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The contents of ticks_efp need to be validated #6

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chipkent opened this issue Jan 25, 2022 · 1 comment
Open

The contents of ticks_efp need to be validated #6

chipkent opened this issue Jan 25, 2022 · 1 comment
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@chipkent
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The contents of ticks_efp need to be validated. EFPs are very poorly documented by IB. It will take some research and experimentation to figure out how to get EFP data.

I suspect the data is obtained via request_market_data(contract), where contract is an EFP contract. Unfortunately, IB does not document how to create such contracts, and it is not obvious in TWS.
@chipkent chipkent self-assigned this Jan 25, 2022
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This may be a hint.
https://www.interactivebrokers.com/php/whiteLabel/Making_Trades/SpreadTrader/efp.htm

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