[JBookTrader] RTVolume question

[Random]

Hi All,

Am aware that users of JBookTrader use RTVolume, and wonder if T&S showed
the trades that nanex tweeted about

Nanex - Oct 10, 10:04:54 - a 2600 contract sell in $ES_f
Nanex - Oct 10, 10:25:34 - 2300 eMini's sold at once (through 1910)

This is what I get from the tickPrice snapshots, clearly no 2300 order
except for the nbbo widening for half a second.

Time, Side, Last, Size, Nbbo
10.25.34.061,B,1910.25,1,1910.25/1910.50
10.25.34.666,B,1910.00,1,1910.00/1910.25
10.25.34.846,B,1909.00,1,1909.00/1910.00
10.25.35.415,B,1909.00,9,1909.00/1909.25

Same for the 2600 contract trade. I use tickPrice/tickSize calls to create
the T&S, so I thought I would ask folks here.

Can anyone confirm.

Thanks in advance

[Eugene Kononov]

JBokkTrader does not record the volumes for single trades, but rather the
volumes of trades that occurred within the last second. With that in mind,
I think I can confirm the unusually large volumes in those two instances
that you referred to. Here are the 1-second samples recorded by JBT:

101014,100454,3.85,1920.5,1920.75,5189
101014,102535,29.26,1909,1909.25,6183

From the above recorded data, it can be seen that 5189 contracts were
traded in one second at 10:04:54, and 6183 contracts were traded in one
second at 10:25:35.

Post by Random
Hi All,
Am aware that users of JBookTrader use RTVolume, and wonder if T&S showed
the trades that nanex tweeted about
Nanex - Oct 10, 10:04:54 - a 2600 contract sell in $ES_f
Nanex - Oct 10, 10:25:34 - 2300 eMini's sold at once (through 1910)
This is what I get from the tickPrice snapshots, clearly no 2300 order
except for the nbbo widening for half a second.
Time, Side, Last, Size, Nbbo
10.25.34.061,B,1910.25,1,1910.25/1910.50
10.25.34.666,B,1910.00,1,1910.00/1910.25
10.25.34.846,B,1909.00,1,1909.00/1910.00
10.25.35.415,B,1909.00,9,1909.00/1909.25
Same for the 2600 contract trade. I use tickPrice/tickSize calls to create
the T&S, so I thought I would ask folks here.
Can anyone confirm.
Thanks in advance
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[Random]

Thanks for your reply.

I haven't looked a the JBT code but I assume that the 1minute volume is
computed using RTVolume tick messages, and must be capturing the tick level
information that I'm missing via tickPrice/tickSize.

I'll look at RTVolume modifications for my code, but wonder if anyone here
records tick data and can find that big trade (more incentive for me to
make code changes :)

But thanks again

Post by Eugene Kononov
JBokkTrader does not record the volumes for single trades, but rather the
volumes of trades that occurred within the last second. With that in mind,
I think I can confirm the unusually large volumes in those two instances
101014,100454,3.85,1920.5,1920.75,5189
101014,102535,29.26,1909,1909.25,6183
From the above recorded data, it can be seen that 5189 contracts were
traded in one second at 10:04:54, and 6183 contracts were traded in one
second at 10:25:35.

Post by Random
Hi All,
Am aware that users of JBookTrader use RTVolume, and wonder if T&S showed
the trades that nanex tweeted about
Nanex - Oct 10, 10:04:54 - a 2600 contract sell in $ES_f
Nanex - Oct 10, 10:25:34 - 2300 eMini's sold at once (through 1910)
This is what I get from the tickPrice snapshots, clearly no 2300 order
except for the nbbo widening for half a second.
Time, Side, Last, Size, Nbbo
10.25.34.061,B,1910.25,1,1910.25/1910.50
10.25.34.666,B,1910.00,1,1910.00/1910.25
10.25.34.846,B,1909.00,1,1909.00/1910.00
10.25.35.415,B,1909.00,9,1909.00/1909.25
Same for the 2600 contract trade. I use tickPrice/tickSize calls to
create the T&S, so I thought I would ask folks here.
Can anyone confirm.
Thanks in advance
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[Eugene Kononov]

Three things:
1. JBT records 1-second snapshots, not 1-minute bars.
2. IB does not disseminate tick data through either TWS or the API, so you
will miss the ticks. What you get from IB are the market data samples,
approximately 4 times per second.
3. You sound like you don't use JBT at all, so it's not clear to me why you
post your question here. The term "RTVolume" doesn't mean anythything to
ost people here. You probably want to post in the IB API discussion group.

Post by Random
Thanks for your reply.
I haven't looked a the JBT code but I assume that the 1minute volume is
computed using RTVolume tick messages, and must be capturing the tick level
information that I'm missing via tickPrice/tickSize.
I'll look at RTVolume modifications for my code, but wonder if anyone here
records tick data and can find that big trade (more incentive for me to
make code changes :)
But thanks again

Post by Eugene Kononov
JBokkTrader does not record the volumes for single trades, but rather
the volumes of trades that occurred within the last second. With that in
mind, I think I can confirm the unusually large volumes in those two
instances that you referred to. Here are the 1-second samples recorded by
101014,100454,3.85,1920.5,1920.75,5189
101014,102535,29.26,1909,1909.25,6183
From the above recorded data, it can be seen that 5189 contracts were
traded in one second at 10:04:54, and 6183 contracts were traded in one
second at 10:25:35.

Post by Random
Hi All,
Am aware that users of JBookTrader use RTVolume, and wonder if T&S
showed the trades that nanex tweeted about
Nanex - Oct 10, 10:04:54 - a 2600 contract sell in $ES_f
Nanex - Oct 10, 10:25:34 - 2300 eMini's sold at once (through 1910)
This is what I get from the tickPrice snapshots, clearly no 2300 order
except for the nbbo widening for half a second.
Time, Side, Last, Size, Nbbo
10.25.34.061,B,1910.25,1,1910.25/1910.50
10.25.34.666,B,1910.00,1,1910.00/1910.25
10.25.34.846,B,1909.00,1,1909.00/1910.00
10.25.35.415,B,1909.00,9,1909.00/1909.25
Same for the 2600 contract trade. I use tickPrice/tickSize calls to
create the T&S, so I thought I would ask folks here.
Can anyone confirm.
Thanks in advance
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[Random]

Post by Eugene Kononov
1. JBT records 1-second snapshots, not 1-minute bars.

I meant 1sec, that was a typo.

2. IB does not disseminate tick data through either TWS or the API, so you

Post by Eugene Kononov
will miss the ticks. What you get from IB are the market data samples,
approximately 4 times per second.

I wasn't sure what IB does wrt RTVolume, api doc reads to me like it should
be T&S real time volume updates. So its good to have your feedback on that.

3. You sound like you don't use JBT at all, so it's not clear to me why you

Post by Eugene Kononov
post your question here. The term "RTVolume" doesn't mean anythything to
ost people here. You probably want to post in the IB API discussion group.

Yes, I haven't used JBT in a while. On the contrary I posted here precisely
because I assumed folks who use JBT would be well versed with what RTVolume
is and my question about missing volume would be easily answered. Also
maybe some of them use tape reading with DOM for their strategies, anyways

Post by Eugene Kononov

Post by Random
Thanks for your reply.
I haven't looked a the JBT code but I assume that the 1minute volume is
computed using RTVolume tick messages, and must be capturing the tick level
information that I'm missing via tickPrice/tickSize.
I'll look at RTVolume modifications for my code, but wonder if anyone
here records tick data and can find that big trade (more incentive for me
to make code changes :)
But thanks again

Post by Eugene Kononov
JBokkTrader does not record the volumes for single trades, but rather
the volumes of trades that occurred within the last second. With that in
mind, I think I can confirm the unusually large volumes in those two
instances that you referred to. Here are the 1-second samples recorded by
101014,100454,3.85,1920.5,1920.75,5189
101014,102535,29.26,1909,1909.25,6183
From the above recorded data, it can be seen that 5189 contracts were
traded in one second at 10:04:54, and 6183 contracts were traded in one
second at 10:25:35.

Post by Random
Hi All,
Am aware that users of JBookTrader use RTVolume, and wonder if T&S
showed the trades that nanex tweeted about
Nanex - Oct 10, 10:04:54 - a 2600 contract sell in $ES_f
Nanex - Oct 10, 10:25:34 - 2300 eMini's sold at once (through 1910)
This is what I get from the tickPrice snapshots, clearly no 2300 order
except for the nbbo widening for half a second.
Time, Side, Last, Size, Nbbo
10.25.34.061,B,1910.25,1,1910.25/1910.50
10.25.34.666,B,1910.00,1,1910.00/1910.25
10.25.34.846,B,1909.00,1,1909.00/1910.00
10.25.35.415,B,1909.00,9,1909.00/1909.25
Same for the 2600 contract trade. I use tickPrice/tickSize calls to
create the T&S, so I thought I would ask folks here.
Can anyone confirm.
Thanks in advance
--
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