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    Get bid / ask price and size on Interactive Brokers data feed

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    • marticols
      marticols last edited by

      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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      • B
        backtrader administrators last edited by

        @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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        • farch investment
          farch investment last edited by

          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-bidask

          it's a WIP and considering this is not "crucial for me", I cannot guarantee I ll work beyond that proto.

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