I think I might be be missing something here.
So let's say I'm running an algorithm with Resolution.Tick.
OnData I can get Tick from Ticks. I see Price and LastPrice, but I don't get anything for Ask or Bid.
Attached project Debugs: 204.70000000, 0, 0
Where 204.7 is the Price, but 0 and 0 are ask and bid.
Is this info not available?
Documentation states "Because of current data limitations we can only provide Trade ticks."
Not sure if this is apposed to "Quote ticks", but this data seems critical in the SpreadSlippageModel.
public virtual decimal GetSlippageApproximation(Security asset, Order order)
{
var lastData = asset.GetLastData();
var lastTick = lastData as Tick;
// if we have tick data use the spread
if (lastTick != null)
{
if (order.Direction == OrderDirection.Buy)
{
//We're buying, assume slip to Asking Price.
return Math.Abs(order.Price - lastTick.AskPrice);
}
Jared Broad
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Levitikon
Michael Handschuh
Levitikon
Bo
@MichaelH Hello Michael, thanks for introducing yahoo order book. I wonder if there's historical data for L2 so that lean can backtest the micro structure as well? That'll be great.
Levitikon
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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