Support Board
Date/Time: Fri, 27 Dec 2024 04:19:56 +0000
Post From: A Better Implementation of Interactive Broker's Data Feed
| [2013-10-20 22:06:49] |
| katek - Posts: 28 |
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Do we have any news regarding this issue? What is the best way toe get accurate bid /ask volume data from IB. I have been using IB True real-time data, but even this feed does not give accurate bid/ask volume. On this feed trades in the 5 seconds period of "real-time data" are considered either "bid volume" or "ask volume". And this is certainly not the case as most 5 seconds periods usually have trades at bid and at ask prices(to check this use a 5 second bar chart with bid/ask volume bars). |