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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
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byakuren81 Offline OP
Junior Member
byakuren81  Offline 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: 27,967
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,967
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
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byakuren81 Offline OP
Junior Member
byakuren81  Offline OP
Junior Member
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Joined: Jan 2014
Posts: 86
London City
Ok thanks for your answer.


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