This is an attempt of mine to reconstruct the Time and Sales and piece together the fragmented contract numbers. I used NT7 with a demo ZenFire account. I modified a strategy to show in the NT output window the last trade that occurred and added a timestamp from my PC clock with 15ms accuracy. The symbol recorded was ES at about 8:00 am EST. These are some of the outputs:
First column is a timestamp obtained by (DateTime.Now.Ticks / 100000). Itís essentially the smaller increment my PC clock granularity could get by using Ticks. (I could have used QueryPerformanceCounter API but I donít think this accuracy is critical). So the difference of the first two trades is 600000 Ticks = 600000 x 100 nanoseconds = 60000 microseconds = 60 milliseconds.
Is it then true to assume that all that 86 trades happening at exactly the same time 68753779 is indeed one big trade split up as smaller ones? (Big market order hitting small limit ones). Could it be that I am getting those trades bundled together because of a network card or internet bandwidth issue? What are your opinions? Has anyone else tried this?
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The following 2 users say Thank You to Big Mike for this post:
As I actually did program it, I can assure you that it takes more than an hour, way more!
And I do not believe that greed has anything to do with elite costing 50 bucks, that by the way are very well spent.
With the next statement I agree, it has been a huge advantage for me, although I think one can trade successfully without knowing how to program...
Hic Rhodos, hic salta.
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