Joined: May 7, 2011
Posted: Sep 15, 2016 11:19 AM
Msg. 1 of 2
I have 2 questions:
1) What is the difference between "watch" (w) and "trades" t commands?
Does watch "w" include all "trades" data "t"?
In other words, watch "w" gives bid+ask+trades data
whereas "t"gives only trades data?
2) We are tracking the exact time when trades happen.
Would that be: "Most recent trade time"?
Similarly, for bid and ask changes. Would those be
Bid Time and Ask Time respectively?
Thanks for any help,
Joined: Apr 25, 2006
Posted: Sep 15, 2016 11:48 AM
Msg. 2 of 2
1. Correct, w is all messages, t is trades only.
2. Most Recent Trade Time will work when looking for the time of all trade messages.
3. The MBBO fields for time, Bid Time and Ask Time, are not necessarily indicative of individual bid or ask times.
Example: For equities, these reference the time that the exchange sent us data more so than the time of any individual quote. If the exchange receives a bid, they send us updated state data for both the bid and ask and both times will update together, even though a new ask did not necessarily arrive.
I am not sure if you want to try to track these quote events more precisely than that, but let me know at the developer email and we can dig more into your individual needs to determine what option best matches your goals.