Welcome to NexusFi: the best trading community on the planet, with over 150,000 members Sign Up Now for Free
Genuine reviews from real traders, not fake reviews from stealth vendors
Quality education from leading professional traders
We are a friendly, helpful, and positive community
We do not tolerate rude behavior, trolling, or vendors advertising in posts
We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community. It's free for basic access, or support us by becoming an Elite Member -- see if you qualify for a discount below.
-- Big Mike, Site Administrator
(If you already have an account, login at the top of the page)
How does Interactive broker calculate the buy/sell volume
I am requesting for time and sales data of a script via the following command
In the
I get the value of the time and sales in the following format.
How do I determine whether it is a uptick or downtick where is that information available?Attaching the picture of the time and sales window which has the red/green dots.Okay here since I donot have enough posts to give pictures.
Can you help answer these questions from other members on NexusFi?
There are virtually hundreds of posts about IB snapshot data here on FIO that explain why
it's pointless to use them for such calculations. What you need first is a realtime tick-based
data stream that also shows bid / ask for every tick.
I have done that. I am receiving the live quote...now I am interested in the time and sales data and therefore the question comes how can I calculate the uptick or downtick from the API itself
Thanks for the suggestion. The problem is I am looking for data in NSE-India exchange. There are hardly any vendors who distributes exchange of this data. If there are any,the cost is abominable. Therefore the struggle..
Ah, yeah I understand, similar issue with data for ASX equities, which I use IB data for.
I record both the live stream data from IB and the live 5s true snapshot, for volume based calcs (like VP, VWAP) I use the 5sec data as the volume is accurate.
For other people stumbling in this thread on the same question .Here are my findings.
1. IB doesnt give any parameter in their API response data where you would know it is an uptick of downtick. However you can compute it by also streaming the current bid and ask. However here is the catch. The information can be erroneous. What IB sends is snapshot data(it has a delay of 250 ns). Therefore any time and sales data arriving,you wouldnt know whom to reference to in order to find whether the current tick is uptick or downtick.
2.IB gives a feature as to get all the historical T&S data in the TWS software. However this historical T&S is not available via APIs