Jump to content
Medved Trader Forums

imbalance window


stock777

Recommended Posts

  • 2 years later...
On 7/21/2020 at 1:49 AM, Mike Medved said:

Do you have to subscribe to the imbalances at IB and if so is there a fee? (And Lord, I hate IB API).

 

 

Yes, you must subscribe to IB imbalance data for a couple bucks but it is available via API. Any chance you can get it implemented into MT? Having imbalance volume/indicative price would help immensely trading halts, IPOs, etc.

 


https://interactivebrokers.github.io/tws-api/tick_types.html

Auction Volume

The number of shares that would trade if no new orders were received and the auction were held now.    IBApi.EWrapper.tickSize    225

Auction Price

The price at which the auction would occur if no new orders were received and the auction were held now- the indicative price for the auction. Typically received after Auction imbalance (tick type 36)    IBApi.EWrapper.tickPrice    225

Auction Imbalance

The number of unmatched shares for the next auction; returns how many more shares are on one side of the auction than the other. Typically received after Auction Volume (tick type 34)    IBApi.EWrapper.tickSize    225

Link to comment
Share on other sites

Join the conversation

You can post now and register later. If you have an account, sign in now to post with your account.

Guest
Reply to this topic...

×   Pasted as rich text.   Paste as plain text instead

  Only 75 emoji are allowed.

×   Your link has been automatically embedded.   Display as a link instead

×   Your previous content has been restored.   Clear editor

×   You cannot paste images directly. Upload or insert images from URL.

×
×
  • Create New...