@hercp, at RTB 5sec level TWS api still deliver a OLHC bar.
But the TWS api implementation under 5 sec deliver price based on tick data. The IBStore (based on IBPy2) pull tickers with tick code= 233 for non "CASH" symbols, take a look into function def reqMktData() and IBData feed take this and calculate a price usinf function def _load_rtvolume():
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@li-mike I don't think BT supports "boxed" positions (simultaneous long and short in the same security) but I would think you could fake it by adding the same feed for the security twice and just treating one of them as the long and the other as the short.
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