With the upcoming release of our own ratio engine, it might be interesting to add real-time/delayed prices for intraday operations. The financial ratios affected by price movements (PE, Yield, etc) could be re-calculated throughout the day and made available for screening/ranking.
This could open up many possibilities (I think these are mostly for short-term trades). For example:
During a volatile day, find companies whose yield jumped from 3.5% to 5% or above
Find solid companies whose PE dropped 10 points during the day
Set up an alert and email/sms me anytime MSFT PE’s drops below 11
With additional functions, intra-day strategies could be tested historically. For example PEDayHi, and PEDayLo would calculate PE using the Hi/Lo for the day. With this a backtest of an intraday PE strategy could be done: “give me the P/L of buying IBM when the intraday PE drops below 12 and selling the next day”.
Questions:
How would you rate this feature?
Are there any other interesting uses of intraday prices?
Is real-time a must, or would delayed be good enough?
If the data-feed cost is too high, would you consider paying additional fee for this?
Marco, an interesting suggestion. I might suggest a poll since I suspect many, like myself have no need for real time quotes since we already have this service. I could be wrong though.
Delayed data doesn’t help much if implementing intraday strategies. Perhaps add a new pricing tier for live intraday data for those who wish to use it if it is too expensive to include in a base sub fee.
I’m more interested in the possibility of backtesting w/ intraday data (limit orders in particular) then to have real time data. It might be useful to be able to run screens and strategies to trade at the end of the day, rather than the next open. For the types of strategies I use, delayed data would probably be sufficient for this, but my view on real time data could change depending on what I find in my testing.
I would like to have some level of integration between P123 stock lists and an established real-time chart provider. I don’t see the need to re-invent the wheel when companies already specialize in this area.
As it stands now I have to download P123 screen results or port positions to a spreadsheet then do a cut/paste to a text editor then copy to stockcharts or some other internet RT charts provider.
Thanks for the feedback. I suspected a ho-hum response since most people that stick with P123 are not fast traders.
The reason why this became interesting is because of some talks with traders and their reaction. There’s nothing affordable out there that recalculates fundamental ratios throughout the day. Some big firms must be doing though. How else can you explain the sudden V shapes during a day? Some fundamental valuation must be kicking in, it cannot be all technical.
So I think it might attract a new type of user, but also open new possibilities to current users. We’ll see about costs.
As far as the suggestion of integrating real-time charts, can you tell me more about what you do with that? Is it just looking at 5 day intraday price and waiting for a favorable entry/exit position? are you looking at intra-day TA? If it’s just quickly looking at a real-time chart it wouldn’t be all that hard to do.
Marco - I suspect that you won’t get the results you expect. News regarding companies will immediately be reflected in the stock price but the P123 fundamentals database won’t. So the system will always be alerting on incorrect calculations.
I’ll get back to you regarding integration of RT services.
Marco - I’d like to see the custom reports expanded to include the option of a RT chart. It should be real time though, not delayed.
I currently have some issues with the custom report that make it not so usable. I like to cram all the desirable windows onto one screen so i can see everything. This makes the chart windows small and use of AmCharts doesn’t help matters. Would it be possible to have the (RT or daily) chart expanded when you place the cursor over it? Or otherwise be able to click on the chart and get a large chart window in a separate windo?
Also is it possible to offer Finviz as part of the custom reports? They are much better than AmCharts.
I’d also like to see the option of having an intra-day alert EMAIL. The alert should be set as part of the custom report. This allows a person to go directly to the custom charts and flip through his list of stocks, analyze the charts, look at the latest news, set alert thresholds, all on one page.
I am building a system that calculates ranks throughout the day because I see this as essential. Anything that moves to an intraday system would be exceptionally useful because the slippage issue is a major one!
[quote]
I am building a system that calculates ranks throughout the day because I see this as essential. Anything that moves to an intraday system would be exceptionally useful because the slippage issue is a major one!
[/quote] - Oliver
I agree with Oliver. I even tried programming excel to combine fundamental data from P123 with delayed quotes pulled off the web in order to use the latest data and avoid slippage. However, even though I got the spreadsheet to work, it was too much work to import the fundamentals from P123 during every re-balance.
Even if P123 would update the prices soon after the market closes (instead of ~11 pm+) it would make the system much more useful to me. I don’t have the time to enter orders between 11pm and 9:30am. Delayed quotes are better, but I don’t know if I would pay extra for it. I don’t see myself paying too much extra for real time quotes.
I think this would be a great addition. Many short term sims benefit greatly by trading at EOD as opposed to next open, but it is impossible with the current P123 system to get the buy/sell recommendations until late at night. If data were near real time, then we could run screens just before close and execute these strategies. Not sure that the real-time data is necessary, I would be happy with 20 min lagged I think.
Although this sounds pretty nifty I have to wonder about how reliable real time quotes are. The EOD data is sanitized / bad quotes corrected.
What about splits? are these handled correctly?
Will the RT stream be incomplete? Less liquid stocks may trade infrequently. Will the rankings even make sense after a news bulletin is released- during the day - liquid stocks have rapidly updated prices while less liquid stocks may be slow moving or volatile.
I have to wonder how much the rankings will change from day to day except for specific companies making announcements in which case the price changes fast while the company fundamentals may take days or weeks to be updated.
What is the cost versus benefit? What strain will be put on the website? How long will this feature take to realize? etc…
It will be a very helpful addition.
I trade few pull-back ports that by nature hold a stock for a quick move so I dont mind selling them early. When I happen to see during the day that a stock in one of these ports is already having a nice move then I may take profit and close the position mid day. With this feature in place I could then open a new position based on the current setting - rather then wait for the next day. Very cool. Or we can develop systems that trade on the close - a whole new range of options.
Having said that, I am also very supportive of Don’s comment from yesterday, [url=http://www.portfolio123.com/mvnforum/viewthread?thread=5050#23689]http://www.portfolio123.com/mvnforum/viewthread?thread=5050#23689[/url] and would love to be able to have working stop and limit orders backtesting.
I think you would be best to get short trading up first, even from a business sense. I think more customers would be interested in this than real time quotes.
Apologies if I sound negative. How about a poll?
Shorts / dividends are next in line and they are not so hard. But we can’t proceed with anything major until we are done with new engine.
The addition of real/time delayed should not take long, we’re just leveraging what we already have. It will run on a separate machine and will not affect the rest of the users. These price feeds have been around for a while so I don’t expect reliability issues.
As far how you will be able to use it, you will NOT need to re-write anything. Lets take a screen for example. In the As-Of date field you now see Today’s date, but in reality it’s using prices from yesterday. We’ll simple add an option that instructs it to use either real-time or delayed. With the intraday options, the price histories that are used in the calculations will have an additional bar that is updated throughout the day. Your moving average functions, etc, will simply have an additional bar. And since the ratios are done on the fly, they will be reflecting the most current price.
- How would you rate this feature?
I would find it useful for stocks that have a high volatility, e.g. swings of low volume pump and dump schemed stocks. My experience with very small stocks is that large swings often occur without any fundamental reason and therefore provide great trading opportunities.
- Are there any other interesting uses of intraday prices?
For me it would just be trading my regular portfolio with improved slippage.
- Is real-time a must, or would delayed be good enough?
A 15-20 minute max delay would be good enough for me. Like Morningstar, Yahoo etc.
- If the data-feed cost is too high, would you consider paying additional fee for this?
A small fee would be acceptable, e.g. $50 a year. But I can image that real-time is more expensive then delayed.
Edit: Missed that your original post was an old post. I think everyone seems pretty satisfied with our present priorities. I think I will get a lot of use from the “book.”
Oh wow… somehow I missed this one. Is this even still a possibility Marco?
Most of the other features relate to advanced portfolio construction but this one strikes to the heart of best execution. In some of the higher frequency systems where positions are held from 7 - 20 days - imagine what an extra .1% or .2% will add on either side of the trade?
All that is needed for execution is take a system that typically buys at a rank 95 and tighten that up to a rank 96 or 97 so that the same basket of stocks is purchased at the best intra-day ranks.
With our R2G products, we could run 2 versions - one using intra-day entry/exit signals and the other using EOD.
This would be a major advantage over other platforms. What would it take to get this idea rolling again?