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Quarterly Open-Source Trading Competition

The Open-Quant League is a quarterly competition between universities and investment clubs for the best-performing strategy. The previous quarter's code is open-sourced, and competitors must adapt to survive.

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The Open-Quant League is a quarterly competition between universities and investment clubs for the best performing strategy. Previous quarter's code is open-sourced, and competitors must adapt to survive.

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Get bid-ask spread based on Quote Tick data

Hi,

I’m looking into how to get bid-ask spread based on Quote Tick data. But I noticed that in each quote tick, it has either bid or ask, but not both. Is it expected for QC’s quote tick? I do see in some other data provider quote data has both bid and ask.

if this is expected, I guess the correct way is to store latest bid and ask data separately and then calculate the spread?

thanks!

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WinJ Chen

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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.

Mia Alissi

STAFF Pro ,

class BidAskSpreadAlgorithm(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2021, 1, 1)
        self.set_end_date(2021, 12, 31)
        self.set_cash(100000)
        self.symbol = self.add_equity("SPY", Resolution.TICK).Symbol
        self.latest_bid_price = None
        self.latest_ask_price = None

    def on_data(self, data: Slice):
        for tick in data.ticks.get(self.symbol, []):
            if tick.bid_price is not None:
                self.latest_bid_price = tick.bid_price
            if tick.ask_price is not None:
                self.latest_ask_price = tick.ask_price

            if self.latest_bid_price is not None and self.latest_ask_price is not None:
                spread = self.latest_ask_price - self.latest_bid_price
                self.log(f"Bid-Ask Spread: {spread}")

Sources: Handling Data - QuantConnect.com, Handling Data - QuantConnect.com, US Equities - QuantConnect.com, Handling Data - QuantConnect.com, Data Preparation - QuantConnect.com

WinJ Chen INVESTOR

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339,200 Quants.

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Get bid-ask spread based on Quote Tick data

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