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Hey folks,
I'm trying to best determine slippage before buying a security. There is already a nice looking SpreadSlippageModel in the code base that seems to calculate slippage based the difference between ask/close and bid/close which should seal the deal. But, it only seems to work with Tick resolution.
When calling asset.GetLastData() on anything other than a Tick, I don't have access to the previous ask and buy prices. So I think I really need to get a hold of the last Tick. Is there a way to do this? I gave the History method a shot, but it doesn't support Tick + Steps, only timespan. And I can't accurately assume when the last tick would have been nor do I want to incur such a performance hit increasing the timespan, especially when around day and weekend fringes.
So, how do I get the last Tick when working with a security in Minute or Second resolution?
Michael Handschuh
Levitikon
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