Bid/Ask pricing from Interactive Brokers

Hi Christopher Phillips,
Would you please attach a code snippet/backtest highlighting the above problem?
Best,
Varad Kabade

Hi Varad kabade ,

So this is how we are calculating the spread right now for backtesting:

# Define spread
           AskPrice = self.Securities[Symbol].AskPrice
           BidPrice = self.Securities[Symbol].BidPrice
           Spread = (AskPrice - BidPrice)

But all it does is output a constant value that doesn't change. This made me wonder whether this data is even accessible during a back test,  or perhaps this needs to be integrated into the symbolData class for it to even work?

Many thanks!

Hi Christopher,
We could not recreate the issue using the spread logic mentioned above. Would you please attach a backtest highlighting the error? If you comment out this snippet, you can see we get different spread values every second. Refer to the attached backtest.
 

if self.window.IsReady:
           self.Debug(str(self.window[0])+"--"+str(self.window[1]))

Best,
Varad Kabade

Hi Varad kabade , apologies, I've been out of town for a few days.

Here is the attached backtest. When you run it you can see that the spread is always the same value, and does not change.

Hi Christopher Phillips,
Sorry for the inconvenience caused. To resolve this, we have created a data issue subscribe to this thread for updates.
Best,
Varad Kabade

Varad kabade Thanks so much for the update. Really appreciate you looking into this!

Best,

Christopher