Jump to content
  • 0

Calculating the market price from bid/ask spread


Jat1990

Question

Hi all,

I'm using the API to make programmatic trades. 

The historical prices for the intervals are provided as open, high, low, close as expected. However the prices are the broker spread prices and not the market price.

For example, BAE Systems Plc (LSE) givesm e a close price bid of 520.5 and close price ask as 521.9 on Monday 24 May 2021 at 16:00 (1 hour intervals).

I would expect the mid-price ((520.5 + 521.9) / 2) of 521,2 to equal the market price at the time, but it does not. At 16:00, BAE price was 520.8.

 

Does anyone know how I can get the correct market price from the bid/ask spread?

 

Thanks

Link to comment

0 answers to this question

Recommended Posts

There have been no answers to this question yet

Create an account or sign in to comment

You need to be a member in order to leave a comment

Create an account

Sign up for a new account in our community. It's easy!

Register a new account

Sign in

Already have an account? Sign in here.

Sign In Now
×
×
  • Create New...