Please bear with me as I try to clarify how this works.
I will be receiving TDA's 1 minute bars whenever they send them, presumably every minute regardless of whether there were trades during that minute; if not, I can simulate this within my plugin, so we can assume that it will effectively happen. The record contains fields for OHLC, and my plugin would send to RE either 4 trade ticks, one for each value, or only 1 trade tick, the C value, depending on what the particular trading strategy looks at. My plugin may or may not send any non-trade ticks; let's assume that it will not.
The time I get a TDA 1 minute bar is not necessarily at a minute boundary per my computer's clock.
If I send RE one trade tick per minute, will it immediately generate a 1 minute bar with identical values for OHLC, and pass control to my trading strategy? This is what I wish to happen. Or is RE's bar creation on its own schedule, perhaps tied to my computer's clock, causing a lag of conceivably up to 59+ seconds between sending the tick to RE and RE generating the bar and invoking the trading logic?
The next question is whether there is a way I can I send 4 trade ticks in rapid succession (OHLC) each minute, and only after all 4 ticks have been sent, have RE immediately generate a 1 minute bar using those ticks, and pass control to my trading strategy.
BTW, your response seems to imply that if I send RE no ticks for a symbol within a 1 minute period, no bar will get generated for that minute for that symbol. Is this the case?
Friday July 17 2009 by