RealtimeData

Realtime Data

 

IB documentation:

• IB API reference
• http://www.interactivebrokers.com/download/inst/JavaAPIQuickReference.pdf
• http://www.interactivebrokers.com/download/JavaAPIGettingStarted.pdf
• http://www.interactivebrokers.com/download/JavaAPIExamples.zip

N.B. use ASK price only for all data (ie not midpoint/bid)

Subscribe to 15 second market data for NDX10 (top 10 Nasdaq stocks)

Store NDX10 data in Deque of max 4 slots (one for each 15 seconds)

When new data comes in & deque is full, remove the oldest data & notify subscriber.