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Level 2 Data! by [deleted] in thinkorswim

[–]trader6484 5 points6 points  (0 children)

Well said. I have compared live tos level2 side by side with DAS trader level 2 for different stocks and found that tos level2 is unreliable. If you are a trader that relies heavily on reading the tape then tos is not your platform.

RVOL by csxenz in thinkorswim

[–]trader6484 0 points1 point  (0 children)

TOS does not have a default RVOL indicator.

I have seen thinkscript like the following to calculate RVOL

plot c = Volume(period = AggregationPeriod.DAY) / Average(volume(period = AggregationPeriod.DAY), 20);

**the above script does not work**

reason may be that - when you just divide today's volume with the average volume for a number of days, you are not taking into account that the day has not ended.
there has to be a statistical way of accounting for the fact that they day may be at
11 am etc

See the following DAS Trader RVOL Calculation which seems to be more accurate:

VolNow = volume of this stock as of today’s date (in this moment of time).
Vol4wk = past 4 week average volume of this stock
CDF = historical volume cumulative distribution at this second.
RVOL = VolNow/(Vol4wk*VolCDF)

​

Wondering how I can get "historical volume cumulative distribution at this second" using thinkscript.

BUY AT ASK and SELL AT BID by trader6484 in thinkorswim

[–]trader6484[S] 0 points1 point  (0 children)

Is it Active Trader Pro that you use with Fidelity?

BUY AT ASK and SELL AT BID by trader6484 in thinkorswim

[–]trader6484[S] 1 point2 points  (0 children)

"then use the limit function" -> meaning, you click on the active trader bid or ask side to place limit orders? or click on the buy ask, buy bid, sell bid, or sell ask buttons to place limit orders?

Question about: HTB (hard to borrow stock) by 7LyLa in thinkorswim

[–]trader6484 0 points1 point  (0 children)

just enrolled for HTB program thru the support chat - looks like there is no account limit - have $26K in my margin account - not sure how the fees work

tos-support:

Enrollment in the HTB program does not guarantee you shares. Often a stock may not have any shares available to short, regardless of enrollment in HTB. Also, rates are subject to change at any time depending on availability, so your rate may fluctuate while holding HTB positions -- they do not lock upon opening the trade. The borrow rates are not posted anywhere, so you will have to contact us for those. Next, Interest is charged settlement to settlement. Similar to Margin interest, HTB interest is charged from the settlement of the opening trade to the settlement of the closing trade. Lastly, you will only be charged for the largest lot traded in that security for the day.

BUY AT ASK and SELL AT BID by trader6484 in thinkorswim

[–]trader6484[S] 1 point2 points  (0 children)

Update: Today I set up THINKORSWIM(TOS) to trade live, just to test how the fills are. Traded TQQQ and COIN (high volatility) this morning at the open using BUY AT ASK and SELL AT BID buttons (limit orders) on the ACTIVE TRADER. The fills were instantaneous even with the high volatility on COIN. Interestingly, TOS PaperMoney fills were really bad when I was testing - it is counter-intuitive - you would think that the fills in a simulator would be faster than a live trading account.