Real Tick Scanner/Filter

Originally posted by CarlErikson


Ok, now I understand. You are correct - it is not a broadcast feed.

You can specify something like "I want all the bid/ask updates for every stock on the NYSE" and you don't have to specify every stock (just "NYSE").

Carl
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Waaaaaaaaaaiiiiiiiiiit,

So I don't have to input a million symbols? I can just, with one line of code say I am interested in all NYSE stocks? What about, I am interested in the energy sector, or the retail sector, etc, without having to know what the stocks that comprise that sector?

nitro
 
Originally posted by nitro

dafugginman,

In FA, can I do a scan on the entire market? That is, I want to be able to scan the entire NYSE, the entire option chain for every stock for every exchange, etc? In other words, do I have to say, I am interested in these stocks, tell me when so and so occurs, or can I say, I am interested in any stock that trades 1M shares a day and it has crossed it's 200 day MA and it will show me all of them?

nitro
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i'm not sure what's available arena in the options arena on firstalert.

as far as your second question, you must scan on a group. now, there are loads of groups preprogammed into it (crossing above 200day MA, AIRLINES, etc, etc), BUT in the thin version there is no group 'NYSE." i've heard that they're is a group 'NYSE' in the 'fat' version though.

what i did is painstaking import by hand the 600-700 stocks that trade on the NYSE with average volume above 100k shares into a group. you can create as many groups as you want, and i don't believe there is a limit on the number of symbols.
 
Originally posted by nitro

Waaaaaaaaaaiiiiiiiiiit,

So I don't have to input a million symbols? I can just, with one line of code say I am interested in all NYSE stocks? What about, I am interested in the energy sector, or the retail sector, etc, without having to know what the stocks that comprise that sector?

nitro
More...

You can filter stocks by exchange. You can't filter by sector - the API has no concept of "sector."

If you had a list of stocks in a sector, you can just gather data for that list. But you would have to know the stocks in the sector to make up the list (or read them off a website somewhere).

Carl
 
Originally posted by CarlErikson


You can filter stocks by exchange. You can't filter by sector - the API has no concept of "sector."

If you had a list of stocks in a sector, you can just gather data for that list. But you would have to know the stocks in the sector to make up the list (or read them off a website somewhere).

Carl
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Kewl.

One last question though. You say, "If you had a list of stocks in a sector, you can just gather data for that list." If I only want stocks whose volume is greater than 1M shares a day (with say less than 40% of that volume being in block sizes, and excluding the MOO and LOO trades and the MOC trades) do I first ask TA_SRV to send me those symbols, and then I send TA_SRV a command that says - I am only interested in these stocks, start sending me realtime data (b/a last, etc) ? I guess a piece of code [c or c++] would be worth a thousand [English] words.

nitro [I think I will just order the darn thing and try it out. Do you know if there is a trial?]
 
Originally posted by dafugginman


i'm not sure what's available arena in the options arena on firstalert.

as far as your second question, you must scan on a group. now, there are loads of groups preprogammed into it (crossing above 200day MA, AIRLINES, etc, etc), BUT in the thin version there is no group 'NYSE." i've heard that they're is a group 'NYSE' in the 'fat' version though.

what i did is painstaking import by hand the 600-700 stocks that trade on the NYSE with average volume above 100k shares into a group. you can create as many groups as you want, and i don't believe there is a limit on the number of symbols.
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Great. Sounds like the thin version would work OK...

Do you work at a prop firm? The reason I ask is that most prop/prof firms seem to offer FA (I am 99% sure that Bright offers it, though I did not know there was a thin and a fat version...I am just wondering if when they say they offer FA, if they offer the thin or fat version, or you have a choice ?]

nitro
 
Originally posted by nitro

Kewl.

One last question though. You say, "If you had a list of stocks in a sector, you can just gather data for that list." If I only want stocks whose volume is greater than 1M shares a day (with say less than 40% of that volume being in block sizes, and excluding the MOO and LOO trades and the MOC trades) do I first ask TA_SRV to send me those symbols, and then I send TA_SRV a command that says - I am only interested in these stocks, start sending me realtime data (b/a last, etc) ? I guess a piece of code [c or c++] would be worth a thousand [English] words.

nitro [I think I will just order the darn thing and try it out. Do you know if there is a trial?]
More...

I'm not sure you can get volume information that doesn't have block sized transactions in it. I'm pretty sure you can't exclude MOO, LOO, and MOC unless you could somehow distinguish between those types of trades (don't think you can with RealTick) and then keep a running volume total yourself (and just add volume for each reported transaction that comes in).

I'm looking at the API notes and you could probably do everything else you want like this:

1. Set up a stream of data for all NYSE and NASDAQ quotes.

2. When a quote comes in, check it's average volume to see if it is greater than 1M. If it isn't, ignore its quotes for the rest of the day.

The C/C++ version of the API basically makes you request a superset of what you want, and then you have to do the filtering on your end. You can't set up complex filters on the sending side, just the receiving side (although you can do simple filters based on exchange, market maker id, etc.)

Sorry, no code. There is some code available at that link I had before - but not anything that resembles what you want. Still, it might give you a general idea of how painful it would be to get something running.

Carl
 
Originally posted by neoadam
Nitro,

Neovest does offer a free 2 week trial of the thin software. Just look at the website. www.neovest.com for the contact info. :D
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Kewl!

Thanks, and thanks to every one else for their response and help.

nitro
 
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