I can't seem to access the Top Of Book (Aka, level 1) data at a given instant with my code. 

The logs show that for each Bid/AskSize quote I receive, either the BidSize field or the Ask Size field is left empty. The tick only contains the most recent order and doesn't show the current best orders. Does anyone know how I can fix this and get access to the current Top Of Book data?
 

caleb-eldredge_1734538672.jpg
  1. from AlgorithmImports import *
  3. class BidAskImbalanceAlgorithm(QCAlgorithm):
  5.     def Initialize(self):
  6.         self.SetStartDate(2024, 6, 1)  # Set Start Date
  7.         self.SetEndDate(2024, 6, 10)   # Set End Date
  8.         self.SetCash(100000)           # Set Strategy Cash
  9.         self.symbol = self.AddEquity("AMD", Resolution.Tick).Symbol
  10.         self.target_percentage = 0.25
  11.         self.imbalance_threshold = 0.7
  13.     def OnData(self, data):
  14.         if self.symbol not in data.Ticks:
  15.             return
  17.         ticks = data.Ticks[self.symbol]
  18.         for tick in ticks:
  19.             if tick.TickType != TickType.Quote:
  20.                 continue
  22.             bid_size = tick.BidSize
  23.             ask_size = tick.AskSize
  24.             total_size = bid_size + ask_size
  26.             if total_size == 0:
  27.                 self.Debug(f"Total size is zero. Bid: {bid_size}, Ask: {ask_size}")
  28.                 continue
  30.             bid_imbalance = bid_size / total_size
  31.             self.Debug(f"BidSize: {bid_size}, AskSize: {ask_size}, Bid Imbalance: {bid_imbalance}")
  33.             holdings = self.Portfolio[self.symbol].Quantity
  34.             self.Debug(f"Current Holdings: {holdings}, Bid Imbalance: {bid_imbalance}")
  36.             if bid_imbalance > self.imbalance_threshold and holdings <= 0:
  37.                 self.Debug("Entering a long position.")
  38.                 self.SetHoldings(self.symbol, self.target_percentage)
  39.             elif bid_imbalance < self.imbalance_threshold and holdings > 0:
  40.                 self.Debug("Exiting the position.")
  41.                 self.Liquidate(self.symbol)
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Author

Caleb Eldredge

December 2024