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| Historical Ask and Bid Volume |
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[janjjj]
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| Post subject: Historical Ask and Bid Volume |
Post rating: 0
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Posted: Mon 13 Sep, 2010, 10:46
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User rating: 0
Joined: Wed 26 May, 2010, 18:57
Posts: 11
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The method getTicks() return list of ITick. And when I call mathod getAskVolumes() and getBidVolumes() on this ticks then it always return double array of length equal 1. This value is equal value od tick.getAskVolume().
For example:
java.util.List<ITick> historyTicks = history.getTicks(instrument, startTime, nendTime);
for(ITick tick :historyTicks){
tick.getAskVolumes().length;
}
Always return 1.
When it will be fixed?
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API Support
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| Post subject: Re: Historical Ask and Bid Volume |
Post rating: 0
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Posted: Wed 15 Sep, 2010, 09:08
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User rating: ∞
Joined: Fri 31 Aug, 2007, 09:17
Posts: 6139
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Never. Historical data contains only best price.
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[Phantal]
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| Post subject: Re: Historical Ask and Bid Volume |
Post rating: 0
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Posted: Wed 15 Sep, 2010, 19:48
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User rating: 0
Joined: Fri 07 May, 2010, 02:59
Posts: 61
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Support,
Just to clarify your response there, historical data /only/ contains 'best price' ticks, and no others -- that is, no market depth information on the order book; is this true?
-Brian
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API Support
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| Post subject: Re: Historical Ask and Bid Volume |
Post rating: 0
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Posted: Mon 20 Sep, 2010, 18:32
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User rating: ∞
Joined: Fri 31 Aug, 2007, 09:17
Posts: 6139
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There is no market depth information on the history order book.
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