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FXCM Spread Discrepancy?

On the FXCM website it seems the live EUR/USD spreads throughout the day are around 0.1-0.3 or so. (during high liquidity)

Using OANDA I am getting the correct ~1.3-1.5 spreads to display in my algorithm. I wanted to know what what effect these low FXCM spreads would have on my strategy, so I switched to the FXCM data and brokerage model. However, from my math the spreads over the day look to be ~2.1 ? Is this to be expected? Or is it me who is doing something wrong?

Thank you for any information! 

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Hi LE,

If you are checking the spread on a live algorithm, it is possible that the spread was higher during that day than the historical average. According to the FXCM website, the average historical spread on FXCM for EUR/USD is about 1.3 pips. There are also different FXCM account types with different spreads. For example, Active Trader accounts provide the smallest spreads. 

We should also make sure we are calculating the spread correctly. A QuoteBar consists of an ask bar and a bid bar. We should take the difference between the close of the ask bar and the close of the bid bar. Hope that helped! If you have any other questions, please don't hesitate to ask!

Best
Rahul 

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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.


Thanks for the advice Rahul. I am indeed using the close prices. It seems to work for Oanda. Perhaps it is the difference in accounts as you mentioned!

Another question: How can I get Forex data from Interactive Brokers? 

For example:

self.AddForex("EURUSD", Resolution.Minute, Market.Oanda)

I see that Interactive Brokers is listed with Forex in the live trading documentation, but no instructions on what "Market.X" to add in the Forex documentation.

I would need the data to trade live with it?

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Hi LE; 

Sorry, we do not have the Interactive Brokers' historical spread data. They do not offer a historical archive of this for us to host on QuantConnect. Additionally, as a US entity, QuantConnect can no longer test Interactive Brokers FX trading so I cannot be sure it is working at this time.

Do you mind testing if it is working and assisting the debugging if not? I'll throw in some free live trading months =)

Best

Jared

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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 Jared, 

Thanks for the information. I really appreciate the Quantconnect system and what it's allowed me to do. I would like to help out the project but unfortunately do not have an Interactive Brokers account at this time (I was just hoping to first test my strategy with their spread/fee model). Would this work with an IB free trial account? Perhaps I could open one when I have some time. I'm also a relatively new programmer so not sure I would be much help with advanced debugging if that's a concern.

Cheers

 

 

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Hey LE; no its fine, in this case, I would highly recommend using IB for equities; but a specialist FX brokerage (OANDA/FXCM) for Forex. IB does not allow retail fx trading any longer. 

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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.


Thanks Jared, I am indeed planning on using Oanda but the spreads are a little high for my strategy. I do think I am in a region where IB still provides retail FX trading, so perhaps I could still help? If I were to try it on a live/free trial account, how would I import IB FX data? I'm not sure what to use as "Market" in the AddForex method. 

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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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