Question - Where are Historical Bid and Offer prices?

[dvawat]

Hi - I've found a number of (free) data sources for the LSE giving the 'prices' at open, close etc. but in order to do accurate backtesting I need a historical data feed showing the Bid and Offer prices separately. Can anyone suggest where I might get these? End of day would do but not too expensive.

I can't find any references to this problem so maybe I've misunderstood something???

Thanks Andy

 

[JonnyT]

Hi Andy,

I doubt you will get this.

You will have to make assumptions in your backtesting and factor in the spread and dealing costs.

JonnyT

 

[dvawat]

Thanks for the swift reply. I'm just a bit surprised the data isn't supplied. It must make the strategy testing much less reliable.

Thanks again
Andy

 

[TheBramble]

It only makes your strategy testing less reliable if you need bid/ask. Most EOD traders (which is what I think you're talking about) don't normally need this. It could only ever be indicative anyway for EOD - open/close.

I don't know if you can even get it on a historical basis for tick data.

Most RT systems don't have a heavy reliance on it - It's most usually an issue for trade entry/exit timing (on Level2 say) rather than for systematic usage.