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.
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.
All intraday formulae require a sequence parameter being a value starting from 0 (most recent), -1, -2 till -1000 (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.
|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|
|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|
|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.|
|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|
|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|
|ForceIndex||returns the Force index (default uses a 13 period ema)|
|Fractal Dimension Index|
|FractalDimension||returns the Fractal Dimension Index (usually 30 periods)|
|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|
|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|
|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.|
|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)|
For any formula using a Type parameter, the following are available:
|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|
|9||ATR%, i.e. x period ATR as specified in preferences as a % of the last periods close|
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
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.
17 October 2016
XLQ 5.5 released
- Maintenance release, improving on the many changes made to 5.4.
- InteractiveBrokers - Detects when tws shuts down and re-connects automatically.
- InteractiveBrokers - Can now reset the connection from the IB day status view.
- InteractiveBrokers - New option to “Keep last Greeks” from one trading session to the next.
- IQFeed - improved stream handling.
- Improved grid and column handling.
- And more. >>
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