Posted: Jun 25, 2014 @ 11:30 AM             Msg. 1 of 5

In the OnPriceTick event handler how do I differentiate a "trade" (tick) vs a bid/ask update. I want an non-aggregated tick by tick feed. Just treating each callback as a tick doesn't work and ends up over-reporting the number of ticks.

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Peter Nannis

Posted: Jun 26, 2014 @ 03:46 PM             Msg. 2 of 5

Each update is uniq and reflects changes at any property of a price. See descriptions here:
http://www.openecry.com/api/api/html/T_OEC_API_OnPriceChangedEvent.htm
http://www.openecry.com/api/api/html/T_OEC_API_Price.htm

If you need updates for bid\ask changes only you need a write some filter.

Thanks.

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Vitaliy Pfau

Posted: Jun 26, 2014 @ 04:20 PM             Msg. 3 of 5

So between multiple 1 lot trades at the same time and price the only field that would change would be the total volume count between the events?

I tried to derive them that way but the the total volume is still being under reported.

Is the feed throttled down? (I am using the OnPriceTick event)

Please explain how I should properly identify each tick in the example above

Thanks/Peter

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Peter Nannis

Posted: Jun 27, 2014 @ 10:31 AM             Msg. 4 of 5

Server sends as many quotes as it could.

Remarks on OnPriceTick says:


Probably you need OnPriceChanged event. This event could skip some price updates, if they come too often. OECTrader uses this event for quote window.

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Vitaliy Pfau

Posted: Jun 30, 2014 @ 10:57 AM             Msg. 5 of 5

I figured it out so I am posting this reply so that others with the same issue may benefit.

To get a true streaming tick feed you need to subscribe to the price feed using the "SubscribeTicks" method (not "Subscribe") and then handle the "OnTicksReceived" event (not "OnPriceTick")

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Peter Nannis