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Hello,
I am somewhat confused about Oanda's Core Pricing and live data feeds.
For example using QC's historical data, at 6/15/2022 00:00, the closing price on EURUSD is 1.04348 with bid/ask prices at 1.04339/1.04357. Suppose that we purchased $1 worth of this pair (ignoring slippage), then we now own 0.95824 EUR and have “paid” a spread of 0.9 pips.
With Oanda's Core Pricing, they offer a reduced spread and let's suppose that it is 0.4 pips. This mentions that “the spread is built into the price of the trade”. Does this imply that the live data feeds themselves are different depending on whether the account is set to Standard vs Core Pricing, or that the prices are the same but any market orders are automatically filled at more favorable prices (e.g. 1.04352 in the example above)?
Louis Szeto
Hi Adam
Sorry the data feed in QC is using standard tick data only, but by this information on Oanda's website, I'd say your filling behavior and commissions will be adjusted accordingly on their end. You may refer to this thread for mimicking the Core Pricing account's properties in your backtests.
Best
Louis
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Adam W
Thanks Louis,
That thread seems to suggest the data feed itself will be different under Core Pricing, which answers my question.
I'll probably just stick to the standard tick-data/spread-only account as it is much more intuitive. I suppose how they calculate the reduced spread/filling behavior is also proprietary since they are market makers, so it'd be hard to fully mimic in a backtest as well.
Manav Trivedi
Any difference between the pip / bid-ask values creates an opportunity to exploit while developing strategies. Good job on sharing this by this discussion!
Adam W
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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