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Hi,
I'm trying to get the bid/ask prices into my Renko event handler. I just want to calculate the spread before I make any orders. Since Renko only provides a Close, I'm not sure the best way to go about this?
I only need to calculate it at the time a Renko bar pops up, before I run my strategy. I could use my onData, but it feels like an unnecessary burden on compute resources to constantly calculate this at the Resolution rate (every second).
Thanks for any tips!
Upvote
Hi LE,
We can get the current spread by accessing fields of self.CurrentSlice[symbol], which gives us the current bar for the given symbol. I’ve shown this in the attached backtest.
Best,
Shile Wen
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LE
That's perfect, thank you Shile!
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