Posted: Feb 05, 2014 @ 02:43 PM             Msg. 1 of 3

I'd like to classify the volume if it occurs on the bid or the ask. Is the bid/ask data that arrives in PriceChanged event the bid/ask at the time the volume was executed or the bid/ask at the present?

If it is the "present" bid/ask, is there a more accurate way for us to get this data such as using OnPriceTick? And that leads me to another question, OnPriceTick doesn't have a fields flag for changed fields. As such, how do we know if a field value has changed? How do we know if it is a new trade with new volume or just a quote change?

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Curtis White

Posted: Feb 05, 2014 @ 02:47 PM             Msg. 2 of 3

OnPriceTick is raising on quote changes. You need to consider to use tick subscription: every tick comes with bid/ask at the moment when we received the tick from exchange.

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Victor Vins
Lead Software Developer

Posted: Feb 05, 2014 @ 05:08 PM             Msg. 3 of 3

Right and that is my second part of question, we have a need to track those quote changes but there is no "flag" that tells us whats changed -- so how do we know?

We'd expect a flag that to raise to let us know okay ASK changed, or BID changes or TRADE Changed.

My question is what sort of logic can we use to "know" that say we have a new trade?

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Curtis White