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Does QC provide bid/ask updates even if there were no trades?

Hi,

As I understand, for backtesting all I can see is some traders that happen over aggregation period. What if during some period there are no trades and bid/ask decrease? Imagine bid/ask were 100/101, then 99/100, then 98/99 all without selling a single share? In that kind of case algorithm stays "blind" to price changes until a single share is sold.

For livetrading I'd expect the same problem to exist, but IB most certainly provide all that same stuff that is visible in the ir app (like bid/ask, l2 book etc). Is there a way access that info via QC api?

 

 

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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.


Hi Mike,

QuantConnect doesn't currently support quotes on equities data at the moment, but they are fully supported on Futures, Options, Forex, Crypto and Cfd. You could find more information about usage of quotes here. Moreover, we provide tick level resolution data while IB only has 300ms aggregated bars.

There is no way to bypass QuantConnect's layer and connect directly to IB. QuantConnect is broker neutral - this means we support many brokerages, where they can be substituted for each other without algorithm changes.

Thank you for your support!

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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.


Update Backtest





0

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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