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This has been discussed many times on this list. I am of the opinion that this is impossible to do with IB because IB does not provide real time data. IB provides a "snapshot", so you are not going to get accurate data of what traded on the bid or ask. I would love to be proven wrong.
You can search the archives for more discussion on this topic.
James
----- Original Message ----
From: ymtrader1 <ymtrader1@xxxxxxxxx>
To: amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, January 21, 2007 7:49:18 PM
Subject: [amibroker] help building Up volume / Down volume indicator
I would like to track the real time intraday up volume (at ask price)
versus the down volume (at bid price) in the Dow e-mini future contract
YM. I see the function Getrtdata() can return ask & bid prices to
compare with the last trade and trade volume. I am using the IB data
feed and trying to understand how it handles sending the price and
volume data. If anyone has done something similar to this or can offer
afl suggestions, I would greatly appreciate it.
Thanks,
Joe
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