spread indicator for strategy

Paul · Mon, 16 Oct 2017 02:29:03 +0000

Hi! You can set the spread in PRT. But I wonder. First create an static indicator based on information of the spread for different trading hours from IG website for i.e. the dax. Then use the call function to get the information and code the spread in the strategy manually and have a more accurate backtest when trading 24h. Is it worth it or is it not possible to code ? I tried to get an indicator running for a visual impression. What’s wrong with this code. Between 22u and 8u shows 0, which should be 5. Other spreads are displayed correct. //spread settings dax // Start Trading Window ONCE stw1 = 090000 ONCE stw2 = 173000 ONCE stw3 = 220000 ONCE stw4 = 080000 // End Trading Window ONCE etw1 = 173000 ONCE etw2 = 220000 ONCE etw3 = 080000 ONCE etw4 = 090000 // Trading Window specified tw11 = time >= stw1 tw12 = time < etw1 tw21 = time >= stw2 tw22 = time < etw2 tw31 = time >= stw3 tw32 = time < etw3 tw41 = time >= stw4 tw42 = time < etw4 // trade window grouped tw1 = tw11 and tw12 tw2 = tw21 and tw22 tw3 = tw31 and tw32 tw4 = tw41 and tw42 other = not tw1 and not tw2 and not tw3 and not tw4 // trade window setup if other then spread=0 elsif tw1 then spread=1 elsif tw2 then spread=2 elsif tw3 then spread=5 elsif tw4 then spread=2 endif return spread coloured(255,69,0) style(line,2) as "spread"

This topic has 18 replies, 2 voices, and was last updated 12 months ago by daskonzept.

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06/15/2020 at 3:41 PM #136007

Delta1One

Thanks GraHal.

Very disappointing to see the Bid/Ask Line Indicator on the chart and then not being able to grab it and use the values to implement live dynamic spread calculation in automated strategies.

PRT clearly has the values, but I can’t find a way to reach them programmatically.

Very annoying.

If anyone can do this on PRT, I’d like to hear from them. Will have a look on the French side as well.

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06/15/2020 at 4:52 PM #136017

robertogozzi

I think PRT could help you.

robertogozzi

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03/13/2022 at 2:04 PM #189908

Newbie

That really is too bad! I too would love to be able to “call” spread for calculations…

I guess one option would be to trade “raw spreads”? Just a thought, but seems too simple to be viable. I’ve never had a raw-spread account, but if your broker offered one, would that not be more consistent for the calculations? Spread being negated?

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12/28/2023 at 10:32 PM #225788

daskonzept

Did my workaround on these to get spread pricings in indicator.

// https://www.ig.com/en/help-and-support/cfds/fees-and-charges/what-are-igs-indices-cfd-product-details
// CET times (Paris, Berlin, Amsterdam)

timeDAX1 = time >= 000000 and time < 011500   //Germany 40: 22.00-01.15 (CET)  spread = 5
timeDAX2 = time >= 011500 and time < 080000   //Germany 40: 01.15-08.00 (CET)  spread = 4
timeDAX3 = time >= 080000 and time < 090000   //Germany 40: 08.00-09.00 (CET)  spread = 2
timeDAX4 = time >= 090000 and time < 173000   //Germany 40: 09.00-17.30 (CET)  spread = 1.2
timeDAX5 = time >= 173000 and time < 220000   //Germany 40: 17.30-22.00 (CET)  spread = 2
timeDAX6 = time >= 220000 and time < 000000   //Germany 40: 22.00-01.15 (CET)  spread = 5

timeSTXE1 = time >= 000000 and time < 011500   //EU Stocks 50: 22.00-01.15 (CET)  spread = 3
timeSTXE2 = time >= 011500 and time < 080000   //EU Stocks 50: 01.15-08.00 (CET)  spread = 1,5
timeSTXE3 = time >= 080000 and time < 220000   //EU Stocks 50: 08.00-22.00 (CET)  spread = 1,5
timeSTXE4 = time >= 220000 and time < 000000   //EU Stocks 50: 22.00-01.15 (CET)  spread = 3

timePXI1 = time >= 000000 and time < 011500   //France 40: 22.00-01.15 (CET)  spread = 4
timePXI2 = time >= 011500 and time < 080000   //France 40: 01.15-08.00 (CET)  spread = 3
timePXI3 = time >= 080000 and time < 090000   //France 40: 08.00-09.00 (CET)  spread = 2
timePXI4 = time >= 090000 and time < 173000   //France 40: 09.00-17.30 (CET)  spread = 1
timePXI5 = time >= 173000 and time < 220000   //France 40: 17.30-22.00 (CET)  spread = 2
timePXI6 = time >= 220000 and time < 000000   //France 40: 22.00-01.15 (CET)  spread = 4

timeUKX1 = time >= 000000 and time < 060000   //FTSE 100: 01.00-07.00 (GMT)  spread = 3
timeUKX2 = time >= 060000 and time < 070000   //FTSE 100: 07.00-08.00 (GMT)  spread = 2
timeUKX3 = time >= 070000 and time < 153000   //FTSE 100: 08.00-16.30 (GMT)  spread = 1
timeUKX4 = time >= 153000 and time < 200000   //FTSE 100: 16.30-21.00 (GMT)  spread = 2
timeUKX5 = time >= 200000 and time < 000000   //FTSE 100: 21.00-01.00 (GMT)  spread = 4

timeNASDAQ1 = time >= 000000 and time < 153000   //US Tech 100: All other times (EST)  spread = 2
timeNASDAQ2 = time >= 153000 and time < 220000   //US Tech 100: 09.30-16.00 (EST)  spread = 1
timeNASDAQ3 = time >= 220000 and time < 230000   //US Tech 100: All other times (EST)  spread = 2
timeNASDAQ4 = time >= 230000 and time < 000000   //US Tech 100: 17.00-18.00 (EST)  spread = 3

timeSPTRD1 = time >= 000000 and time < 153000   //US 500: All other times (EST)  spread = 0.6
timeSPTRD2 = time >= 153000 and time < 220000   //US 500: 09.30-16.00 (EST)  spread = 0.4
timeSPTRD3 = time >= 220000 and time < 230000   //US 500: All other times (EST)  spread = 0.6
timeSPTRD4 = time >= 230000 and time < 000000   //US 500: 17.00-18.00 (EST)  spread = 0.9

timeDOW1 = time >= 000000 and time < 090000   //Wall Street: All other times (EST)  spread = 4.8
timeDOW2 = time >= 090000 and time < 153000   //Wall Street: 03.00-09.30 (EST)  spread = 3.6
timeDOW3 = time >= 153000 and time < 220000   //Wall Street: 09.30-16.00 (EST)  spread = 2.4
timeDOW4 = time >= 220000 and time < 230000   //Wall Street: All other times (EST)  spread = 4.8
timeDOW5 = time >= 230000 and time < 000000   //Wall Street: 17.00-18.00 (EST)  spread = 9.8

if timeDAX1 then
spreadDAX = 5
elsif timeDAX2 then
spreadDAX = 4
elsif timeDAX3 then
spreadDAX = 2
elsif timeDAX4 then
spreadDAX = 1.2
elsif timeDAX5 then
spreadDAX = 2
elsif timeDAX6 then
spreadDAX = 5
endif

if timeSTXE1 then
spreadSTXE = 23
elsif timeSTXE2 then
spreadSTXE = 1.5
elsif timeSTXE3 then
spreadSTXE = 1.5
elsif timeSTXE4 then
spreadSTXE = 3
endif

if timePXI1 then
spreadPXI = 4
elsif timePXI2 then
spreadPXI = 3
elsif timePXI3 then
spreadPXI = 2
elsif timePXI4 then
spreadPXI = 1
elsif timePXI5 then
spreadPXI = 2
elsif timePXI6 then
spreadPXI = 4
endif

if timeUKX1 then
spreadUKX = 3
elsif timeUKX2 then
spreadUKX = 2
elsif timeUKX3 then
spreadUKX = 1
elsif timeUKX4 then
spreadUKX = 2
elsif timeUKX5 then
spreadUKX = 4
endif

if timeNASDAQ1 then
spreadNASDAQ = 2
elsif timeNASDAQ2 then
spreadNASDAQ = 1
elsif timeNASDAQ3 then
spreadNASDAQ = 2
elsif timeNASDAQ4 then
spreadNASDAQ = 3
endif

if timeSPTRD1 then
spreadSPTRD = 0.6
elsif timeSPTRD2 then
spreadSPTRD = 0.4
elsif timeSPTRD3 then
spreadSPTRD = 0.6
elsif timeSPTRD4 then
spreadSPTRD = 0.9
endif

if timeDOW1 then
spreadDOW = 4.8
elsif timeDOW2 then
spreadDOW = 3.6
elsif timeDOW3 then
spreadDOW = 2.4
elsif timeDOW4 then
spreadDOW = 4.8
elsif timeDOW5 then
spreadDOW = 9.8
ENDIF

return spreadDAX as "DAX", spreadSTXE as "STXE", spreadPXI as "PXI", spreadUKX as "UKX", spreadNASDAQ as "NASDAQ", spreadSPTRD as "SPTRD-SP500", spreadDOW as "DOW"

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// https://www.ig.com/en/help-and-support/cfds/fees-and-charges/what-are-igs-indices-cfd-product-details

// CET times (Paris, Berlin, Amsterdam)

timeDAX1 = time >= 000000 and time < 011500 //Germany 40: 22.00-01.15 (CET) spread = 5

timeDAX2 = time >= 011500 and time < 080000 //Germany 40: 01.15-08.00 (CET) spread = 4

timeDAX3 = time >= 080000 and time < 090000 //Germany 40: 08.00-09.00 (CET) spread = 2

timeDAX4 = time >= 090000 and time < 173000 //Germany 40: 09.00-17.30 (CET) spread = 1.2

timeDAX5 = time >= 173000 and time < 220000 //Germany 40: 17.30-22.00 (CET) spread = 2

timeDAX6 = time >= 220000 and time < 000000 //Germany 40: 22.00-01.15 (CET) spread = 5

timeSTXE1 = time >= 000000 and time < 011500 //EU Stocks 50: 22.00-01.15 (CET) spread = 3

timeSTXE2 = time >= 011500 and time < 080000 //EU Stocks 50: 01.15-08.00 (CET) spread = 1,5

timeSTXE3 = time >= 080000 and time < 220000 //EU Stocks 50: 08.00-22.00 (CET) spread = 1,5

timeSTXE4 = time >= 220000 and time < 000000 //EU Stocks 50: 22.00-01.15 (CET) spread = 3

timePXI1 = time >= 000000 and time < 011500 //France 40: 22.00-01.15 (CET) spread = 4

timePXI2 = time >= 011500 and time < 080000 //France 40: 01.15-08.00 (CET) spread = 3

timePXI3 = time >= 080000 and time < 090000 //France 40: 08.00-09.00 (CET) spread = 2

timePXI4 = time >= 090000 and time < 173000 //France 40: 09.00-17.30 (CET) spread = 1

timePXI5 = time >= 173000 and time < 220000 //France 40: 17.30-22.00 (CET) spread = 2

timePXI6 = time >= 220000 and time < 000000 //France 40: 22.00-01.15 (CET) spread = 4

timeUKX1 = time >= 000000 and time < 060000 //FTSE 100: 01.00-07.00 (GMT) spread = 3

timeUKX2 = time >= 060000 and time < 070000 //FTSE 100: 07.00-08.00 (GMT) spread = 2

timeUKX3 = time >= 070000 and time < 153000 //FTSE 100: 08.00-16.30 (GMT) spread = 1

timeUKX4 = time >= 153000 and time < 200000 //FTSE 100: 16.30-21.00 (GMT) spread = 2

timeUKX5 = time >= 200000 and time < 000000 //FTSE 100: 21.00-01.00 (GMT) spread = 4

timeNASDAQ1 = time >= 000000 and time < 153000 //US Tech 100: All other times (EST) spread = 2

timeNASDAQ2 = time >= 153000 and time < 220000 //US Tech 100: 09.30-16.00 (EST) spread = 1

timeNASDAQ3 = time >= 220000 and time < 230000 //US Tech 100: All other times (EST) spread = 2

timeNASDAQ4 = time >= 230000 and time < 000000 //US Tech 100: 17.00-18.00 (EST) spread = 3

timeSPTRD1 = time >= 000000 and time < 153000 //US 500: All other times (EST) spread = 0.6

timeSPTRD2 = time >= 153000 and time < 220000 //US 500: 09.30-16.00 (EST) spread = 0.4

timeSPTRD3 = time >= 220000 and time < 230000 //US 500: All other times (EST) spread = 0.6

timeSPTRD4 = time >= 230000 and time < 000000 //US 500: 17.00-18.00 (EST) spread = 0.9

timeDOW1 = time >= 000000 and time < 090000 //Wall Street: All other times (EST) spread = 4.8

timeDOW2 = time >= 090000 and time < 153000 //Wall Street: 03.00-09.30 (EST) spread = 3.6

timeDOW3 = time >= 153000 and time < 220000 //Wall Street: 09.30-16.00 (EST) spread = 2.4

timeDOW4 = time >= 220000 and time < 230000 //Wall Street: All other times (EST) spread = 4.8

timeDOW5 = time >= 230000 and time < 000000 //Wall Street: 17.00-18.00 (EST) spread = 9.8

if timeDAX1 then

spreadDAX = 5

elsif timeDAX2 then

spreadDAX = 4

elsif timeDAX3 then

spreadDAX = 2

elsif timeDAX4 then

spreadDAX = 1.2

elsif timeDAX5 then

spreadDAX = 2

elsif timeDAX6 then

spreadDAX = 5

endif

if timeSTXE1 then

spreadSTXE = 23

elsif timeSTXE2 then

spreadSTXE = 1.5

elsif timeSTXE3 then

spreadSTXE = 1.5

elsif timeSTXE4 then

spreadSTXE = 3

endif

if timePXI1 then

spreadPXI = 4

elsif timePXI2 then

spreadPXI = 3

elsif timePXI3 then

spreadPXI = 2

elsif timePXI4 then

spreadPXI = 1

elsif timePXI5 then

spreadPXI = 2

elsif timePXI6 then

spreadPXI = 4

endif

if timeUKX1 then

spreadUKX = 3

elsif timeUKX2 then

spreadUKX = 2

elsif timeUKX3 then

spreadUKX = 1

elsif timeUKX4 then

spreadUKX = 2

elsif timeUKX5 then

spreadUKX = 4

endif

if timeNASDAQ1 then

spreadNASDAQ = 2

elsif timeNASDAQ2 then

spreadNASDAQ = 1

elsif timeNASDAQ3 then

spreadNASDAQ = 2

elsif timeNASDAQ4 then

spreadNASDAQ = 3

endif

if timeSPTRD1 then

spreadSPTRD = 0.6

elsif timeSPTRD2 then

spreadSPTRD = 0.4

elsif timeSPTRD3 then

spreadSPTRD = 0.6

elsif timeSPTRD4 then

spreadSPTRD = 0.9

endif

if timeDOW1 then

spreadDOW = 4.8

elsif timeDOW2 then

spreadDOW = 3.6

elsif timeDOW3 then

spreadDOW = 2.4

elsif timeDOW4 then

spreadDOW = 4.8

elsif timeDOW5 then

spreadDOW = 9.8

ENDIF

return spreadDAX as "DAX", spreadSTXE as "STXE", spreadPXI as "PXI", spreadUKX as "UKX", spreadNASDAQ as "NASDAQ", spreadSPTRD as "SPTRD-SP500", spreadDOW as "DOW"

2 users thanked author for this post.

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GraHal

daskonzept

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