To request Market Statistics via the API you would invoke reqMktData() and monitor specific tickTypes. Please review the details below:
- NASDAQ TRIN (or ARMS) Index
- Symbol = TRIN-NASD
- SecType = IND
- Exchange = NASDAQ
- Currency = USD
- TRIN-NASD value is corresponding to the Last Price (tickType = 4)
- NASDAQ TICK Index
- Symbol = TICK-NASD
- SecType = IND
- Exchange = NASDAQ
- Currency = USD
- TICK-NASD value is corresponding to the Last Price (tickType = 4)
- NASDAQ Advance Decline Index
- Symbol = AD-NASD
- SecType = IND
- Exchange = NASDAQ
- Currency = USD
- Unchanged Issues value is corresponding to the Bid Size (tickType = 0)
- Advancing Issues value is corresponding to the Bid Price (tickType = 1)
- Declining Issues value is corresponding to the Ask Price (tickType = 2)
- NASDAQ Volume Index
- Symbol = VOL-NASD
- SecType = IND
- Exchange = NASDAQ
- Currency = USD
- Unchanged Volume is corresponding to the Bid Size (tickType = 0)
- Up Volume is corresponding to the Bid Price (tickType = 1)
- Down Volume is corresponding to the Ask Price (tickType = 2)
For NYSE and AMEX you change the corresponding Symbol and Exchange but the respective tickTypes are the same as above.
Example:
- NYSE TRIN (or ARMS) Index
- Symbol = TRIN-NYSE
- SecType = IND
- Exchange = NYSE
- Currency = USD
- AMEX TRIN (or ARMS) Index
- Symbol = TRIN-AMEX
- SecType = IND
- Exchange = AMEX
- Currency = USD
Market statistics for AMEX and NYSE requires market data packages NYSE Global Index Feed or US Securities Snapshot and Futures Value Bundle (Professional US Securities Snapshot Bundle for professionals); while NASDAQ requires NASDAQ Global Index Data Service or OPRA (US Options Exchanges).