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d***u
发帖数: 313 | 2 Thx for BAOZI ( although i didn't expect this for exchanging info)
Intraday VWAP is useful to determin the best entry/exit
Here is a screen shot from my system showing VWAP... |
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n******n
发帖数: 12088 | 3 to make the whole flow work, u need:
1) automatically download 1-min data from y! fin for all tickers interested.
2) automatically calculate vwap for each.
3) create reports and add proper ui to access.
also, u need a 24-hr online server.
of course it's doable. but just not want to reinvent the wheel.
btw, y!f only keeps 1-day's 1-min data, i think. no way to retrieve historical one. |
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w******s
发帖数: 16209 | 4 why you think vwap is very yeji?
, |
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a******n
发帖数: 206 | 5 赞。
你用vwap 预测什么了？
我在想怎么设计一个类似化学里不同species 相互转换的模型，框架是一个3-box
model (或者只要2 boxes), 假设市场只有两三个大player。然后track volume
weighted average price, 引入一些类似半衰期的参数，希望可以diagnose 出支撑和
压力位。 |
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w*******d
发帖数: 8 | 6 VWAP Calculation is not a trivial procedure.
You have to pay attention to the sale condition code of trades.
And there is no industry standard. |
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w*******d
发帖数: 8 | 7 BBG has its own convention to calculate VWAP. But each broker firm has
different criteria... On BBG, you will find that you can customize sale
condition code for the calculation too.
BBG default setting is a good start though. |
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g****t
发帖数: 4493 | 9 Jan. 2.17 | About: NVIDIA Corporation (NVDA)
来源： NVIDIA Corporation (NASDAQ:NVDA) | Seeking Alpha
Long/short equity, deep value, special situations, contrarian
Summary
In November 2013, Nvidia sold about 64 million warrants to Goldman Sachs.
Today, both parties are entering in a termination agreement, whereby Nvidia
will settle in shares.
The termination agreement will cost Nvidia shareholders anywhere from 8% to
9.2% in dilution.
This is a major dilutive transaction and therefore negative for t... 阅读全帖 |
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p******k
发帖数: 11 | 10 http://ponyhawk.org/algorithm_trading/
目前证券交易中常用的主流算法有XWAP（VWAP/TWAP），PEG/Paticipate。对于这些算
法，相应的论文很多，对于专业人士自然是基本常识，但是对于还没入门或者只是刚刚
有所兴趣的人们专业论述未免过于艰涩。我尝试着用大白话简述一番，肯定有错漏粗疏
之处，只求见者能够有种原来如此/不过如此，略有所得就算达到目的。
VWAP，直接翻译叫做交易量加权平均价格，白话讲就是寻求一个均价成交，这个均价依
据历史交易量的一个加权平均来确定，理想状态下，这个价格就是一段时间内的市场均
价。这种算法并不追求以低于市场平均成本购买股票，而是希望在购买的过程中对于市
场的影响最小。具体实现就是根据某只股票的历史成交记录作出一个每天不同时点的交
易情况的预测，跟据预测的情况决定交易的数量，以达到加权之后依然接近于市场的均
值。这里可以引申出另一个算法TWAP，直接翻译是时间加权平均价格，这个算法并不预
测交易情况，而是直接把交易时段均分成不同的时间点进行交易，这样取得在某时段上
的时间加权平均价格。总之VWAP就是追求均... 阅读全帖 |
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t*******o
发帖数: 1464 | 12 http://www.marketwatch.com/story/generex-receives-funding-commitment-2010-04-08?reflink=MW_news_stmp
这个Seaside 88, LP要买up to 总股数的1/5。。。。计划每半个月2m的购入量
WORCESTER, Mass., Apr 8, 2010 (GlobeNewswire via COMTEX) -- Generex
Biotechnology Corporation /quotes/comstock/15*!gnbt/quotes/nls/gnbt (GNBT
0.47, +0.02, +3.56%) (www.generex.com), the leader in drug delivery for
metabolic diseases through the inner lining of the mouth, today announced
that it has entered into a common stock purchase agreement w... 阅读全帖 |
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h****e
发帖数: 2125 | 13 替个猎头朋友找人，要求在大纽约地区的senior C++ developers，工资高要求也高，
最好有较强的相关背景。
"
3 positions ranging from 180-300k total compensation and potentially more
for a superstar!
Location: Lower Midtown NYC
Currently the team is 3 and they are looking to double in size.
Senior Algorithmic Platform Developer
A solid industry leading Advanced Execution Services trading platform. This
is a flexible, high throughput trading system, which manages and executes
various trading algorithms for thousands of clients.
Job Respon... 阅读全帖 |
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f*******r
发帖数: 976 | 14 工资跟湾区的比不算高啊，senior C++在湾区也有250k以上
替个猎头朋友找人，要求在大纽约地区的senior C++ developers，工资高要求也高，
最好有较强的相关背景。
"
3 positions ranging from 180-300k total compensation and potentially more
for a superstar!
Location: Lower Midtown NYC
Currently the team is 3 and they are looking to double in size.
Senior Algorithmic Platform Developer
A solid industry leading Advanced Execution Services trading platform. This
is a flexible, high throughput trading system, which manages and executes
various trading algorithms f... 阅读全帖 |
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m********0
发帖数: 2717 | 15 这才几行code，没什么激情的，lirist同学比我熟练多了。
oscillator我以前用，现在不太爱用了，
现在就一个指标看的比较多，C-EMA(C,20), VWAP-EMA(VWAP,20)
overbought |
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b**h
发帖数: 293 | 16 今天开盘直接越过VWAP 50，是转势的重要指针。鉴于平头蜡烛，明天仍然看涨。
底下有个小gap，迟早会回来补上，同时会测试VWAP 50的支撑。
若那时支撑给力，是建立中长期看涨仓位的最佳时机。 |
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d*****l
发帖数: 8441 | 17 In yesterday's options pits, bears attacked Potash Corp./Saskatchewan (USA)
(NYSE:POT) -- down 5.5% this week -- at a rate two times the daily norm.
More specifically, roughly 10,000 puts and only 5,838 calls had crossed by
the sound of the market's closing bell.
The majority of this activity was seen at POT's in-the-money June 42 put,
where 6,366 contracts changed hands at a volume-weighted average price (VWAP
) of $0.98. Of these contracts, 67% went off at the ask price, and open
interest surg... 阅读全帖 |
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t*********e
发帖数: 630 | 18 Molycorp Inc (NYSE:MCP) has been a long-term laggard, losing nearly 70% in
the past year to trade at $6.09. Nevertheless, that hasn't stopped a rush of
traders from targeting the August 7 call. Nearly 13,000 contracts have
traded at the out-of-the-money strike today, with a majority on the ask side
. Since open interest at the strike is comprised of just under 2,700
positions, it's a safe bet to assume buy-to-open activity.
By picking up the back-month calls for a volume-weighted average price (... 阅读全帖 |
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l**********o
发帖数: 1573 | 19 In afternoon action, BIDU has seen about 25,000 calls change hands -- a 54%
mark-up to its average intraday call volume. On the flip side, just 13,000
BIDU puts have traded so far.
Attracting notable attention is the October 135 call, where more than 1,700
contracts have traded at a volume-weighted average price (VWAP) of $5.46.
Ninety-one percent of the calls crossed on the ask side, and volume has
surpassed open interest at the strike, hinting at freshly bought bullish
bets.
By purchasing the ... 阅读全帖 |
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t******e
发帖数: 673 | 20 坐等大牛下面两周亏费。
APR 4TH GDXJ close 37.03 VWAP 36.8
APR 5TH UVXY close 16.94 VWAP about 16
Today current GDXJ 36.51, UVXY 17.2 |
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l***m
发帖数: 920 | 21 判断不管用不是很容易么？
原来sharpe现在不sharpe了，那就不管用了。
原来return per trade很高现在不高了，那就不管用了。
原来可以扔进去几十个million现在只能几十k，那就不管用了。
原来几分钟的frequency用的是vwap现在变成微秒了不能用vwap，那就不管用了。
。。。
even |
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l***m
发帖数: 920 | 22 判断不管用不是很容易么？
原来sharpe现在不sharpe了，那就不管用了。
原来return per trade很高现在不高了，那就不管用了。
原来可以扔进去几十个million现在只能几十k，那就不管用了。
原来几分钟的frequency用的是vwap现在变成微秒了不能用vwap，那就不管用了。
。。。
even |
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K********g
发帖数: 9389 | 23 The per share purchase price of the shares sold to Seaside 88 will be at an
8% discount to the volume weighted average trading price of MannKind common
stock for the ten consecutive trading days immediately preceding each
closing date (the "VWAP"). For any closing to take place, the VWAP must be
at least $6.50 per share.
我的娘也，跌不下去了。 6.5上了保险，他奶奶的 |
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A******g
发帖数: 612 | 24 1. 首先，什么是bundled和unbundled? 分别适用于什么情况？
2. 看了他们网页，说
bundled $0.005/share, min $1.00 , max 交易额0.5％ ＋ exchange, ECN, and
specialist fee。然后给了例子
100 Shares @ USD 50 Share Price= USD 1.00
1,000 Shares @ USD 50 Share Price = USD 5.00
1,000 Shares @ USD 0.50 Share Price = USD 2.50
但是这个例子里没有exchange,ECN,specialist fee (完全不明白这3样是什么）
3. Bundled 里还有 Non-smart routed API orders 和 VWAP orders, 这些又是什么意
思？
4. Unbundled的 <=300,000 Shares USD 0.0035， 总费用＝unbundled+exchange+
clearing+transaction fee
(这些又是什么？）
规 |
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g*****u
发帖数: 14294 | 25 Scope of Work：
整理汇总IB ECN的Commission到一个Excel档。
Payment：
Initial payment 5个包子；结案后尾款5个包子付清。
工作发包人（本人）对工作质量是否符合要求有最终解释权。
工作所产生的知识产权归工作发包人（本人）所有。其他人未经过本人同意无权散布发售该知识产权覆盖的产品。
有意者可以先把你的Excel档表头定义发给本人评估。
里面总共有这些Exchanges:
AMEX
ARCA
ARCAEDGE
ATD
B-Trade
BATS
CBSX
CHX
CSFB Algo
CSFBCROSS
CSFB Path
Direct Edge
Direct Edge Dark Pool
EDGEA
IDEAL
Island
ISE
JEFFALGO
LAVA
LEVEL ATS
Liquidnet
NASDAQ BX
Nite/PinkSheets
NSX
NYSE
PHLX
Track ECN
VWAP
Timber Hill Auto-ex
http://www.interactivebrokers.com/en/p.php?f= |
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n******n
发帖数: 12088 | 26 volume weighted average price.
y! finance not have.
ib have, but i've no idea how to download it. in addition, ib data often
dirty. |
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l*******r
发帖数: 3799 | 28 You can calculate it in Excel. Fairly easy. |
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n******n
发帖数: 12088 | 29 not easy at all if u have hundreds of tickers to trace everyday.
u need min data and it's still an approx. |
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n******n
发帖数: 12088 | 31 in addition, u don't know if y!f data reliable, and calc based on 1-min
still have errors.
interested.
historical one. |
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l*******r
发帖数: 3799 | 32 Unfortunately, there is no free data stream at inutely level.
It is not that difficult - R has all kinds of components you need, and you
just need to spend a few hours to put them together. You can start from a
few ETFs, and scale up if you want. Once you finish the code, you can even
put them into the cloud so they can run 24/7.
interested. |
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w******s
发帖数: 16209 | 33 hehe. I had ever shared this information, but got bashed.
you need tick level data (which is almost never free) and then do the
calculation and aggregation together. |
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d***u
发帖数: 313 | 36 没仔细看，以为你只要某天某个的。
有个IB讨论些程序的论坛，好像有free code. |
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w******s
发帖数: 16209 | 37 why at which part? minuts data can't be accurate
say in the same minute, 10000 shares traded at 10, 100 shares traded at 11 |
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w******s
发帖数: 16209 | 38 you should be able to track it from IB or calculate based on IB's data.
the only limitation is the numbers fo symbols you could watch (50?), but
usually good enough for most people. |
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l*******r
发帖数: 3799 | 39 I mean why bashed?
Short/middle term swing trade do not need so accurate minuately level data,
and HF trade should not use data colleted from such "yeji" method at all.
So how come you were bashe?!
11 |
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n******n
发帖数: 12088 | 40 i think it's accurate enough for amateurs. |
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n******n
发帖数: 12088 | 41 through tws's api? any more details are highly appreciated. |
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w******s
发帖数: 16209 | 42 i can't remember details, but there is bigger limitation on retrieval
historical data on IB
something like 5 symbols per minute and 1 request per 10 seconds.. something
like that.
and for realtime, it is a bit better but still sucks |
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n******n
发帖数: 12088 | 44 thx. what data service r u using now?
few
data |
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d***u
发帖数: 313 | 45 i use 3 data services now.
1) prophet finance (paid) (up to half year intraday data - the data quality
is not very good, but my system already has an adapter to get their feed, so
I am lazy to change that)
2) Ameritrade (kind of free) (20 days intraday data, data feed is fastest,
this my default daily data feed)
3) IB (as back up) (1 year intraday data, but really slow if you have
hundreds of symbols to download). I also had their premimum service b4, but
found no data quality improvement, so I |
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n******n
发帖数: 12088 | 46 very nice. backup.
quality
so
but |
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n******n
发帖数: 12088 | 47 the ui is written by urself, or from any software? |
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w******s
发帖数: 16209 | 50 resolution matters.
I think vwap is better than ma. |
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