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Hi,
I wonder if it's possible to get bid ask price with market depth. I mean I would like to get n offers above and below current price together with their price and volumne.
Assume that current price is 70.00, I would like to get all offers below and above, like 69.99 - vol 3, 69.98 - vol 10, and 70.10 vol 5, etc
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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Gurumeher Sawhney
QuantConnect does not provide order book data for equities (CMD). Futures, options and forex are supported, however the bid and ask prices are top of the book, or the best bid and ask price available. The data from equities is implemented through the TradeBar class while the other assets mentioned are implemented through the QuoteBar class. The link below contains information on TradeBar data and QuoteBar data for reference:
Bevan Cranston
Hello,
In regard to the last answer on this question, how can we say that depth of market data is supported for futures, but then only have the top level price and volumes available?
Like the person who asked this question, I would love to be able to execute beyond just the top level (on futures). I want to test my strategy capacity and different methods to fill orders. E.g. execute all on the current tick (from the top level down) or execute a some on the top few levels of that tick, and some on the next, and some on the next etc.Â
This may not be possible with the current QC setup, could someone please advise?
Mak K
Hey Bevan,
You might be able to do it with your own data source in the local environment, however this is the only post I could find about this and it doesn't tell you how to do it
https://www.quantconnect.com/forum/discussion/9241/suggestion-on-how-to-add-level-2-data-to-a-strategy/p1
Thanks!
Varad Kabade
Hi Bevan,
To add to Mak K's response, it's not possible to fetch this data at the algorithm level. We recommend going through the following thread for more information.
Best,
Varad Kabade
Radoslaw Smogura
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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