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Market Data

Tick-By-Tick Data

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Introduction

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

  • Real time tick-by-tick data is not available for options.
  • 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 not available for options.
  • Tick-by-tick data for indices is only provided for CME indexes.
  • 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.
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.

Halted and Unhalted ticks

  • If tick has zero price, zero size and pastLimit flag is set – this is “Halted” tick.
  • If tick has zero price, zero size and followed immediately after “Halted” tick – this is “Unhalted” tick.

Request Tick Data

EClient.reqTickByTickData(reqId, contract, tickType, numberOfTicks, ignoreSize)

Requests tick by tick or Time & Sales data.

reqId
int

unique identifier of the request.

contract
object

the contract for which tick-by-tick data is requested.

tickType
string

tick-by-tick data type: “Last”, “AllLast”, “BidAsk” or “MidPoint”.

numberOfTicks
int

If a non-zero value is entered, then historical tick data is first returned via one of the Historical Time and Sales Ewrapper Methods respectively. (Max number of historical Ticks is 1000)

ignoreSize
bool

Omit updates that reflect only changes in size, and not price. Applicable to Bid_Ask data requests.

self.reqTickByTickData(19001, contract, "Last", 0, True)

Receive Tick Data

Data is returned to unique functions based on what is requested in the whatToShow field.

EWrapper.tickByTickAllLast

EWrapper.tickByTickAllLast(reqId, tickType, time, price, size, tickAtrribLast, exchange, specialConditions)

Returns “Last” or “AllLast” tick-by-tick real-time tick.

reqId
int

unique identifier of the request.

tickType
int

1: “Last” or 2: “AllLast”.

time
long

tick-by-tick real-time tick timestamp.

price
double

tick-by-tick real-time tick last price.

size
decimal

tick-by-tick real-time tick last size.

tickAttribLast
object

tick-by-tick real-time last tick attribs (bit 0 – past limit, bit 1 – unreported).

exchange
string

tick-by-tick real-time tick exchange.

specialConditions
string

tick-by-tick real-time tick special conditions. Conditions under which the operation took place.

def tickByTickAllLast(self, reqId: int, tickType: int, time: int, price: float, size: Decimal, tickAtrribLast: TickAttribLast, exchange: str,specialConditions: str):
	print(" ReqId:", reqId, "Time:", time, "Price:", floatMaxString(price), "Size:", size, "Exch:" , exchange, "Spec Cond:", specialConditions, "PastLimit:", tickAtrribLast.pastLimit, "Unreported:", tickAtrribLast.unreported)

EWrapper.tickByTickBidAsk

EWrapper.tickByTickBidAsk(reqId, time, bidPrice, askPrice, bidSize, askSize, tickAttribBidAsk)

Returns “BidAsk” tick-by-tick real-time tick.

reqId
int

unique identifier of the request.

time
long

timestamp of the tick.

bidPrice
double

bid price of the tick.

askPrice
double

ask price of the tick.

bidSize
decimal

bid size of the tick.

askSize
decimal

ask size of the tick.

tickAttribBidAsk
object

tick-by-tick real-time bid/ask tick attribs (bit 0 – bid past low, bit 1 – ask past high).

 def tickByTickBidAsk(self, reqId: int, time: int, bidPrice: float, askPrice: float, bidSize: Decimal, askSize: Decimal, tickAttribBidAsk: TickAttribBidAsk):
	print("BidAsk. ReqId:", reqId, "Time:", time, "BidPrice:", floatMaxString(bidPrice), "AskPrice:", floatMaxString(askPrice), "BidSize:", decimalMaxString(bidSize), "AskSize:", decimalMaxString(askSize), "BidPastLow:", tickAttribBidAsk.bidPastLow, "AskPastHigh:", tickAttribBidAsk.askPastHigh)

EWrapper.tickByTickMidPoint

EWrapper.tickByTickMidPoint(reqId, time, midPoint)

Returns “MidPoint” tick-by-tick real-time tick.

reqId
int

Request identifier used to track data.

time
long

Timestamp of the tick.

midPoint
double

Mid point value of the tick.

def tickByTickMidPoint(self, reqId: int, time: int, midPoint: float):
	print("Midpoint. ReqId:", reqId, "Time:", time, "MidPoint:", floatMaxString(midPoint))

Cancel Tick Data

EClient.cancelTickByTickData(requestId)

Cancels specified tick-by-tick data.

requestId
int

Request identifier used to track data.

self.cancelTickByTickData(19001)