Download historical Spread

amusleh
23 Mar 2022, 07:50

Hi,

You can use historical tick data to get historical spread data.

Just get the historical tick data by using API ProtoOAGetTickDataReq message, and then calculate the spread by using each tick bid/ask prices, spread is the different between bid and ask price.

YesOrNot2
20 Aug 2024, 02:11

Spread Calculation

using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using cAlgo.API;
using cAlgo.API.Collections;
using cAlgo.API.Indicators;
using cAlgo.API.Internals;

namespace cAlgo
{
    [Indicator(IsOverlay = false, AccessRights = AccessRights.None)]
    public class SpreadPressure : Indicator
    {
        [Parameter("FastLimit", DefaultValue = "Tick")]
        public TimeFrame TF1 { get; set; }

        [Output("AskResult", PlotType = PlotType.Line, LineStyle = LineStyle.LinesDots, LineColor = "Lime", Thickness = 1)]
        public IndicatorDataSeries AskResult { get; set; }
        [Output("BidResult", PlotType = PlotType.Line, LineStyle = LineStyle.LinesDots, LineColor = "Red", Thickness = 1)]
        public IndicatorDataSeries BidResult { get; set; }
        [Output("SpredResult", PlotType = PlotType.Line, LineStyle = LineStyle.LinesDots, LineColor = "White", Thickness = 1)]
        public IndicatorDataSeries SpredResult { get; set; }

        private Ticks tick;

        protected override void Initialize()
        {
            tick = MarketData.GetTicks();
        }

        public override void Calculate(int index)
        {
            //var trying = (tick.Last(0).Ask - tick.Last(0).Bid) * Symbol.PipSize;

            //AskResult[index] = tick.Last(0).Ask;
            //BidResult[index] = tick.Last(0).Bid;
            SpredResult[index] = (tick.Last(0).Ask - tick.Last(0).Bid) / Symbol.PipSize;

        }
    }
}

YesOrNot2
20 Aug 2024, 02:39

Spread v2

Better This :

using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using cAlgo.API;
using cAlgo.API.Collections;
using cAlgo.API.Indicators;
using cAlgo.API.Internals;

namespace cAlgo
{
    [Indicator(IsOverlay = false, AccessRights = AccessRights.None)]
    public class SpreadPressure : Indicator
    {
        [Output("SpredResult", PlotType = PlotType.Line, LineStyle = LineStyle.LinesDots, LineColor = "White", Thickness = 1)]
        public IndicatorDataSeries SpredResult { get; set; }

        private Ticks tick;
        private Bars barstick;

        protected override void Initialize()
        {
            tick = MarketData.GetTicks();
            barstick = MarketData.GetBars(TimeFrame.Tick);

            while (barstick.OpenTimes[0] > Bars.OpenTimes[0])
                barstick.LoadMoreHistory();
        }

        public override void Calculate(int index)
        {
            var indexTf = GetIndexByDate(Bars.OpenTimes.Last(0));
            SpredResult[index] = (tick[indexTf].Ask - tick[indexTf].Bid) / Symbol.PipSize;
        }

        private int GetIndexByDate(DateTime date)
        {
            var bars = MarketData.GetBars(TimeFrame.Tick);
            for (var i = bars.OpenTimes.Count - 1; i >= 0; i--)
            {
                if (bars.OpenTimes[i] <= date)
                {
                    return i;
                }
            }

            return -1;
        }
    }
}

PanagiotisCharalampous
20 Aug 2024, 05:01

RE: Spread v2

YesOrNot2 said: 

Better This :

using System;using System.Collections.Generic;using System.Linq;using System.Text;using cAlgo.API;using cAlgo.API.Collections;using cAlgo.API.Indicators;using cAlgo.API.Internals;namespace cAlgo{    [Indicator(IsOverlay = false, AccessRights = AccessRights.None)]    public class SpreadPressure : Indicator    {        [Output("SpredResult", PlotType = PlotType.Line, LineStyle = LineStyle.LinesDots, LineColor = "White", Thickness = 1)]        public IndicatorDataSeries SpredResult { get; set; }        private Ticks tick;        private Bars barstick;        protected override void Initialize()        {            tick = MarketData.GetTicks();            barstick = MarketData.GetBars(TimeFrame.Tick);            while (barstick.OpenTimes[0] > Bars.OpenTimes[0])                barstick.LoadMoreHistory();        }        public override void Calculate(int index)        {            var indexTf = GetIndexByDate(Bars.OpenTimes.Last(0));            SpredResult[index] = (tick[indexTf].Ask - tick[indexTf].Bid) / Symbol.PipSize;        }        private int GetIndexByDate(DateTime date)        {            var bars = MarketData.GetBars(TimeFrame.Tick);            for (var i = bars.OpenTimes.Count - 1; i >= 0; i--)            {                if (bars.OpenTimes[i] <= date)                {                    return i;                }            }            return -1;        }    }}

You can also use Symbol.Spread