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Spread that is returned by the marketVal #470649
01/28/18 14:45
01/28/18 14:45
Joined: Dec 2017
Posts: 129
Halifax, NS
K
kujo Offline OP
Member
kujo  Offline OP
Member
K

Joined: Dec 2017
Posts: 129
Halifax, NS
Hello,

I'm using M1 data with BarPeriod = 1440. I assumed that a Spread returned by the marketVal() should be an average spread for a bar, in my case the daily bar. However, the returned spread is a spread for a last M1 tick in a daily bar.

Is it working as designed?

Re: Spread that is returned by the marketVal [Re: kujo] #470654
01/29/18 00:26
01/29/18 00:26
Joined: Feb 2017
Posts: 1,806
Chicago
AndrewAMD Offline
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AndrewAMD  Offline
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Joined: Feb 2017
Posts: 1,806
Chicago
Not as you describe. Only one value is sampled to represent the bar.

Also, different plugins may use different values for MarketVal, not necessarily spread.

Re: Spread that is returned by the marketVal [Re: AndrewAMD] #470655
01/29/18 01:55
01/29/18 01:55
Joined: Dec 2017
Posts: 129
Halifax, NS
K
kujo Offline OP
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kujo  Offline OP
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K

Joined: Dec 2017
Posts: 129
Halifax, NS
Originally Posted By: AndrewAMD
Not as you describe. Only one value is sampled to represent the bar.

Also, different plugins may use different values for MarketVal, not necessarily spread.


You mean that it's working as designed? The returned value shouldn't be the average value but the value of the last tick representing the bar?

I'm using M1 data files from Zorro's site with spread values

Last edited by kujo; 01/29/18 02:06.
Re: Spread that is returned by the marketVal [Re: kujo] #470661
01/29/18 09:35
01/29/18 09:35
Joined: Jul 2000
Posts: 28,022
Frankfurt
jcl Offline

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jcl  Offline

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Joined: Jul 2000
Posts: 28,022
Frankfurt
The spread is the spread of the close, viz. the last ask-bid quote of the bar.


Moderated by  Petra 

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