When charting, it is sometimes helpful to know which market is the most active (i.e. has the most volume traded) for a given date. The T4 API supports this via a BeginRequestMarketTradeVolumeData
method off of the Contract object. This request will provide the total trade volumes for every market of a contract on a given trade date.
This method takes a Trade Date parameter and a callback, and operates in much the same way a Market chart data requests.
Once the request is submitted and the data is collected, the callback will be called passing the ChartDataMarketVolumeRequest
object as the sole parameter. After checking to make sure the Status property has a value of Completed, you can access the resulting data using the Data property.
The Data property of this request type is an array of MarketTTV
objects which will give you a list of every market for the contract and their Total Traded Volume’s for the date requested.