Best Practices for Bid/ Ask prices within Renko Consolidator?

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Hi, 

I'm trying to get the bid/ask prices into my Renko event handler. I just want to calculate the spread before I make any orders. Since Renko only provides a Close, I'm not sure the best way to go about this? 

I only need to calculate it at the time a Renko bar pops up, before I run my strategy. I could use my onData, but it feels like an unnecessary burden on compute resources to constantly calculate this at the Resolution rate (every second). 

Thanks for any tips!

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Hi LE,

We can get the current spread by accessing fields of self.CurrentSlice[symbol], which gives us the current bar for the given symbol. I’ve shown this in the attached backtest.

Best,
Shile Wen

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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.


That's perfect, thank you Shile!

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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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