Historical bid/ask prices in simulations

Historical bid/ask prices in simulations

Torsten
2016-02-25 03:15:57

Hi all,

I would like to perform forex simulations with historical bid/ask prices and I'm struggeling how to implement it in QS.

I have two time series:
EURUSD_bid
EURUSD_ask

The simulation itself would run on the bid time series. Hence I have to ensure, that all Buy and Cover actions are linked to the correct price of the ask time series.

In other tools I would use the foreign function : BuyPrice = CoverPrice = Foreign("EURUSD_ask", "O");
Is there a similiar simple way to do this in QS?

Thanks in advance for your help!

Best regards,
Torsten

QuantShare
2016-02-26 03:44:35

Hi Torsten,

limit = GetSeries("EURUSD_ask", close);
BuyPrice(limit, 1);

Torsten
2016-03-05 04:55:27

Hi QS,

I'm using the AMM for the further implemention of the system. Bid and Ask prices are working.

Thanks for your support!
Torsten

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