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yfu7 / jbooktrader

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Time & Sales feature #9

Closed GoogleCodeExporter closed 9 years ago

GoogleCodeExporter commented 9 years ago 
This data could be written to another file and the format could be : date -
time - price - volume

or by adding a line type flag in the current data file

The idea to add this data to another file is not to overload the data for
the people who don't need T&S.

Original issue reported on code.google.com by Robertde...@gmail.com on 23 May 2008 at 4:55

GoogleCodeExporter commented 9 years ago 
We've tried using T&S in several multi-user tests and found it inconsistent 
(i.e.
test strategy produced different results for different people). What's more 
important
is that T&S as delivered by IB is flawed because not every tick/trade is 
reported, so
calculations attempting to derive market stats such as "uptick volume" and 
"downtick
volume" will be wrong. Consequently, T&S will NOT be added to JBT features.

A good alternative to this is to use NYSE-TICK index which is accessible from 
any
strategy. The corresponding NASDAQ index can also be used.

Original comment by eugene.k...@gmail.com on 29 Aug 2008 at 2:40