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Hi,
As I understand, for backtesting all I can see is some traders that happen over aggregation period. What if during some period there are no trades and bid/ask decrease? Imagine bid/ask were 100/101, then 99/100, then 98/99 all without selling a single share? In that kind of case algorithm stays "blind" to price changes until a single share is sold.
For livetrading I'd expect the same problem to exist, but IB most certainly provide all that same stuff that is visible in the ir app (like bid/ask, l2 book etc). Is there a way access that info via QC api?
Link Liang
Hi Mike,
QuantConnect doesn't currently support quotes on equities data at the moment, but they are fully supported on Futures, Options, Forex, Crypto and Cfd. You could find more information about usage of quotes here. Moreover, we provide tick level resolution data while IB only has 300ms aggregated bars.
There is no way to bypass QuantConnect's layer and connect directly to IB. QuantConnect is broker neutral - this means we support many brokerages, where they can be substituted for each other without algorithm changes.
Thank you for your support!
Mike HU
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