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Historic Bid/Ask data

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Hi,

I was wondering if it was possible to pull historic bid/ask data using the excel API tool. I've been using the mid data that's easy to get hold of using the tool and it's been really useful but l noticed that in the web platform detailed charts mid/bid or ask can be selected so it looks like the data is collected somewhere. Any help greatly appreciated.

Thanks 10k

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Hello,

 

XcelTrader does not provide the option to choose between Mid, Bid and Ask for the download of historical data. I've created an entry in our development backlog to add an option switching between price types when downloading historical data using XcelTrader.

 

Should you have strong coding skills you can code against the CIAPI directly, where you can select Mid, Bid or Ask specifically in the historical prices download request.

 

I've left the best solution to last. You can use our AT Pro desktop platform to export historical prices into a comma separated text file. In AT Pro charts, you can select from the drop down menu Mid/Bid/Ask price types. When the price data is exported it will be the particular price type you have selected.

 

There is one caveat, AT Pro can only load a maximum of 2500 price bars and the export function saves only the data loaded in the chart. 

 

For instructions on exporting the chart data, see the user assistance (UA) topic at: http://help.pro.advantagetrader.net/#Task Windows/Technical (Chart) Analysis/Copy Prices Tool.htm

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Many thanks Physicsman, yes the AT Pro tool does the job nicely. I could only get 500 separate points at a time and that the tick data was all mid but I was able to get a good feel for average spread sizes at different times (which is what I was really trying to do).

Yes it would be I would be great if a Bid/Ask option couldbe added to the historical data from Xceltrader - it would certainly help me a lot in the analysis I'm trying to do.

Thanks again 10k

 

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Hello,

 

AT Pro exports all the data loaded on a chart, which by default is 500 data points. The maximum that AT Pro can load in a chart is 2500, so that is the maximum amount of historical prices you can download.

 

If you want to download the full 2500 bars of data, you can change the settings in the Main Properties window. Access this window from the Environment > Options menu. In the Main Properties window, select General then Miscellaneous. The Max # of Bars is the setting to edit http://help.advantag...scellaneous.htm.

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