Hi,
1) In general do the WL7 adapters to TD and IBKR include real time quotes or just trades?
2) If they do, does this include .SPX?
3) WL6 streaming has a Yahoo connector. Does it include .SPX real time?
4) Is there a free WL7 source for real time .SPX quotes?
Thanks!
1) In general do the WL7 adapters to TD and IBKR include real time quotes or just trades?
2) If they do, does this include .SPX?
3) WL6 streaming has a Yahoo connector. Does it include .SPX real time?
4) Is there a free WL7 source for real time .SPX quotes?
Thanks!
Rename
Hi,
The best source for real time quotes may be IQFeed. It's a subscription service but it's believed to be more reliable. Otherwise, both broker provider extensions above and Yahoo can be used as a free source of streaming ^SPX data.
The best source for real time quotes may be IQFeed. It's a subscription service but it's believed to be more reliable. Otherwise, both broker provider extensions above and Yahoo can be used as a free source of streaming ^SPX data.
1) In general, brokers conflate data. You won't get tick-by-tick updates with broker providers, but you get updates several times per second. Also, TD seems to have at least a half-second latency. For SPX, obviously there are no "trades" because it's an index, i.e., not an equity.
2) Probably? IQFeed certainly does. fwiw, the industry standard to update indices is every 15 seconds, but there are feeds I remember seeing that may provide 1 second updates.
3) WL7 has a Y! connector too. I was surprised to see stocks update in near realtime in in the Quotes Manager with Y!. You can't get "real time" updates for SPX because it's a calculation based on at least 500 symbols. Since you're interested, see if you can find a provider that does 1 second updates.
4) Notwithstanding the above info, why wouldn't you just use SPY for a real time SPX proxy?
Edit:
Maybe this is what I remember seeing. IQFeed has ... "Over 700 market stats/breadth indicators (TICK, TRIN, etc), most of which update every 1 second!"
2) Probably? IQFeed certainly does. fwiw, the industry standard to update indices is every 15 seconds, but there are feeds I remember seeing that may provide 1 second updates.
3) WL7 has a Y! connector too. I was surprised to see stocks update in near realtime in in the Quotes Manager with Y!. You can't get "real time" updates for SPX because it's a calculation based on at least 500 symbols. Since you're interested, see if you can find a provider that does 1 second updates.
4) Notwithstanding the above info, why wouldn't you just use SPY for a real time SPX proxy?
Edit:
Maybe this is what I remember seeing. IQFeed has ... "Over 700 market stats/breadth indicators (TICK, TRIN, etc), most of which update every 1 second!"
Thank you both for detailed answers.
a) Started with SPX years ago. Will look into SPY to see if hit ratios still hold more or less.
b) Using WL as a signal generator at the top of the minute I look at the developing candle stick (what you call shadow candle stick) during the buying minute. Sometimes a buy signal is not acted upon. And sometimes the trading piece exits a position before WL signals a sell. So I need a separate trading app that uses real time data. The values in the shadow candle stick are not available to WL programs.
c) Put some funds into TD to get WL7 started. Whatever quotes it feeds to WL7 must also feed the trading app. Toying with TD web based HTTP request generator I am not able to get SPX quotes, though I get SPY quotes. Is it possible to check if WL7 with TD adapter has access to SPX real time quotes. If so what is the name used? I tried .SPX, ^SPX, $SPX, GSPC. None worked.
a) Started with SPX years ago. Will look into SPY to see if hit ratios still hold more or less.
b) Using WL as a signal generator at the top of the minute I look at the developing candle stick (what you call shadow candle stick) during the buying minute. Sometimes a buy signal is not acted upon. And sometimes the trading piece exits a position before WL signals a sell. So I need a separate trading app that uses real time data. The values in the shadow candle stick are not available to WL programs.
c) Put some funds into TD to get WL7 started. Whatever quotes it feeds to WL7 must also feed the trading app. Toying with TD web based HTTP request generator I am not able to get SPX quotes, though I get SPY quotes. Is it possible to check if WL7 with TD adapter has access to SPX real time quotes. If so what is the name used? I tried .SPX, ^SPX, $SPX, GSPC. None worked.
Couldn't you program your logic using Limit orders? This is the way WL interacts with the "developing" candle. If you know at what price the shadow needs to hit to place the order, the way to achieve that is to use a limit order. The benefit is you can truly backtest your strategy and implement it without the need for a separate trading app.
Closing values for SPX: 4115.68; SPY: 410.86
10 x SPY: 4108.60, a difference of 7 SPX points .or 0.2%..
Not sure if this will have an impact.
Will test for Friday after hours data: SPX and 10 x SPY.
10 x SPY: 4108.60, a difference of 7 SPX points .or 0.2%..
Not sure if this will have an impact.
Will test for Friday after hours data: SPX and 10 x SPY.
Hi Glitch,
Thank you for your comment!
For both buy and sell the trading app follows the shape of the developing shadow candle stick. The guard band used for sell depends on what is happening at the time with some influence from the past. This cannot be predicted at buy time. One can continually adjust the limit price in the order but this costs time.
For all these reasons I settled to a separate trading app.
Thank you for your comment!
For both buy and sell the trading app follows the shape of the developing shadow candle stick. The guard band used for sell depends on what is happening at the time with some influence from the past. This cannot be predicted at buy time. One can continually adjust the limit price in the order but this costs time.
For all these reasons I settled to a separate trading app.
Sounds like black magic to me. Anyway, for closure on the topic if SPX data -
TDA returns intraday bars for SPX, but not for the current day, and therefore no streaming. We'll have to look into that to see if that's a limitation to the feed or if there's something we need to do differently for index.
IB returns intraday bars for SPX, and, at least in TWS it appears to update every second.. but I haven't found the way to identify the contract in WL7 yet... just a matter of time!
TDA returns intraday bars for SPX, but not for the current day, and therefore no streaming. We'll have to look into that to see if that's a limitation to the feed or if there's something we need to do differently for index.
IB returns intraday bars for SPX, and, at least in TWS it appears to update every second.. but I haven't found the way to identify the contract in WL7 yet... just a matter of time!
TDA intraday VIX has the similar issue.
sample code to use SPY stream to run SPX
CODE:
public override void Initialize(BarHistory bars) { string orgSymbol = bars.Symbol; bars.Symbol = "$SPX.X"; BarHistory vixBars = GetHistory(bars, "$VIX.X"); BarHistory spxBars = GetHistory(bars, "$SPX.X"); string pricePane = "Price1"; PlotBarHistoryStyle(spxBars, pricePane, "bars"); SetPaneDrawingOptions("Price1", 105, 1); SetPaneDrawingOptions("Price", 5, 9); bars.Symbol = orgSymbol }
Since this topic popped up again, we added these pre-defined Index contracts in the IBContracts.txt file (User Data folder), but if you upgraded from an old IB Provider, you probably don't have these. Just copy, paste to the bottom of the IBContracts.txt file, and save.
CODE:
INDU=INDU|USD|IND|CME||DJI NDX=NDX|USD|IND|NASDAQ||NDX|||0| SPX=SPX|USD|IND|CBOE||SPX|||0| VIX=VIX|USD|IND|CBOE||VIX|||0| VIX1Y=VIX1Y|USD|IND|CBOE||VIX1Y|||0| VIX3M=VIX3M|USD|IND|CBOE||VIX3M|||0| VIX6M=VIX6M|USD|IND|CBOE||VIX6M|||0| VIX9D=VIX9D|USD|IND|CBOE||VIX9D|||0| VIXC=VIXC|CAD|IND|TSE||VIXC|||0| VIXM.IV=VIXM.IV|USD|IND|PSE||VIXM.IV|||0| VIXMO=VIXMO|USD|IND|CBOE||VIXMO|||0| VIXY.IV=VIXY.IV|USD|IND|PSE||VIXY.IV|||0|
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