Posted: May 25, 2011 @ 04:47 PM             Msg. 1 of 7

Question:

Here's what I want, subscribe to Last Traded prices and size for a Contract.

How do I get that?

Posted: May 25, 2011 @ 05:06 PM             Msg. 2 of 7

Hello,

if you need just some last price and size, Subscribe() and OnPriceChanged will be enough. If you need to capture all trades (or ticks), you need to use SubscribeTicks() and OnTicksReceived

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Victor Vins
Software Developer

Posted: May 25, 2011 @ 05:48 PM             Msg. 3 of 7

The documentation on SubscribeTicks doesn't really tell us much about it. In fact, it's a little misleading, as it says it's for a "time range" but that range is actually open-ended.

If I give a StartDate of "DateTime.Now", why do I still get a ton of historical ticks? (Is that a bug in your API?) I'd expect only ticks for trades that occur now or afterward.

For instance, in my app right now I subscribed to ticks for ESM1 on the prod feed. I get this:

First Tick: 4096 entries (received 5/25/2011 4:34:57 CDT):
[Tick entries follow: timestamp - volume - price]
- - 5/25/2011 6:56:14 PM - 1 - 1319
- - 5/25/2011 6:56:14 PM - 1 - 1319
- - 5/25/2011 6:56:14 PM - 2 - 1319
- - 5/25/2011 6:56:14 PM - 1 - 1319
- - 5/25/2011 6:56:14 PM - 2 - 1319
- - 5/25/2011 6:56:14 PM - 3 - 1319
- - 5/25/2011 6:56:14 PM - 1 - 1319
- - 5/25/2011 6:56:14 PM - 3 - 1319
- - 5/25/2011 6:56:14 PM - 2 - 1319
- - 5/25/2011 6:56:14 PM - 1 - 1319
- - 5/25/2011 6:56:14 PM - 5 - 1319
- - 5/25/2011 6:56:14 PM - 4 - 1319
- - 5/25/2011 6:56:14 PM - 1 - 1319
- - 5/25/2011 6:56:14 PM - 1 - 1319
- - 5/25/2011 6:56:14 PM - 1 - 1319
- - 5/25/2011 6:56:14 PM - 1 - 1319
- - 5/25/2011 6:56:14 PM - 1 - 1319
- - 5/25/2011 6:56:14 PM - 25 - 1319
- - 5/25/2011 6:56:14 PM - 3 - 1319
- - 5/25/2011 6:56:14 PM - 1 - 1319
- - 5/25/2011 6:56:14 PM - 2 - 1319
- - 5/25/2011 6:56:14 PM - 21 - 1319
- - 5/25/2011 6:56:14 PM - 1 - 1319
- - 5/25/2011 6:56:14 PM - 3 - 1319
- - 5/25/2011 6:56:14 PM - 2 - 1319
[4000+ more entries follow]

Now, I'm guessing that 6:56 PM is UTC, which is 1:56 CDT. Why am I getting ticks from 3 hours ago when my StartDate was "DateTime.Now"?

Another question: The first ~100 entries in the ticks object all have the same timestamp 6:56:20 PM. Did all those trades happen in the same minute?
Edited by THarnett81 on May 25, 2011 at 17:49:51

Posted: May 25, 2011 @ 06:23 PM             Msg. 4 of 7

StartDate is expected in UTC. Please try to use DateTime.UtcNow.

You're right, it is open-ended time range. The same is correct for all bar-related subscribe methods. To differentiate open-ended subscriptions from closed range request, we are calling closed range requests like RequestXXX()

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Victor Vins
Software Developer

Posted: May 25, 2011 @ 06:25 PM             Msg. 5 of 7

About timestamp: precision of timestamp is seconds.

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Victor Vins
Software Developer

Posted: May 26, 2011 @ 06:10 PM             Msg. 6 of 7

Just to be clear, should we expect the last elements in Ticks.Prices/Ticks.Volumes to be "in sync" with the latest PriceUpdateEvent's Price.LastPrice/Price.LastVol values?

Posted: Jun 01, 2011 @ 08:33 AM             Msg. 7 of 7

Just in some cases when you do not receive any ticks/price anymore after the last update (end of session, illiquid contract, no trades, etc)

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Victor Vins
Software Developer