BackTest Bid/Ask spread constant
BackTest Bid/Ask spread constant
12 Nov 2012, 23:16
Hi there,
I dowloaded a couple of days worth of EURGBP prices (8th & 9th Nov) via the BackTesting module and found the Bid/Ask spreads to be constant. The funny thing is that each time I re-run the backtest, still for the same two days, the historical Bid/Ask spread is the same as the current Bid/Ask spread. So when I ran it yesterday (weekend) it was 2.5pips - which is the same as the closing Bid/Ask spread on Friday - and when run it now it's shrunk to 0.5pips - again matching the current Bid/Ask spread.
Investigating further it seems the Bid price is the same each time I run the BackTest, so Ask = Bid + Current Spread.
Are there historical prices which reflect the exact Bid/Ask price at the time?
Regards,
Harry.
Replies
deansi
30 Oct 2014, 02:14
RE:
Hi,
Any update on this? would really like to see more accurate backtesting resulting from actual spread at the time of the ticks that cbot would have traded, like dukascopy platform does.
admin said:
Hello,
We are planning on providing the actual tick data (actual spread) in the future. The current backtesting setting options for the spread are Fixed value, Random spread and Current live spread as you can see in the screenshot below.
@deansi
Spotware
30 Oct 2014, 09:14
Tick data backtesting was released couple of months ago. In order to run tick data backtesting you need to perform the following steps:
- select "Tick data from Server" in backtesting settings
- choose date range
- press "Start" button
After that tick data will be loaded and backtesting will be run over tick data.
@Spotware
admin
13 Nov 2012, 10:46 ( Updated at: 21 Dec 2023, 09:20 )
Hello,
We are planning on providing the actual tick data (actual spread) in the future. The current backtesting setting options for the spread are Fixed value, Random spread and Current live spread as you can see in the screenshot below.
@admin