How to get the spread at the exact instant?

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  • 11/16/2017 at 11:40 AM #52983 quote
    pieroim
    Participant
    Average

    As in the subject, is there an instruction to get the spread at the exact instant? (variable spread) Or at least the spread of the instrument in the case of fixed spreads.

    Thank you Piero

    11/17/2017 at 12:23 AM #53069 quote
    Vonasi
    Moderator
    Master

    Nope! Spread will vary second to second, minute to minute, hour to hour and day to day and no PRT strategy will ever know what the exact spread is. Backtesting is based on mid price and whatever fixed spread you set for backtesting. So do not try to write a scalping strategy that takes one or two pips as it will not work in real life as it appears to do in backtesting –  you will be poor very quickly!

    11/17/2017 at 9:49 AM #53088 quote
    pieroim
    Participant
    Average

    This is not for a spread strategy but for to do so that the screening routine give me results considering the spread too.. this is very important for my screening routine.

    11/17/2017 at 1:34 PM #53109 quote
    jebus89
    Participant
    Master
    If you use IG they have posted all the “average real spreads” on instruments. Might help? 🙂 Usually a bit above the spread that it says.
    01/11/2019 at 12:26 AM #88347 quote
    buffster76
    Participant
    Average
    It would be really helpful if PRT gave “live” spread feedback but as far as I know it’s not available. I’ve been gathering some historical spreads by running 2 scripts/codes in DEMO mode, one code that buys every tick and the other that sells. Then copy results into Excel and this gives you spread over 24/7. Obviously each script will lose money but that’s ok in Demo mode. This gives an idea of what spreads might be like, but I guess it won’t be accurate in real-time
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How to get the spread at the exact instant?


ProOrder: Automated Strategies & Backtesting

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pieroim @pieroim Participant
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This topic contains 4 replies,
has 4 voices, and was last updated by buffster76
7 years, 1 month ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 11/16/2017
Status: Active
Attachments: No files
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