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Depending on how big is bid-ask spread, it may not matter at all. To start with I'd suggest that for each security you randomly pick either it's bid or ask price, and see whether the optimal weights differ much depending on your choice. If not, you can simply disregard such asymmetry. If not, I am not sure whether MPT will work nicely with your setting since ...


In order to aggregate the 5-min bars, you need to add code within your ibEventRealTimeData function that remembers the previous values (possibly using a global or persistent variable) and appends the new data to it. If you do not need realtime info, you could make a single request for 5-min historical data. But here too, IB sends the results in separate ...

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