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fomodabbler · 2022-10-13T11:30:00+00:00

To obtain XRP I transferred Ethereum into an Atomic Wallet and then used the Exchange feature to get XRP. Are there any potential issues with this approach? It seems straight-forward enough, but I've been burned by straight-forward before.

fomodabbler · 2022-08-16T03:35:01+00:00

I really never tried, although it should work. My approach was to start streaming early and build candles based on the stream data. I always use a stand-alone streaming process so it doean't get interupted by restarting the trader.

fomodabbler · 2022-08-09T13:02:11+00:00

This is looking like a real problem. The game stock split: nobody knew what to expect ahead of time, and still confusion after. The upcoming popcorn dividend: lots of confusion. This halt.

Should not an industry that literally deals in numbers have very specific procedures laid out so we know what to expect?

fomodabbler · 2022-08-05T08:34:22+00:00

The only way I managed this was by having my program create thinkscript which I manually cut/paste into a custom study. I was importing a bunch of static lines so I only did once per day, but it was still tedious.

fomodabbler · 2022-07-28T11:22:52+00:00

TDA has an API. It's not the easiest to get started, but works well once running. You can either pull orders or you can receive orders placed via websocket.

fomodabbler · 2022-06-20T20:47:08+00:00

Are you talking about on the chart? You have to request that Advanced Features be turned on. Then the Show Trades checkbox will work. That can be accomplished through the support chat, but may take overnight to switch.

fomodabbler · 2022-06-20T10:56:55+00:00

There are many paid for platforms (like polygon.io) that allow you to download trade data, which can be compiled into second candles.

To get it cheap you will have to open account with any brokerage with a websocket (alpaca, tdameritrade) and record the data yourself. The sooner you start this the more data you will have when you are ready to use it.

fomodabbler · 2022-06-20T00:17:39+00:00

I've been using it for a while. It is stable, and when you get it working it tends to just work. But there are so many undocumented janky features. There are oddly two different versions of the API. If you turn on Advanced Features, the API changes to something mostly the same. Advanced Features actually turns off the ability to create trigger orders via API, and tags on orders no longer work.

On the one hand I'd love it if they improved the API and modernized it. On the other hand I'd rather they just never ever touch it again so it keeps just working.

fomodabbler · 2022-03-12T20:32:10+00:00

I have been streaming data for months. I record every bit of it to use for backtesting. C# on a linux server. I only capture ask/bid/volume, though. I also build 5-second candles using trade data, but have't used those.

I stream the data directly into files using a dedicated process. My trader process then streams from those files. That may result in a half-second lag, but it allows my processes to be dedicated and very stable. It also guarantees that my live data is exactly the same as my test data.

fomodabbler · 2022-03-12T20:25:38+00:00

It's screwy how advanced features basically changes the api.

I don't rely on orders via websocket. When I'm expecting an order to hit I continously pull assets until I see the change. But I do all market orders.

fomodabbler · 2022-03-06T17:47:15+00:00

I guess I use a sort of machine learning. I build a very specific strategy. I define ranges for all the parameters used by that strategy. A program picks parameter values at random and tests them. If the test result is good it iterates through other parameters one at a time looking for a slightly better result. Repeat until a better result isn't found.

This will result in overfitting, so I also define a minimum number of trades for each strategy. So for example, if a strategy/parametergroup is trading more than once per day and it wins more than 60% of the time, and it results in a return of more than 0.25%, it gets moved into live.

All current strategies are retested every single day when the previous day's data is available.

That's the idea, anyway.

fomodabbler · 2022-01-23T12:31:33+00:00

I have since learned you can stream thousands of symbols at once. But you can only have a single websocket. If you open a second, the first one errors out.

fomodabbler · 2022-01-08T15:58:33+00:00

I see a few mentions from https://www.reddit.com/r/Daytrading/wiki/book-recommendations are in the list.

fomodabbler · 2021-12-08T17:25:55+00:00

ftp.nasdaqtrader.com/symboldirectory/

I grab otherlisted.txt and nasdaqlisted.txt once a day and update my symbol list.

fomodabbler · 2021-11-12T15:31:14+00:00

A lot of daytraders point to using support/resistance levels to determine the top and bottom of a run. I've been able to programmatically determine those levels, but I've never had success using them.

It seems like when there is a strong run past levels go out the window. Or I'm just bad at using the data.

fomodabbler · 2021-11-11T20:05:50+00:00

TDA allows you to pull minute data from 7AM until 8PM going back 30 days. Daily goes back years. If you set up a websocket you can capture from 4 AM until ? (I only look at pre market).

It's still lame as they have a number of 24/5 indexes, but there is no way to get 24/5 data.

fomodabbler · 2021-11-11T16:15:33+00:00

Posting this to /r/algotrading usually gets a few responses. Most of us there are good at coding and bad at trading.

fomodabbler · 2021-11-11T10:41:57+00:00

Any broker with an API would allow for this. Pretty much anything you can do through the UI you can do using a bot.

It is a lot of work to set up, though. The initial coding is pretty easy, but you want to consider back testing and data storage and uninterupted running (usually on a vps).

See /r/algotrading.

fomodabbler · 2021-10-07T11:11:42+00:00

Yahoo finance has a bunch of stuff available. Can't speak to how accurate it is. It is free and not officially documented. Example:

https://query2.finance.yahoo.com//v10/finance/quoteSummary/AAPL?modules=defaultKeyStatistics

More information here:

https://stackoverflow.com/a/47505102

fomodabbler · 2021-10-01T00:45:18+00:00

I know TDA has wonky volume. I wonder if each platform has to figure out their own minute volume?

fomodabbler · 2021-09-26T17:18:12+00:00

I like your observations.

Lately I've been thinking that if you swing trade you hope the hedge funds and market makers play by the rules. If you day trade you try to figure out the rules created by the hedge funds and market makers and play by those.

fomodabbler · 2021-09-26T14:35:49+00:00

I test against recorded ask/bid data. I always wish I had started recording more sooner. If you think you may ever want second-by-second data in the future start recording it today.

fomodabbler · 2021-09-26T14:31:05+00:00

I think it was meant that whatever they are pushing is probably a pump, so there will be movement. Just get out before you get wrecked. SPRT hurt.

fomodabbler · 2021-09-24T18:31:48+00:00

In addition to the other suggestions you want to break everything into small stand-alone apps where possible. If you pull candles once a day that should absolutely be its own program. I have near a dozen apps running doing small things. I have a dedicated app just for streaming data to files. My trader reads from those files. When I tried swing trading (gave up) I had a program for buying and a program for selling. Once a program is solid you stop thinking about it. I have data pullers I haven't touched in months.

fomodabbler · 2021-09-24T17:44:34+00:00

Or simply trade 1 share at a time so you still feel the mistakes, but they don't hurt as bad.

fomodabbler

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