I've also wanted to filter for the same criteria, and experiment with bid ask spread in backtesting. Currently running TS7. Is anyone aware of a platform that provides historical spread data, or an inexpensive source? I'm only aware of Tibco Marketsheet via Reuters data, both not for an individual trader.
I have been working with the API for about a month now. I am not a professional programmer but a decent one and I have a couple of working models now that get data, run it against a strategy, enter orders, manage risk and place exits. It is very powerful in all respects. Let me know if you need help with something you have in mind.