Get bid / ask price and size on Interactive Brokers data feed
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I am developing and intraday strategy that uses tick data from IB.
For the strategy is crucial to implement cumulative delta, which needs ask and bid data. For now i see that backtrader is only for OCHL related data with the exception of generic CSV data feed that have implemented a way to load ask / bid data.
([https://www.backtrader.com/blog/posts/2016-03-08-escape-from-ohlc-land/escape-from-ohlc-land.html#escape-from-ohlc-land](link url))In other posts @backtrader say that is possible to implement this to Interactive brokers.
(Re: Anyone using Backtrader for live trading). Why is implemented only for backtesting and not in live environment ?
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@marticols said in Get bid / ask price and size on Interactive Brokers data feed:
Why is implemented only for backtesting and not in live environment ?
Neither nor. Please re-read things.
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here is a prototyped attempt to this - it has been tested live and does the job for my needs, but code clean up required.
https://github.com/florentchandelier/backtrader/tree/feat/ib/rt-bidaskit's a WIP and considering this is not "crucial for me", I cannot guarantee I ll work beyond that proto.
