Is it possible when coding in PRT to get the current spread of a product?
eg for GERMANY 30 DFB I would like to either extract the Bid-Ask or the current spread and use that in my automated trading ?
Thanks
No that’s not possible. There are still no instructions to get that values from the broker data stream. I know PRT is working on something to make it possible in the future but I dont know when and how it will be implemented.
Is it still the case that the bid/offer or spread is not available for use in automated trading?
It is still not available.
I’m trading an equity with a typical 30 point spread. During occasional periods of high volatility, the spread can increase to 100-300. The algo works well during normal trading (30 point spread) but when the spread increases I want it to stop trading (otherwise orders are created which instantly trigger the stop loss). Any suggestions?
Any suggestions?
Ask IG to forward spread data to PRT!
PaulParticipant
Master
not ideal but compare the theoretical entry price+spread to the paid price and stop taking new trades if it exceeds xx points.
the spread can increase to 100-300
Does above occur during periods where ATR[2] > X ?
Or during closed cash market hours?
Or some other measure than can be used to prohibit trades?
Any suggestions?
Normally I do 2 things, 1/ use ATR and avoid high volatility, 2/ Check the IG published spread, like here and avoid trading during those high spread hours using time function
Thanks all. Taking ATR into account helps. The spread also widens when trading around ATH’s so I’ll need to take this into account. Hopefully, IG can directly provide the spread data in future!
GabyParticipant
Average
I had the same problems with my Algos trading some majors and minors. For example: AUD / USD usual spread is less then 1ppp but during Sunday’s opening the spread jump to 12 ppp.
There is a page published by IG gives you some indications on average spread values, but peaks (like during Sunday’s market) are not disclosed:
https://www.ig.com/uk/help-and-support/spread-betting-and-cfds/fees-and-charges/what-are-igs-forex-spread-bet-product-details
The only line of defense is what fellow Dow Jones mentioned already: avoid trading during low liquidity periods (Sunday + 21.57 – 24.00 every other day), where usually the spreads skyrocket…
ly spread
