Spread in Zorro S

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Spread in Zorro S #486767 10/03/22 20:47 10/03/22 20:47
Joined: Jan 2014 Posts: 86 London City B byakuren81 OP Junior Member
byakuren81 OP Junior Member B Joined: Jan 2014 Posts: 86 London City	Hello, Is it possible to record the bid-ask spread for .t1 data in Zorro S? From what I read the .t1 data contains one floating number only for a specific timestamp, positive for an ask price and negative for a bid price. Can two .t1 data be recorded with the same timestamp? I have read in the doc: "In test and train modes, marketVol returns the fVol element of .t6 historical data, or otherwise 0. The marketVal function returns the fVal element from .t6 data, or the ask-bid spread from .t1 or .t2 data, otherwise 0." So I wonder how the ask-bid spread can be computed if only one of the two has been recorded in the database as a .t1 data.

Re: Spread in Zorro S [Re: byakuren81] #486770 10/04/22 12:56 10/04/22 12:56
Joined: Jul 2000 Posts: 28,024 Frankfurt jcl Chief Engineer
jcl Chief Engineer Joined: Jul 2000 Posts: 28,024 Frankfurt	Yes, for storing the spread just use a T1 record with the negative bid and the same timestamp as the previous ask.

Re: Spread in Zorro S [Re: jcl] #486772 10/04/22 17:42 10/04/22 17:42
Joined: Jan 2014 Posts: 86 London City B byakuren81 OP Junior Member
byakuren81 OP Junior Member B Joined: Jan 2014 Posts: 86 London City	Ok thanks for your answer.

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