Requesting live quote data using TWS API and C++

Disclaimer

This tutorial is to be used at your own risk. By using this tutorial you agree not to hold the writers of this tutorial, StockBotProgramming.com, or anyone affiliated with StockBotProgrammign.com liable for any damages that may occur as a result of using this tutorial and/or provided source code.

This tutorial will assume you have a copy of Visual Studio 2005 and have Interactive Broker's TWS API installed. You can get a copy Visual Studio Here, and the TWS API is available for download Here.

It is highly recommended that you read Connecting to Interactive Brokers TWS Using C++ before attempting this tutorial. If you have any suggestions regarding this tutorial or if you notice any mistakes please suggest it here.

Today we are going to modify our code to request live quote data for MSFT and print it to the screen. Go ahead and open up your code from Connecting to Interactive Brokers TWS Using C++. If you did not complete the tutorial, you can download the full source code at the end of its page.

If you have already completed the c++ requesting historical quote data tutorial then this one will seem very familiar. The first thing we will want to do is add the following line into the function event_error() if you have not already done so:

printf("\nError %s",error_string);

We do this so that we will know if any errors happen while attempting to request our data. Now go to the main function. We will need to specify a security that we wish to get data for. Add the following lines:

tr_contract_t contract;
memset(&contract, 0, sizeof contract);
contract.c_symbol = "MSFT";
contract.c_sectype = "STK";
contract.c_expiry = "";
contract.c_right = "";
contract.c_multiplier = "";
contract.c_exchange = "SMART";
contract.c_primary_exch = "";
contract.c_currency = "USD";
contract.c_local_symbol = "";

The above code specifies which security we want to retrieve live data for. The most commonly changed attributes are:

• c_symbol: This is the symbol for the security.

• c_sectype: This is the type of security, valid values are: "STK","FUT","OPT","IND","FOP","CASH"

• c_exchange: Here you specify what exchange the security trades on.

• c_currency: What currency the security trades in.

Now we have the security defined. The next step is to simply make the request. To do so add the line:

tws_req_mkt_data(tws,0,&contract);

This function call has 2very important parameters.

• Parameter 2: This is an ID value. Essentially anytime you make a request for market data for a new security, give the function a new id. When data for that security is returned it does not tell you what symbol the data belongs to. Instead it will return that ID back. You then match up your ID's to determine which symbol the market data coming in goes to.

• Parameter 3: The contract structure that specifies which product we wish to request data for.

Now that the request has been made we need to ensure that the program will not exit before the quotes come in. Add the following lines:

while(1==1)
{
}

When live quote data comes in, the data will come in through one of two functions. If the data deals with a price such as close, last, bid, ask.... then the event_tick_price() function is called. If the data deals with a size such as volume, bid size, ask size... then the event_tick_size() function will be called. Knowing this add the following lines to the event_tick_price() function:

printf("\nPrice Update: Ticker Id: %d Type: %d Price: %f",ticker_id,field,price);

In the above print statement you see a variable called "field". This value specifies which type of price data is being sent:

• field=1 means bid price

• field=2 means ask price

• field=4 means last price

• field=6 means high price

• field=7 means low price

• field=9 means close price

Now that we can capture price data updates we need to add the following line to the event_tick_size() function:

printf("\nVolume Update: Ticker Id: %d Type: %d Size: %d",ticker_id,field,size);

In this function the "field" value has the following meanings:

• field=0 means bid size

• field=3 means ask size

• field=5 means last trade size

• field=6 means volume

Now you should be able to make TWS send you all the live price/volume information you need to make your trading decisions.

Download the full source for this tutorial Here