Introduction

Intraday formulae allow you to work with historic tick or X minute bars of data.

Backfill data will automatically be requested from the streaming source (IB, IQFeed and TDAmeritrade) and updated from the streams. Intraday data will also be logged from snapshot services.

Intraday formulae will work on the frequency set in xlq preferences. Only when an X minute interval is chosen can xlqxi.. calculations be performed.

Intraday Preferences

If the preference setting is changed xlq should be restarted to work with the new interval. From the data source specific preferences it is also possible to set source specific backfill settings such as restricting the backfill to certain times, or including only regular trading hours.

Formulae returning basic data start with xlqIntra and require a sequence parameter. Calculated formulae start with xlqxi.. and may require additional parameters.

Sequence

All intraday formulae require a sequence parameter being a value starting from 0 (most recent), -1, -2 till -2000 (oldest).

Depending on the preference setting they could represent ticks or x minute bars, e.g. if a 5 minute bar is chosen, 0 would be the current 5 minute bar, -1 the 5 minute before, -2 the 5 minutes before that.

List

xlqIntra  Description  xlqLite  xlqPlus
Time Time of the start of the x minute interval, or time of tick
Price Price of current tick, or price at end of x minute period
Size Size of trade, or size of last trade in x minute period
Bid Bid, or last bid in x minute period
Ask Ask, or last ask in X minute period
BidSize Size of Bid, or size of last bid in x minute period
AskSize Size of Ask, or size of last ask in x minute period
Change change since the previous intraday sequence
Volume Volume of shares traded since the previous intraday sequence
TotalVolume the total shares traded at the time of the intraday transaction
Open Opening price for the interval
Close Closing price for the interval
Low Low for the interval
High High for the interval
EarliestPeriod the earliest -x reference for the intraday series
xlqxi.. Averages  Description  xlqLite  xlqPlus
StdDev returns the standard deviation over X periods. May be calculated on different Types
Mean returns a simple moving average for X periods. May be calculated on different Types
SMA Simple moving average of close based on parameter
EMA Exponential moving average of close based on parameter
AveVolume simple moving average of volume based on parameter
AveVolumeEMA Exponential moving average of volume based on parameter
FlexAve Type of average and Type of data used depend on parameters
FlexAveSlope Slope of FlexAve, can specify alternate No. of Periods than for Average
FlexAveIntercept Intercept of FlexAve, as per Slope
FlexAveStdDev Standard Deviation of Average
xlqxi.. Calculations  Description  xlqLite  xlqPlus
AveRange (14) period Average of the Range
AveRangeEMA Exponential Moving Average of the Range
AveTrueRange (14) period Average of the True Range
AveTrueRange2 weighted (Wilder) Average of the True Range
AveTrueRangeEMA Exponential Moving Average of the True Range
ATRPercent an X period Average (sma) True Range as a % of the last close for the range. The result is also available as a Type parameter for other formulae
SMATP Simple Moving Average of the Typical Price
RateOfReturn (close – X period prior close) / X period prior close *100
Streak returns the number of consecutive up or down periods, xlqxh.. May be calculated on different Types
PercentRank returns the percentile rank over the specified periods (default 100). May be calculated on different Types
ADX (Average Directional Index)
DMIPositive The Positive Directional Movement Indicator i.e. an ema of the directional indicator (i.e. ema of DM+ / ema of True Range).
DMINegative The Negative Directional Movement Indicator i.e. an ema of the directional indicator (i.e. ema of DM- / ema of True Range).
DX The Directional Index i.e. (abs(DMI+ - DMI-)) / (DMI+ + DMI-) * 100
ADX The Average Directional Index i.e. an ema of the DX.
Bollinger Bands  xlqLite  xlqPlus
BollingerBandsUpper The Upper band of the BB calculation. The default is 20 periods with stddev multiplier of 2, and may be calculated on different Types
BollingerBandsMiddle The Middle band of the BB calculation. Fractional Mulipliers may be used
BollingerBandsLower The Lower band of the BB calculation.
BollingerBandsB The %B Bollinger Bands calculation.
BollingerBandsWidth The bandwidth of the BB calculation.
Note: multiplier is entered as an integer but fractions may be entered as follows:
values over 10 will be divided by 10, e.g. 21 will be 2.1
values over 100 will remove 100 and divide by 10, i.e. 121 will be 2.1 109 will be .9
values over 1000 will remove 1000 and divide by 100 i.e. 1210 will be 2.1, 1215 will be 2.15
CCI (Commodity Channel Index)
SMATPMD mean deviation of the SMATP (sma of typical price)
CCI The Commodity Channel Index
Connors RSI
ConnorsRSI Connors Relative Strength Index. Default RSI periods = 3, RSI Streak Periods = 2, Percent Rank periods = 100.
ReverseConnorsRSI returns the price required to obtain the target Connors RSI. Requires the number of periods for the rsi, the streak rsi the Percent Rank and the CRSI target. The Target should be entered as an integer. e.g. 60. If you would like to enter 60.5 use 605, or for 2 decimals 6055 for 60.55
Force Index
ForceIndex returns the Force index (default uses a 13 period ema)
Fractal Dimension Index
FractalDimension returns the Fractal Dimension Index (usually 30 periods)
Historic Volatility  xlqLite  xlqPlus
HistoricVolatility returns the historic volatility. The default being for 30 periods and an annualized (252 day) scale factor.
Kaufman Efficiency Ratio
KaufmanER Kaufman Efficiency Ratio. The default is 10 periods, and may be calculated on various Types
Keltner Channels
KeltnerChannelsLower Returns the lower Keltner Channel. Default 20 Periods, 10 ATR periods, multiplier of 2, using an EMA
Fractional multipliers may be used - see BollingerBands for an example
KeltnerChannelsMiddle Returns the middle Keltner Channel.
KeltnerChannelsUpper Returns the upper Keltner Channel.
LSMA (Least Square Moving Average) also known as the linear regression value, moving linear regression and regression oscillator.
LSMA Least Square Moving Average. May be calculated on various Types
Slope Slope used in the LSMA
MaxLSMA Returns the Max of Least Square Moving Average for all periods between the 2 period ranges specified. The LSMA will be calculated for each and the maximum value for each result is returned
MACD (Moving Average Convergence - Divergence)  xlqLite  xlqPlus
MACD MACD (usually 26 / 12 period)
MACDTrigger X period EMA of MACD (default 9)
MACDHistogram Difference between MACD and MACDTrigger
Money Flow Index
MoneyFlowRatio Money Flow Ratio
MoneyFlowIndex Money Flow Index
PSAR (Parabolic Stop and Reverse)
PSAR Parabolic SAR (Stop and Reverse) Default acceleration factor 2% (.02), maximum step 20% (.2)
PSARLongShort If long, return 1, if short returns -1
PPO (Percentage Price Oscillator)
PPO the PPO (Percentage Price Oscillator) (usually 26 / 12 period)
PPOTrigger X period EMA of PPO (default 9)
PPOHistogram Difference between PPO and PPOTrigger
RSI (Relative Strength Index)
AveGain Average of Gains over X periods
AveLoss Average of Losses over X periods
RelativeStrength Relative Strength, i.e. AveGain / AveLoss
RSI Relative Strength Index, i.e. RelativeStrength as a value between 0 and 100.
ReverseRSI the Reverse RSI, i.e. returns the price required to obtain the specified RSI. Requires no. of periods and target RSI. The Target should be entered as an integer. e.g. 60. If you would like to enter 60.5 use 605, or for 2 decimals 6055 for 60.55
Stochastic Oscillator  xlqLite  xlqPlus
StochasticFastK Stochastic %K (fast) for the x period (default 14)
StochasticFastD Stochastic %D (fast) the y period SMA of the stochastic %K (fast) (default 3)
StochasticSlowK Stochastic %K (slow) i.e. 3 period sma of the %K fast
StochasticSlowD Stochastic %D (slow) i.e. the y period moving average of the stochastic %K (slow) (default 3)
StochasticFullK Stochastic %K (full) i.e. y period sma of the %K fast
StochasticFullD Stochastic %D (full i.e. the z period moving average of the stochastic %K (full) (default 3)
TRIX (Triple eXponential moving average)
TrixDbMA the partial calculation of the Trix, i.e the double EMA or the EMA of the first EMA.
TrixTrMA the partial calculation of the Trix, i.e. the Triple EMA or the EMA of the double EMA.
Trix the Triple EMA (usually 15 period)
TrixTrigger X period EMA of Trix (default 9)
TrixHistogram Difference between Trix and TrixTrigger
True Strength Index
TrueStrengthIndex the True Strength Index.
TrueStrengthSignal X period EMA of True Strength Index .
TrueStrengthHistogram Difference between Index and Signal.
Up Down Volume Ratio
UDVR the Up Down Volume Ratio.
UDVRSlope Slope of the the Up Down Volume Ratio.
Vortex Indicator
VortexPositive the trend of the positive vortex (usually 14 period)
VortexNegative the trend of the negative vortex (usually 14 period)
Williams %R Momentum Indicator
WilliamsR Williams %R Momentum Indicator (default 14)
 Description  xlqLite  xlqPlus

Types

For any formula using a Type parameter, the following are available:

0 Close
1 Open
2 Low
3 High
4 Typical Price i.e. (high + low + close) / 3
5 Weighted Price i.e. (open + high + low + close) / 4
6 Rate of Return (%Change)
7 Range i.e. High - Low
8 True Range
9 ATR%, i.e. x period ATR as specified in preferences as a % of the last periods close
10 CLOP (close - open)
11 CLOP% (close - open)/open
12 HIOP (high - open)
13 HIOP% (high - open)/open
14 LOOP (low - open)
15 LOOP% (low - open)/open
16 CLLO (close - low)
17 CLLO% (close - low) / low
18 CLHI (close - high)
19 CLHI% (close - high) / high

 

Flex Average Types

The Following Types may be used for the Flex. Average, Slope, Intercept and StdDev:

0 SMA (Simple Moving Average)
1 EMA (Exponential Moving Average)
2 DEMA (Double Exponential Moving Average)
3 TEMA (Triple Exponential Moving Average)
4 TrEMA (Triangular Exponential Moving Average)
5 Wilder Moving Average
6 Weighted Moving Average
7 Volume Weighted Moving Average
8 Hull Moving Average

 

      

XLQ view

It is also possible to view the streaming data directly in xlq

Right click the Q on the task bar (or press alt-ctrl-shift-Q) and choose View data / Intraday View

Examples

For additional information on parameters press excel's insert function button 'fx' and select the parameter

Streaming Tick Example

=If xlq preferences / Data settings / Intraday Preferences / Interval is set to 0, the intraday will show the historic of the stream

=xlqintraBid("gs",-1,"tda") or =xlqfx("xlqintraBid","gs","tda",-1)

5 minute bar example

=If xlq preferences / Data settings / Intraday Preferences / Interval is set to 5, the intraday will show the historic of the 5 minute bars

=xlqxiMean("msft",-1,12,2,"tda") or =xlqFx("xlqxiMean","msft","tda",-1,12,2)

will return a simple moving average or the low for the last 12 5 minute bars for Microsoft from TDAmeritrade

Additional examples of all formulae in xlqDemo.xls included with the download.

LATEST NEWS:

20 March 2017

XLQ 5.6 released

  • New formulae xqlxhFlexAve, xlqxhFlexAveSlope, xlqxhFlexAveIntercept, xlqxhFlexAveStdDev with support for new averages (Double / Triple / Triangular EMA, Hull etc).
  • 10 New data 'types' for supported formulae.
  • No. of intraday bars doubled, New 15 and 30 second intervals.
  • New formulae xlqIntraEarliestPeriod, xlqBidTime, xlqAskTime, xlqIsMarketOpen.
  • New preference settings for IQFeed and TDAmeritrade to mange pre/post market data.
  • xlqPseudoHist now also availalble for Google.
  • And more. >>

Current Offers

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Purchase xlqPlus for $149
Purchase xlqLite for $89

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Books

xlq has been recommended in the following:

Definitive Guide to Position Sizing

Van Tharp

Paul King