,lastSize,2
12/09/2003 15:21:32,521,lastPrice,3858.500000

add up the lastSize events and you get the volume
 

DaxTrader

Active member
229 2
Greying surfer

Got it working - many thanks - you are a star :))

put in "lastSize" and it works perfectly
 

Trader333

Moderator
8,599 931
I have found that volume from IB is a country mile off reality and is of limited use at best.


Paul
 

GreyingSurfer

Active member
173 0
Interesting, Paul. I checked the Dax volume for IB against figures quoted here from a range of other suppliers recently and got an exact match (except with MyTrack, which is hopeless). I've never done the same for other instruments though, so it's possible they are poor elsewhere.
 

GreyingSurfer

Active member
173 0
Paul,

I use Sierra, which is what I did the check with, and also run my own software. I have checked a sample of 1 min bars from my app against Sierra and they match OK, so I'm happy they are both giving the same answer.
 

Trader333

Moderator
8,599 931
It is for US based futures and stocks that the volume is most definitely wrong. That said I use 3 different sources and all 3 differ on volume.


Paul
 
 
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