get the current spread of a product?

MacroT · 2019-06-06T08:48:29+00:00

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

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06/06/2019 at 9:48 AM #100029 quote

MacroT
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Average

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

06/06/2019 at 4:58 PM #100048 quote

Nicolas
Keymaster

Legend

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.

08/21/2020 at 2:34 PM #142218 quote

drkay
Participant

New

Is it still the case that the bid/offer or spread is not available for use in automated trading?

08/21/2020 at 4:27 PM #142228 quote

Vonasi
Moderator

Master

It is still not available.

08/21/2020 at 5:47 PM #142238 quote

drkay
Participant

New

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?

08/21/2020 at 7:18 PM #142243 quote

Vonasi
Moderator

Master

drkay wrote:

Any suggestions?

Ask IG to forward spread data to PRT!

08/21/2020 at 7:52 PM #142246 quote

Paul
Participant

Master

not ideal but compare the theoretical entry price+spread to the paid price and stop taking new trades if it exceeds xx points.

08/21/2020 at 8:50 PM #142249 quote

GraHal
Participant

Master

drkay wrote:

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?

08/22/2020 at 7:09 AM #142259 quote

Dow Jones
Participant

Veteran

drkay wrote:

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

08/22/2020 at 11:43 AM #142264 quote

drkay
Participant

New

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!

09/05/2021 at 9:54 PM #176839 quote

Gaby
Participant

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
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