Introduction

Available to xlq2 users, Historic Intraday formulae opens a new dimension to working with intraday data.

  • Work with multiple time intervals (specified as a parameter).
  • Can work with months of data (depending on source) including historic and / or current day / realtime updating
  • Reference data by date / time, or relative reference
  • Work with market hours only and / or include pre/post market
  • All equivalent historic calculations and range formulae are available.
  • View the data within xlq2

 

Formulae examples are available on the historic intraday sheet in xlqdemo.xlsx

All xlqxh daily calculation formulae have an equivalent xlqxhi version, with range formulae have a xlqrhi version. Basic price data (date/time/open/close etc.) return via xlqhi formulae, i.e. xlqhiOpen etc.

These formulae replace the old intraday formulae (xlqintra, xlqxi...), which will continue to work for now and function independently.

In addition to a date parameter they also have 3 extra parameters, i.e. date, time, interval and option, with the range having from date, from time, to date, to time.

Dates, like historic formulae can be the actual date or -x reference

Time can be -x or actual time. Time may be entered as a numeric value representing the time, e.g. 930 being 9:30 1520 being 15:20 etc., but if you prefer you can also use actual excel times and use 9:30 instead. In addition it is further possible to provide a date of 999 and enter an excel date / time as the time parameter e.g. 1/1/2022 10:30 (usually as a cell reference).

Interval is any x minute interval, 1 being 1 minute , 30 being 30 minute etc.

Option is either:
0 - working only with market hours,
1 - including pre / post market data
2 - working only with market hours (with gaps),
3 - including pre / post market data (with gaps)
with gaps excludes bars where no trades occurred between first and last trade of the day.

Bar times represent the starting bar time

e.g. =xlqhiOpen("aapl",-1,-1,1,0, "ib") return the open for the last bar of market hours for prior date from ib

changing that to =xlqhiOpen("aapl",-1,-1,5,1, "ib") return the open for the last 5 minute bar of last post market trades

=xlqhiClose("aapl",-1,1000,30,0, "tda") would return the close of the 30 minute bar at 10 am specifying an actual date would return the value for that date.

For streaming sources it is also possible to use a date of 0 for the current day with continued realtime updates. Using date of 0 and -1 for time would always return the last bar for the chosen interval as it completes.

Supported sources are EODHD, FMP, IB, IQFeed, Schwab and Tradier (requires an xlq2 license).

As it takes time for certain sources to return the initial data, it is stored for reuse, avoiding lengthy re-requests if data is reloaded, although can be changed by source in preferences.

With EODHD and FMP, data is only historic up to last close with years of available data. Limit is set per source in preferences.

IB has current day realtime and can work with many months of data but many dates may take over 15 minutes to request the data per symbol on first request. Preferences is set to 30 days which can take a couple of minutes. Although refreshing afterwards can be done in seconds.

IQFeed also has realtime with many months of historic data.

Schwab has data for a few days and only historic (not current day) is available.

List

xlqhi...  Description
Date Date and Time (excel) for data
Time Time reference as number, i.e. 1130 being 11:30
Open Opening price for the interval
Close Closing price for the interval
Low Low for the interval
High High for the interval
Volume Volume for the interval
TotalVolume Volume for the day and end of interval
TimeIndex Returns the relative -x time for the interval for referencing a data series
xlqxhi... Averages  Description
StdDev returns the standard deviation (for sample) over X periods. May be calculated on different Types
StdDevP returns the standard deviation (for population) 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 (sample) of Average
FlexAveStdDevP Standard Deviation (population) of Average
xlqxhi... Calculations  Description
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
Aroon
AroonUp Aroon Up based on high
Aroon Down Aroon Down based on low
Aroon Oscillator Difference between Aroon Up and Down
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
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
Bollinger Bands Version 2 with extra parameters
BollingerBands2Upper The Upper band of the BB calculation. The default is 20 periods with stddev multiplier of 2, and may be calculated on different Types
BollingerBands2Middle The Middle band of the BB calculation. Fractional Mulipliers may be used
BollingerBands2Lower The Lower band of the BB calculation.
BollingerBands2B The %B Bollinger Bands calculation.
BollingerBands2Width 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
Chaikin Money Flow
ChaikinMoneyFlow Chaikin Money Flow Index.
ChaikinMoneyFlowMultiplier Multiplier of the Chaikin Money Flow.
ChaikinMoneyFlowVolume Volume of the Chaikin Money Flow.
Choppiness Index
Chop Choppiness Index indicates whether the market is trending (not choppy) or ranging (choppy).
CMB Composite Index
CMBComposite CMB (Constance Brown) Composite Index.
CMBCompositeFast Fast SMA of the CMB Composite Index.
CMBCompositeSlow Slow SMA of the CMB Composite 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
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.
Keltner Channels Version 2 with extra parameters
KeltnerChannels2Lower 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
KeltnerChannels2Middle Returns the middle Keltner Channel.
KeltnerChannels2Upper 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)
MACD MACD (usually 26 / 12 period)
MACDTrigger X period EMA of MACD (default 9)
MACDHistogram Difference between MACD and MACDTrigger
MACD (Moving Average Convergence - Divergence) Version 2 with extra parameters
MACD2 MACD2 (usually 26 / 12 period)
MACD2Trigger X period EMA of MACD (default 9)
MACD2Histogram Difference between MACD and MACDTrigger
Money Flow Index
MoneyFlowRatio Money Flow Ratio
MoneyFlowIndex Money Flow Index
On Balance Volume (OBV)
OnBalanceVolume On Balance Volume
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
RSI (Relative Strength Index) Version 2 with extra parameters
AveGain2 Average of Gains over X periods
AveLoss2 Average of Losses over X periods
RelativeStrength2 Relative Strength, i.e. AveGain / AveLoss
RSI2 Relative Strength Index, i.e. RelativeStrength as a value between 0 and 100.
Stochastic Oscillator
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)
Super Trend
SuperTrend Super Trend by Olivier Seban. Can choose ATR calculation method
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

Range Formulae

Start with =xlqRhi, allow for 2 date / time reference parameters

RateOfReturn Rate of return (%Change) between the start and end dates specified
StdDev Standard deviation (sample) given a start and end date. May be calculated on different Types
StdDevP Standard deviation (population) given a start and end date. May be calculated on different Types
Mean Simple moving average given a start and end date. May be calculated on different Types
Median The median given a start and end date. May be calculated on different Types
HighestClose Highest close within a range of dates
LowestCLose Lowest close within a range of dates
HighestHigh Highest high within a range of dates
LowestLow Lowest low within a range of dates
HighestCloseDate Date of the highest close within a range of dates
LowestCloseDate Date of the lowest close within a range of dates
HighestHighDate Date of the highest high within a range of dates
LowestLowDate Date of the lowest low within a range of dates
HighestVolume Highest volume within a range of dates
LowestVolume Date of the lowest volume within a range of dates
HighestVolumeDate Date of the highest volume within a range of dates
LowestVolumeDate Date of the lowest volume within a range of dates
AveVolume Average (SMA) volume within a range of dates
TotalVolume Total or sum of each periods volume within a range of dates
DrawDownFromHighest Returns the % drawdown from the highest value in the period range to the end value. May be calculated on different Types. When Close is specified, the drawdown will be from the highest close in the range to the last close of the range. For the other values, it will be from the highest value to the low, e.g. from the highest typical price in the series to the low of the last period.
MaxDrawDownFromHighest Calculates the % DrawDown for each period in the range, and return the highest value calculated within the series
DrawUpFromLowest Returns the % drawup from the lowest value in the period range to the end value. May be calculated on different Types. When Close is specified, the drawup will be from the lowest close in the range to the last close of the range. For the other values, it will be from the lowest value to the high.
MaxDrawUpFromLowest Calculates the % DrawUp for each period in the range, and return the highest value calculated within the series

 

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
20 Volume
21 On Balance Volume
22 Close Price * Volume

 

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

 

      

Examples

For additional information on parameters press Excel's fx button and select the parameter

Range Example

=xlqrhiAveVolume("aapl",-1,930,-1,1030,1,1,"tradier") returning the average 1 minute volume between 9:30 and 10:30

=xlqrhiHighestCloseDate("aapl",-10,930,-1,-1,1,0,"iqfeed") returning the date and time of the highest closing 1 minute bar over last 10 trading days during trading hours.

New Tips and Tricks Page
  • A quick reference guide to using xlq2 with excel including shortcuts, tips etc.

  • Examples and explanations for all user levels.
Also available via the Resource menu above, along with references for formulae, symbols etc.

LATEST NEWS:

12 September 2024

XLQ2 24.41 released

  • xlqPrice2x, xlqBid2x and xlqAsk2x

    Specialized versions based on price differences to return

    • up to 20 prior values
    • the trend
    • as positive or negative depending on movement.
  • Schwab

    includes all the latest updates.

    Option Chain functionality now supported and Schwab view added

  • New option date formulae

    To calcualte a trend and target price for a given expiry date based on volume and open interest

  • More. >>

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Books

xlq2 has been recommended in the following:

Definitive Guide to Position Sizing

Van Tharp

Paul King