Requesting Time and Sales data
EClient.reqHistoricalTicks (
requestId: int, id of the request
contract: Contract, Contract object that is subject of query.
startDateTime: String, i.e. “20170701 12:01:00”. Uses TWS timezone specified at login.
endDateTime: String, i.e. “20170701 13:01:00”. In TWS timezone. Exactly one of startDateTime or endDateTime must be defined.
numberOfTicks: int, Number of distinct data points. Max is 1000 per request.
whatToShow: String, (Bid_Ask, Midpoint, or Trades) Type of data requested.
useRth: bool, Data from regular trading hours (1), or all available hours (0).
ignoreSize: bool, Omit updates that reflect only changes in size, and not price. Applicable to Bid_Ask data requests.
Note: Options and Future Options will only display a value of 1, unless to indicate a removed bid/ask, which will instead return a price and size value of 0.
miscOptions: list, Should be defined as null; reserved for internal use.
)
Requests historical Time & Sales data for an instrument.