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Mike Medved

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Posts posted by Mike Medved

  4. Help with formula for setting a maximum dollar value for order quantity

    in Support

    Posted

    well.. you have Qty as 30/(Ask-PriceAtMouse). Should really be floor(30/(Ask-PriceAtMouse)) - because quantity is an integer.

    So then the total amount of the transaction would be (since it is a Market Buy, let's assume it is at Ask)

    Ask * floor(30/(Ask-PriceAtMouse))

    You don't want that to be more than $10k, so that amount would be

    Min(10000, Ask * floor(30/(Ask-PriceAtMouse)))

    Thus the appropriate quantity should be that amount divided by Ask (and floor taken for it so that it is integer)

    floor(Min(10000, Ask * floor(30/(Ask-PriceAtMouse))) / Ask)


     



     

  7. Intraday backfill not populating all minute candles in WS API

    in Bug Reporting - Public

    Posted

    When I send out the backfillAndGetCandles, I first receive these messages

    {
      "cmd": "backfill",
      "reqID": "1246",
      "success": "OK",
      "resultcode": 200,
      "result": {
        "action": "started",
        "type": "OHLC",
        "sym": "NVDA"
      }
    }

    ... and then


    {
      "cmd": "backfill",
      "reqID": "1246",
      "success": "OK",
      "resultcode": 200,
      "result": {
        "action": "finished",
        "type": "OHLC",
        "sym": "NVDA"
      }
    }
     

    ... and only after that, the

    {
      "cmd": "getCandles",
      "reqID": "1246",
      "success": "OK",

    ... etc.


    Is this not what happens for you?

  12. Anchored VWAP question

    in Support

    Posted

    If you open a historical chart for stock A, set VWAP to anchor at 1/1/2020 then close it.

    Then open a historical chart for stock B, set VWAP to anchor at 1/1/2021 then close it.

    Then re-open historical chart for stock A, the VWAP anchor will be remembered.

     

    But, if you switch charts by either typing a new symbol in the chart or by using linked symbols, the anchor date (or any other parameters for any other indicators) won't change.

  19. After Hrs Volume

    in Scan and Paintbar Help/Discussion

    Posted 

    Note that everything *after* MainCalculation is just standard code inserted by MT when you make it a state machine.
Also - to make it work right, it has to be run as an Intraday scan, with the extended hours set to Always.

====================================================================================================================

private struct PaintbarState
{
    public Double PreMarketVolume;
}
int LastDayNumber = -1;

FIFOQueue PreMarketVolumes = new FIFOQueue(5);  // averaging on 5 days period
Boolean WasPreMarket       = false;

public void MainCalculation()
{
    SetDaysNeeded(5); // need 5 day's data for this to work
    if (TradingDay.DayNumber != LastDayNumber)  // initialize to 0 start of every day
    {
        CurrentState.PreMarketVolume = 0;
        LastDayNumber                = TradingDay.DayNumber;
    }
    if (TradingDay.IsPreMarket)
    {
        CurrentState.PreMarketVolume += BarVolume;
        WasPreMarket = true;
    }
    else
    {
        if (WasPreMarket) // add the premarket volume AFTER the premarket ends to the average queue
        {
            WasPreMarket = false;
            PreMarketVolumes.Add(CurrentState.PreMarketVolume);
        }
    }

        SetScanResultColumnName(0, "Avg Premarket");
    SetScanResult(0, Convert.ToInt64(PreMarketVolumes.Average));
    }

/// <summary>
/// INITIALIZES paintbar. Is called at start of paintbar calculation, should be used to initialize anything needed for the paintbar
/// NOTE: do NOT initialize the CurrentState here - the PaintbarClearState will be called AFTER this call, and will wipe it out.
/// </summary>
private void PaintbarInitialize()
{

}


/// <summary>
/// Holds current PB state - use to calc PB, changes to it carry over to next PB calc
/// </summary>
private PaintbarState CurrentState;

/// <summary>
/// Holds saved PB state - internal
/// </summary>
private PaintbarState SavedState;

/// <summary>
/// Is called at start of paintbar calculation, should be used to clear the paintbar state
/// and initialize whatever variables you place into it. This is called AFTER PaintbarInitialize
/// </summary>
private void PaintbarClearState()
{
    CurrentState = new PaintbarState();
}

/// <summary>
/// Saves paintbar state (called internally).
/// </summary>
private void PaintbarSaveState()
{
    SavedState = CurrentState;
}

/// <summary>
/// Restores paintbar state (called internally).
/// </summary>
private void PaintbarRestoreState()
{
    CurrentState = SavedState;
}
    • Like 1

  24. BarVolume at the time the candle is processed

    in Scan and Paintbar Help/Discussion

    Posted

    Yes, scan results only show if the condition is true on the current - last - candle of the chart. Unlike the paintbar that can show if the condition was true on any candle in the chart.

    That's the whole point of the scanner - you can scan 3000 symbols and show only the tickers for which the condition is NOW true.  You can, of course, write the scanner with a condition "if this condition was true in any of the last N candles", too.

  25. After Hrs Volume

    in Scan and Paintbar Help/Discussion

    Posted

    Thing is, 4pm candle (anything that is traded at or after 4pm) is considered afterhours.

    IsAfterHours in TradingDay is defined as

                    Timestamp >= SessionEnd && Timestamp <= DayEnd

    So instead of IsAfterHours in your code, if you want to give a 1 min buffer you can just say

        Timestamp >= SessionEnd.SessionEnd.AddMinutes(1)

     

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