RT Volume

The RT Volume tick type corresponds to the TWS’ Time & Sales window and contains the last trade’s price, size and time along with current day’s total traded volume, Volume Weighted Average Price (VWAP) and whether or not the trade was filled by a single market maker.

There is a setting in TWS which displays tick-by-tick data in the TWS Time & Sales Window. If this setting is checked, it will provide a higher granularity of data than RTVolume.

Example: 701.28;1;1348075471534;67854;701.46918464;true

As volume for US stocks is reported in lots, a volume of 0 reported in RTVolume will typically indicate an odd lot data point (less than 100 shares).

It is important to note that while the TWS Time & Sales Window also has information about trade conditions available with data points, this data is not available through the API. So for instance, the ‘unreportable’ trade status displayed with points in the Time & Sales Window is not available through the API, and that trade data will appear in the API just as any other data point. As always, an API application needs to exercise caution in responding to single data points.

Note: Please be aware that RT Volume is not supported with Cryptocurrencies.

RT Trade Volume

The RT Trade Volume is similar to RT Volume, but designed to avoid relaying back “Unreportable Trades” shown in TWS Time&Sales via the API. RT Trade Volume will not contain average price or derivative trades which are included in RTVolume.