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In order to get tick data from a futures contract I used the OnData(Ticks ticks) event handler. Among the properties of the Tick data type is the TickData which is a enumeration with 3 possible values: Trade, Quote and OpenInterest. Using the CME futures contract 6E I could read any tick having the Trade type. The first read is a OpenInterest tick and after it came the Quote ticks. The tick data type also have a LastPrice among others, which match the BidPrice or the AskPrice depending on the market action.
How do I interpret LastPrice ?
Is it the last price 'traded' or just 'quoted' on the bid or ask ?
If it is the last price 'quoted' then how do I get the trade data ?
Thanks
Raimar
Raimar
Correction -> "couldn't read any tick having Trade type"
Raimar
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