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Historical Mid prices?

sz697888sz697888 Posts: 17
in Support

Hi guys,

I'm implementing some kind of stat arb strategy on CQ. In additional to last prices, I want to keep track of the mid prices of equities as well. I have looked at bar.minute. Apparently there is only vwap and last price available. Is there any way to get the mid price from somewhere? Any help would be appreciated. Thanks!

Simon

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Comments

  • shayneshayne Posts: 70

    Simon ,

    The minute bar doesn't track the average mid-point. How (ask-bid/2) and when (on every trade and/or nbbo price change) would it be calculated?

  • sz697888sz697888 Posts: 17

    Hi,

    I'm trying to retrieve historical mid points for stock A and B at the start of everyday. As we have a new instance of strategy class at the start of everyday, I have to be able to retrieve the historical mid prices in order to do some calculations and keep the historical prices in to a data container. During the day, I can use "nbbo update" to keep track of the mid price and update the data container.

    @shayne said:
    Simon ,

    The minute bar doesn't track the average mid-point. How (ask-bid/2) and when (on every trade and/or nbbo price change) would it be calculated?

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