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Date/Time: Tue, 17 Jul 2018 07:49:22 +0000



Post From: DTC Protocol

[2017-12-26 02:07:57]
EricH - Posts: 17
My current system is 100% matlab with Interactive broker API for data and trade.
I am exploring the possibility to migrate the broker interface part to DTC and use SC as the data/trade backend.
One thing I found that's unique in IB is it has a 5-sec 'real-time bar'.
https://interactivebrokers.github.io/tws-api/realtime_bars.html#gsc.tab=0

Looking thru the DTC protocol spec, what's the best way to 'emulate' this 5-sec bar?

Obviously the two options are 1)subscribe to realtime data and build the 5 sec bar myself, but I really don't want all those extra messages of MARKET_DATA_UPDATE_* except TRADE, I don't even want the SNAPSHOT. However in the request enum, there's no "UPDATE_TRADE" only option...

option 2) is to actively pull historical every 5 sec, with the interval set to be 5sec, and set the request begin_time so that only one (or two most) records are sent to me.

Please advise if there're other options, and if there'll be some performance hit for option 2) if many symbols quotes are involved, and all requests are triggered at the 5-sec 'edges'.