Can I get the current bid/ask spread into my code?

Batty · 2020-12-29T10:20:56+00:00

Hi all, Is it possible to get the current spread, or the current bid / ask (buy / sell) prices to use in a system? e.g. with Spot Gold, the spread varies – usually between 0.3 and 0.5 but sometimes it is higher … 0.8 or more depending on volatility in the market. In March this year it went much higher. So I’m trying to work out a function that will stop a system placing trades if the bid / ask spread is over a certain level. But I cannot see a way to get the spread or bid/ask prices into the system …. only “market price”. Any thoughts on this will be much appreciated.

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12/29/2020 at 11:20 AM #155533 quote

Batty
Participant

Junior

Hi all,

Is it possible to get the current spread, or the current bid / ask (buy / sell) prices to use in a system? e.g. with Spot Gold, the spread varies – usually between 0.3 and 0.5 but sometimes it is higher … 0.8 or more depending on volatility in the market. In March this year it went much higher. So I’m trying to work out a function that will stop a system placing trades if the bid / ask spread is over a certain level. But I cannot see a way to get the spread or bid/ask prices into the system …. only “market price”. Any thoughts on this will be much appreciated.

12/29/2020 at 11:38 AM #155535 quote

GraHal
Participant

Legend

Can’t be done with accuracy outside of published spreads by IG.

https://www.ig.com/uk/help-and-support/spread-betting-and-cfds/fees-and-charges/what-are-igs-indices-spread-bet-product-details

Spread goes up in times of high volatility so the nearest you will get is to use volatility as a proxy / guessestimate for spread.

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12/29/2020 at 12:13 PM #155543 quote

Batty
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Junior

OK – thanks for the info GraHal, I’ll have a look at the volatility route
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Can I get the current bid/ask spread into my code?

ProOrder: Automated Strategies & Backtesting

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This topic contains 2 replies,
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5 years, 9 months ago.

Topic Details

Forum:	ProOrder: Automated Strategies & Backtesting
Language:	English
Started:	12/29/2020
Status:	Active
Attachments:	No files