I would like an example to get the bid and ask size for a bin interval using a Python API call.
I was calling the TickHistoryIntradaySummariesExtractionRequest, where there is the Number of Bids/Asks but not the size. I assume it should be possible to get the Bid/Ask size in the bin?
The Bid/Ask size in TickHistoryTimeAndSalesExtractionRequest is not binned data and I am not interested in the tick data.
I am looking to get this info for all history so the only way would be to download all the tick data using TickHistoryTimeAndSalesExtractionRequest and have to do the binning at my end for a number of RICs. Is there anyway other way to do this? There are a number of RICs that I am looking to do this for.
The documentation for Intraday summaries also says that the VWAP is listed but I cannot find that either. Is that available?