I use Interactive Brokers and was looking Time & Sales and am trying to understand where that data is coming from. I'm aware there are issues with IB and its a mess but I would like to know how NT constructs the T&S.
IB can send tick data using tickPrice or RTVolume, so the question is. Does NT use RTVolume only and the tick data I see is the output of that data request. Or does NT make both requests for TickPrice and RTVolume and then try to remove duplicates or try to do the best it can with junk
Any expert comments would be very helpful.
Thanks
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