Bid / Ask in live trading

Taewoo Kim

I read the FAQ on bid/ask :

I want to trade using bid-ask prices

Not a goal of this platform. You may still feed the prices to your own defined lines in the data feed and use them. See the documentation for extending data feeds.

I did notice this example, but this is for local CSV files

class BidAskCSV(btfeeds.GenericCSVData):
    linesoverride = True  # discard usual OHLC structure
    # datetime must be present and last
    lines = ('bid', 'ask', 'datetime')
    # datetime (always 1st) and then the desired order for
    params = (
        # (datetime, 0), # inherited from parent class
        ('bid', 1),  # default field pos 1
        ('ask', 2),  # default field pos 2
    )

Are there examples of how this is done on live broker feed?

I saw the oandatest.py example, but can't seem to tell how to reference openAsk, openBid, etc variables when args.bidask is passed

backtrader

@Taewoo-Kim said in Bid / Ask in live trading:

args.bidask is passed

That argument is only telling the data feed which price group to use as reference for the tick price. The data feed can actually also ask for the midpoint. See: Docs - Data Feeds Reference, specifically the Oanda parameters.

Taewoo Kim

SO i see this:

useask (default: False)

If True the ask part of the bidask prices will be used instead of the default use of bid

Is there way to reference both bid AND ask as separate lines? I.e. is there a way I can reference soemthing like

doSomething(self.datas[0].ask[0])

and

doSomething(self.datas[0].bid[0])

Given the constraints of the BT framework, the only way I can think of is creating data streams

data0 = store.getdata(dataname=conf_ini["general"]["oanda_currency"], **bid_params)
data1 = store.getdata(dataname=conf_ini["general"]["oanda_currency"], **ask_params)

But doesn't this require 2 streamer connections? According to Oanda,

Two active rate stream connections per access token.

Not to mention this seems kinda wasteful and prone to problems

backtrader

@Taewoo-Kim said in Bid / Ask in live trading:

Is there way to reference both bid AND ask as separate lines? I.e. is there a way I can reference soemthing like
doSomething(self.datas[0].ask[0])

and
doSomething(self.datas[0].bid[0])

No.

@Taewoo-Kim said in Bid / Ask in live trading:

Given the constraints of the BT framework

It's not a constraint. The design and functionality of the platform don't fit your expectations, which is entirely different.

@Taewoo-Kim said in Bid / Ask in live trading:

the only way I can think of is creating data streams
data0 = store.getdata(dataname=conf_ini["general"]["oanda_currency"], **bid_params)
data1 = store.getdata(dataname=conf_ini["general"]["oanda_currency"], **ask_params)

But doesn't this require 2 streamer connections?

Yes.

YELNAr

How to get bid and ask values on Interactive Brokers