Market Data: LiveTick By Tick Data

Introduction

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In TWS, tick-by-tick data is available in the Time & Sales Window.

The maximum number of simultaneous tick-by-tick subscriptions allowed for a user is 5% of the user’s total market data lines. See [Specialized Market Data Lines] for more information.

  • Real time tick-by-tick data is currently not available for options. Historical tick-by-tick data is available.
  • The tick type field is case sensitive – it must be BidAsk, Last, AllLast, MidPoint. AllLast has additional trade types such as combos, derivatives, and average price trades which are not included in Last.
  • Tick-by-tick data for options is currently only available historically and not in real time.
  • Tick-by-tick data for indices is only provided for indices which are on CME.
  • Tick-by-tick data is not available for combos.
  • No more than 1 tick-by-tick request can be made for the same instrument within 15 seconds.
  • Time & Sales data requires a Level 1, Top Of Book market data subscription. This would be the same subscription as EClient.reqMktData() or EClient.reqHistoricalData().