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What price does Portfolio[Symbol].Price return?

Hi guys.

What price(Bid/Ask/Last) does Portfolio[Symbol].Price return? Is it filtered in QC to disregard bad ticks or is it pushed directly by the broker(IB in my case)?

The reason I am asking, I got 2 trades, on consecutive 1 minute bars, market open and market close that executed at the same price, but were trigered by Portfolio.Price >1% from the market at that time, and there had been no spikes or any major moves in the minute between the two bars.

Thanks

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Price is whatever the last BaseData object was for that moment; if you're using tick resolution it'll be every tick; otherwise it'll be the tradebars close value. The data comes from NASDAQ Last Sale which accounts for about 60% of the market volume.

We're working on a way now to set any data provider for your algorithm. This will let you set IB as your brokerage (IB ticks are greatly down sampled though). We can give more specific help but would need to review the project through a support request.

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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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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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