Which weekday is Sunday – can code measure bid offer spread?

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08/14/2023 at 11:24 AM #219030 quote

SkySurferBlue
Participant

New

Hi

I had code running from the beginning of this week and it had the following filter.

If Dayofweek = 7 then

TradeOK =0

else

Tradeok =1

endif

The code proceeded to execute a trade at market open around 10:03pm (Berlin time)

So my filter did not stop it.

If I change it to

If Dayofweek >= 1 then

TradeOK =1

else

Tradeok =0

endif

Then it did prevent the trade. But it will create other problems for my code and if Sunday is regarded as 7 then it may still place a trade.

I do not want to let the algos trade so early at the start of the week as bid offer spreads are too wide and unpredictable.

Is there maybe another solution where one can create code that measures the current bid offer spread to create a better filter?

08/14/2023 at 12:35 PM #219031 quote
Nicolas
Keymaster

Master
There is no way to get the spread by code.

In order to limit orders during the day, you can add conditions based on TIME:
```
gotrade = time>=080000 

if gotrade and BuyCondition then 
 buy at market 
endif
```
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Which weekday is Sunday – can code measure bid offer spread?

ProOrder: Automated Strategies & Backtesting

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SkySurferBlue @skysurferblue Participant

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This topic contains 1 reply,
has 2 voices, and was last updated by Nicolas
2 years, 6 months ago.

Topic Details

Forum:	ProOrder: Automated Strategies & Backtesting
Language:	English
Started:	08/14/2023
Status:	Active
Attachments:	No files

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