I try to write a simple script to count how many lots traded from bid/offer side of the market.When using OnMarkeData function for MarketDataType == MarketDataType.Last, it looks like it catches also implieds trades (that is trades which have not actualy taken place, but the calendar spread traded in this contract and this event is reported as trade).
I am using Intereactive Brokers and made some tests in GC (gold) Nymex.
Have anyone the idea how to filter out those impliedes trades?
Below is a fragment of a code:
protected override void OnMarketData(MarketDataEventArgs e){
if (e.MarketDataType == MarketDataType.Last)
{
Print(e.Price.ToString()+" "+e.Volume.ToString());
return;
}
}
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