Hi,
Does anyone know where I can find the EOD bid-offer spread for FTSE350 shares?
As far as I know the EOD OHLC prices given by data suppliers e.g. ADVFN, Yahoo, etc are mid-price and don't take into account the bid-offer spread. I'm writing some software to backtest a system but rather than using just the EOD mid-prices I'd like to make it more realistic and include the spread. I could add a fixed % across the board but the spread obviously differs from share to share.
Any ideas?
Thanks
Dave
Does anyone know where I can find the EOD bid-offer spread for FTSE350 shares?
As far as I know the EOD OHLC prices given by data suppliers e.g. ADVFN, Yahoo, etc are mid-price and don't take into account the bid-offer spread. I'm writing some software to backtest a system but rather than using just the EOD mid-prices I'd like to make it more realistic and include the spread. I could add a fixed % across the board but the spread obviously differs from share to share.
Any ideas?
Thanks
Dave
