Slippage and Spread: how to get them
#4
The answer is "not yet"!

I am actually working on a new idea around market data within Gekko:

Right now Gekko only stores 1 minute candle data (OHLC), I like to keep this data as it's quite easy to get historically (through the importer for example). I want to store more data that allows every minute: mainly ticker data (bbo and topsize) and maybe depth data (a few numbers, NOT the whole book). But in a way that Gekko uses these numbers if they are available, and defers to the current calculations based on OHLC data if it's not.

This is easy stuff, but I want to come up with a single data format that we don't have to change down the road because:

a) It doesn't have enough data to more accurately simulate orders.
b) It takes up too much data on disk.

Which is why it might take a while.
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RE: Slippage and Spread: how to get them - by askmike - 10-22-2018, 07:38 AM

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