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Currency pair spread

Hi

is self.Securities["EURUSD"].AskPrice - self.Securities["EURUSD"].BidPrice correct for calculating spread for a currency pair (e.g. EURUSD)?  I am using minute resolution data.  Any issue with spread calculation if I don't use tick data?

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Yes that is the spread. It will reflect the instantaneous spread at the minute boundaries. 

If you want more detail you can use the QuoteBar:

self.Securities["EURUSD"].Bid.Open

(Open, High, Low, Close) for the spread range over minute

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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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