Anyone have a SPY algo running intraday?

Discussion in 'Automated Trading' started by Fireplace, Apr 1, 2012.

  1. Hey guys, I'm curious if anybody has an algo that trades the SPY intra-day?

    I have a concept that I want to code but it relies on whole minute (1,2,3,5 etc) and also fractional minute (230 seconds, 290 seconds, 535 secs etc) data for identifying specific setups. My problem is, I currently have Esignal and there is no way I can use esignal for fractional minute data as it's woefully inaccurate.

    Does anyone have any advice? Know of solid charting software that has consistent data for both whole and fractional min data?


  2. dyson


    Be careful with sub-minute/tick scaled intervals. They will fail to sync between platforms. Minute-based intervals are much more reliable.

    I know traders who like to use fib based tick intervals (89, 233, 610) and the charts they produce on one platform will vary to the next.
  3. I have one that runs on hourly data for entries and tick data for exits.

    It's been flat for a couple months as the market has been too quiet to trigger any positions.

  4. ninjatrader using kinetick has seconds c# is a lot easier to code than esignal
  5. But there must be reliable charting platforms for tick based interval data, no?

  6. dyson


    Unlike time based settings, tick intervals have more variables when calculating. This causes discrepancies between feeds.

    From my experience, a tick interval locks you into a particular platform.
  7. dom993


    I use IQ.feed, my understanding is that every transaction comes in with its timestamp (to the second), so there is no dependency on the computer clock.

    I have no idea where this timestamp is originated though, exchange or IQ.feed server - but I suppose calling their tech-support (even probably sales support) would get an answer on this.
  8. The timestamp originates on the IQFeed server.
  9. Thanks Dom. Do you think IQ.feed is a good option with regards to the tick interval data? Esignal is not good enough and am looking for something a lot more reliable.

  10. dom993


    I have 2 IQ.feeds ... I find them very reliable.

    There is a cost to that though, you could give a try to Ninja/Zenfire (although I have heard people complaining in the last year) or some other datafeed bundled with Ninja if you want to shave these costs.
    #10     Apr 1, 2012