[R-SIG-Finance] meaning of IBroker mktData information

Stephen Choularton stephen at organicfoodmarkets.com.au
Mon Feb 17 19:48:13 CET 2014


Hi

I know the man refers me to the IB website for the meaning of the 
characterisations (askSize, lastTimestamp, etc) in the data returned (eg 
below):


<20140210 10:07:41.129807> id=1 symbol=NAB askSize: 1960
<20140210 10:07:41.654458> id=1 symbol=NAB askSize: 2011
<20140210 10:07:45.532072> id=1 symbol=NAB lastTimestamp: 1391987255
<20140210 10:07:45.533072> id=1 symbol=NAB lastPrice: 33.04
<20140210 10:07:45.534074> id=1 symbol=NAB lastSize: 178
<20140210 10:07:45.535073> id=1 symbol=NAB Volume: 139377
<20140210 10:07:45.537089> id=1 symbol=NAB askSize: 1786
<20140210 10:07:46.282609> id=1 symbol=NAB lastTimestamp: 1391987256
<20140210 10:07:46.283623> id=1 symbol=NAB lastSize: 47
<20140210 10:07:46.284625> id=1 symbol=NAB Volume: 139424
<20140210 10:07:58.199985> id=1 symbol=NAB bidSize: 1259
<20140210 10:07:59.452116> id=1 symbol=NAB lastTimestamp: 1391987269
<20140210 10:07:59.455120> id=1 symbol=NAB lastPrice: 33.01
<20140210 10:07:59.457129> id=1 symbol=NAB lastSize: 232

I have spent some time looking around the IB site but can't really find 
what I want.  I am trying to pick out the transactions as they take 
place plus their size (and time) but lastSize doesn't look right, Volume 
doesn't look right and I've not even found anything that says lastPrice 
is returned each time there is a transaction. I guess I'm really looking 
for two entries which appear consistently like:

lastPrice
lastSize

which I can pick out.

Can anyone actually help me shorten my search for the rosetta stone?

Apologies if miss posted but not sure where else to find a forum which 
would have the knowledge to answer this question.
-- 
Stephen Choularton PhD, FIoD



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