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. >>
Current Offers
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- R.M.
I am always finding new ways to use your program in my investment / speculative Market endeavors.
- S.S
Thanks for such a wonderful product. It certainly does handle my most precious need which is to monitor the market realtime..
- W.B
It is a pleasure doing business with such a responsive person who obviously understands the value of good customer service. I have just registered and intend to make good use of this program.
- E.D.
Your fast and thorough answer is more than what I expected. Your service is awesome and your product is very stable. Keep up with your good work. Sincerely appreciated :)
- V.P.
Just a note to let you know that I really like you software. It's a wonderful interface that has been of great utility to me.
- J.B.