Data Streaming Speed and/or Bid/Ask Spread

[AlexCatarino]

Expected Behavior

The bid/ask spread is 50 pips.

Actual Behavior

The bid/ask spread is 300 pips.

Potential Solution

N/A

Reproducing the Problem

Live algorithm that subscribes to tick data:

    def initialize(self):
        self.xauusd = self.add_cfd("XAUUSD", Resolution.TICK, market = Market.OANDA).symbol
    def on_data(self, data: Slice):        
        if data.Ticks.ContainsKey(self.xauusd):
            ticks = data.Ticks[self.xauusd]
            for tick in ticks:
                spread = tick.AskPrice - tick.BidPrice
                self.Debug(f"Time: {self.Time}, Price: {tick.Price}, Ask: {tick.AskPrice}, Bid: {tick.BidPrice}, Spread: {spread}")

Using the following script, we get 50 pips.

import oandapyV20
import oandapyV20.endpoints.pricing as pricing

# Replace with your OANDA API key and account ID
API_KEY = ""
ACCOUNT_ID = ""

# Initialize the API client
client = oandapyV20.API(access_token=API_KEY)

# Define the instrument for XAU/USD
instrument = "XAU_USD"

try:
    # Create a pricing endpoint request
    params = {"instruments": instrument}
    request = pricing.PricingInfo(accountID=ACCOUNT_ID, params=params)
    
    # Send the request and receive the response
    response = client.request(request)
    
    # Extract the bid and ask prices
    prices = response.get("prices", [])
    for price in prices:
        if price["instrument"] == instrument:
            bid = price.get("bids", [{}])[0].get("price")
            ask = price.get("asks", [{}])[0].get("price")
            print(f"XAU/USD Bid Price: {bid}")
            print(f"XAU/USD Ask Price: {ask}")
            spread = float(ask)-float(bid)
            print(f"Spread: {spread}")
            break
    else:
        print(f"Instrument {instrument} not found in the response.")
except Exception as e:
    print(f"An error occurred: {e}")

System Information

QuantConnect Clous using QuantConnect or OANDA as data provider.

Checklist

• I have completely filled out this template
• I have confirmed that this issue exists on the current master branch
• I have confirmed that this is not a duplicate issue by searching issues
• I have provided detailed steps to reproduce the issue