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The best trading algorithms last for weeks, maybe months if you’re lucky. Eventually the market will adapt and absorb the inefficiencies and the algorithm can’t provide the same good returns. Algorithms in trading need to be constantly evolved with the evolution of the market.

— Misha Malyshev
CEO at Teza Technologies and Ex Global Head of High Frequency Trading at Citadel

1. Tutorials

Jump to the tutorials to quickly learn how to use Arcade Trader:

2. Introduction

Welcome into the new age of Trading, made of Intelligent Robots that execute your strategies. Say Hi to this Robot, your new valuable friend!

Robot

Arcade Trader is a powerful platform to assist on the research, development, test and the go-live of the algorithmic trading strategies. Arcade is connected to the real-time live data streams from the exchanges to receive all the messages from the market, every single tick. You can design your own strategy with Arcade by using Javascript or Python and go live in few seconds after publishing the strategy in your Investment Profile. Arcade provides all the tools to make Algo Trading a fun experience by letting you focusing on finding your hedge on the market.

2.1. Availability

Arcade Trader is available in two editions: On The Cloud as SaaS and Enterrpise as On-Premise.

SaaS vs OnPremise

2.2. How does it work?

Arcade Trader is not a Broker. You open an account in your name and let Arcade Trading on it.
Actors

2.3. Accounts

Arcade Trader supports two type of accounts: Live Trading Accounts and Paper Accounts.

2.3.1. Live Trading

This is the typical brokerage account your bank/broker is providing to their customers. You trade real money. Arcade recommends testing your strategies with [Back Testing] first, then with a Paper Account. Check the suggested Algo Trading Lifecycle.

Arcade supports 3 brokers (if your broker provides API, please send a message with a request to integrate it):

Alpaca

TD-Ameritrade

Robinhood

Alpaca Markets Live Trading

(Using Official API)

TD Ameritrade

(Using Official API)

Robinhood

(Using Not Official API)

Buy, sell, and short U.S. stocks with zero commissions. Plus, both individual accounts and certain business accounts are supported. Alpaca Securities LLC is a FINRA-registered broker-dealer designed for algorithmic trading. Alpaca Securities is also a member of SIPC - securities in your account are protected up to $500,000#1.

With TD Ameritrade not only can you trade commission-free online, but you get access to all our platforms and products with no deposit minimums, trading minimums, or hidden fees. TD Ameritrade was named Number 1 Overall Broker in the StockBrokers.com 2020 Online Broker Review. TD Ameritrade is part of Charles Schwab Bank.#2

Robinhood’s mission is to democratize finance for all. We believe that everyone should have access to the financial markets, so we’ve built Robinhood from the ground up to make investing friendly, approachable, and understandable for newcomers and experts alike.#3

2.3.2. Paper Account

It’s great for testing because it’s a brokerage account with virtual money. Usually you can define how much virtual money you want to set and you can reset this amount infinite times. It behaves very similar to a real brokerage account, but every time you buy and sell stocks, no real money is used. That’s why this is great for testing your strategies before going live. Not all the brokers provide Paper Accounts or sometimes they don’t provide API access to the Paper Account. Testing with a Paper Account is not a substitute for real trading and performance may differ. Specifically, paper trading does not account for:

  • Market impacts of your orders

  • Information leakage of your orders

  • Price slippage due to latency

  • Order queue position (for non-marketable limit orders)

  • Price improvement received

  • Regulatory fees

  • Dividends

Arcade supports 2 Paper Accounts:

Alpaca

Arcade

Alpaca Markets Paper Trading

Arcade Trader Paper Account

Create a Paper Account with virtual money in it. This is the best way to learn and test your ideas with algorithms. Everybody can create a Paper Trading account with Alpaca in a few minutes. Works only when the market is open and during Extended Hours. This is not real money, you can play as much as you want without all the risks you have with Live Trading#1.

It’s used automatically every time you’re doing back-testing. It works at any time even when the market is closed.

Unfortunately, TD Ameritrade has a Paper Account, but it’s not accessible via API. For this reason can’t be used with Arcade Trader.

#1 Alpaca provides both Live and Paper Trading. Live trading is provided by Alpaca Securities LLC ("Alpaca"), while Paper Trading is offered by AlpacaDB, Inc.

#2 Brokerage services provided by TD Ameritrade, Inc., member FINRA/ SIPC. TD Ameritrade is a trademark jointly owned by TD Ameritrade IP Company, Inc. and The Toronto-Dominion Bank. © 2020 TD Ameritrade.

#3 Robinhood means Robinhood Markets and its in-application and web experiences with its family of wholly owned subsidiaries which includes Robinhood Financial, Robinhood Securities, and Robinhood Crypto.

2.4. Markets

Arcade supports only the US Stock Market. It’s in the roadmap to support FOREX, Crypto and foreign stock markets.

2.4.1. US Stock Market

US Stock Market is open every business day from Monday to Friday from 9:30 am to 4:00 pm New York Time (EST). The market is closed for 9 federal holidays per year, including New Year’s Day, Martin Luther King Jr. Day, Presidents’ Day/Washington’s birthday, Good Friday, Memorial Day, Independence Day, Labor Day, Thanksgiving and Christmas.

Additionally, these markets have reduced hours on three days per year, including the day before Independence Day, the day after Thanksgiving and on Christmas Eve.

To view the calendar for the current year, check out the NYSE Trading Calendar.

Arcade Platform receive data from the exchanges from 04:00 am to 08:00 pm. Check your broker about the trading hours and any limitations about trading during extended hours.

Extended Hours

Pre-market trading in the United States usually runs between 4:00 am and 9:30 am Eastern Time (EST) and After-hours trading typically runs from 4:00 pm to 8:00 pm Eastern Time (EST).

Some investors in the United States can start trading from 4:00 am, but the majority of extended trading occurs between 8:00 am and 9:30 am (EST). Similarly, investors may trade until 8:00 pm after the stock exchanges close, but the majority of extended trading occurs before 6:30 pm.

Extended Trading Risks

The U.S. Securities and Exchange Commission (SEC) highlights several risks associated with extended trading, including:

  • Limited Liquidity: Extended hours have less trading volume than regular hours, which could make it difficult to execute trades. Some stocks may not trade at all during extended hours.

  • Large Spreads: Less trading volume often translates to wider bid-ask spreads, which can adversely affect the market price for execution, making it harder to execute orders at favorable prices.

  • Increased Volatility: Less trading volume often creates an environment for greater volatility given the wider bid-ask spreads. Prices can move drastically in a short amount of time.

  • Uncertain Prices: The price of a stock trading outside of regular hours may not closely match the price during regular hours.

  • Professional Competition: Many extended trading participants are large institutional investors, such as mutual funds, that have access to more resources.

2.5. Algo Trading Lifecycle

Before trading real money, be sure you’ve done your homework. Trading is a risky activity, and our job is to help you find a hedge on the market. This is why it’s so important to have a tool that allows you to develop your idea in short time and test it properly before going live.

Successful Algo Traders helped us to come up with this diagram from the beginning of an idea through the final go-live.

Lifecycle

Once you’ve found your hedge on the market and your algorithms are gaining profit consistently, it’s time to improve the algorithm with new idea or with different configurations.

Arcade doesn’t enforce using this lifecycle, you can have your own.

3. Sign Up

Creating a new account with Arcade is FREE and takes a minute.

(1) Goto the Sign Up page.

(2) Fill the form about you, and then click Next.

Signup Form1

(3) Be sure to read the License agreement and the Risk Disclaimer and if you’re good with them, click on "I HAVE READ AND ACCEPT THE TERMS OF THE LICENCE AND THE RISK DISCLAIMER" and then click Next.

Signup Form2

(4) If you don’t have an account either Alpaca, TD Ameritrade or Robinhood, open a new account with one of them. They all have FREE subscription and they both offer Zero commission trades. If you want to just learn and backtest your algorithms on a paper account, please create a FREE account on Alpaca. Once you’ve done, click Next.

Signup Form3

(5) Select your broker between Alpaca, TD Ameritrade or Robinhood and then click on Request Authorization button. A popup will be open on your broker to request the authorization by Arcade Trader application.

Signup Form4

(6) All the brokers require granting for permissions to Arcade Trader in order to access to your account.

Via Alpaca

(6.1a) Log in your Alpaca account Signup Alpaca Account

(6.2b) Click on Allow Connect Alpaca


Via TD Ameritrade

(6.1b Log in your TD Ameritrade account Signup TDAmeritrade Account

(6.2b) Click on Allow Connect TDAmeritrade Account

(6.3b) Select the TD Ameritrade brokerage account to connect with Arcade Trader, then press Select.

Select TDAmeritrade Account

Via Robinhood

(6.1c Log in your Robinhood account Signup Robinhood Account

(6.2c) Verify your account via SMS or Email Signup Robinhood Account - 2

(6.3c Enter the received code Signup Robinhood Account - 3

(6.4c) Select the Robinhood brokerage account to connect with Arcade Trader, then press Select. Signup Robinhood Account - 4

(7) You’re connected!

Signup Finish

4. Login

Once you have created your account, login in Arcade by using the top right blue "Login" button from the main web site https://arcadetrader.com:

Login

Now enter the email that you used for the registration and the password.

Login

4.1. Verification of Device

The first time you login from a device (Computer, Mobile phone, etc.) a 2 Factor Authentication is used to verify that is really you. In this case an email has been sent to the email address you’ve used for the registration. The message will look like the following:

Login Verification Email

If you can’t find the email after 1 minute, please check your spam folder. Now copy and paste the 6-digit number into Arcade Verification form:

Login Verification

You can trust the current device to avoid asking for a verification all the time. Do this only if nobody is using your browser.

Even if the device has been trusted, a further verification could be requested for security reason. Check more about Security.


5. Home Page

Arcade Home Page provides a summary of your day trading. The first box contains the accounts and their profit/loss. For the selected account, you can see the other 3 widgets containing the Historic Profit/Loss for the day, the Open Positions and the submitted Last Orders.

Home Page EagleView

5.1. Accounts Widget

This widget contains all the connected accounts. It includes number of open positions, total number of trades and portfolio value.

Home Page Accounts

In case of profit, the percentage is green, red for a loss and gray if it’s zero. The bar on the left of the account name can be green = the account is active and red = the account or trading is suspended.

From this widget, you can manually refresh the account information and modify the refresh settings. In the widget menu you can add a new Broker Account and "Stop Trading All Accounts" to suspend immediately the trading activities. By pressing this button, after a confirmation, Arcade sells all the open positions for all the accounts and suspend the trading for the rest of the day.

Account Widget Menu

5.2. Account Profit Widget

Home Page Profit

This widget is useful to understand how your day is going. The chart records your profit/loss every minute. By default, the percentage is displayed, but you can click on the "$" button to have the currency amounts.

5.3. Last Orders Widget

Home Page Orders

This widget contains last orders, grouped by day. Green circles are BUY operations, red circles are SELL operations. You can click on the symbol in the order to open the CandleStick Widget chart right at the date of the order.

5.4. Open Positions Widget

Home Page Positions

This widget contains all the open positions for the account with relative profit/loss, number of stocks, average price and total.

You can click on the symbol in the position to open the CandleStick Widget.

5.5. Menu

Shrinked Menu

The trading screens have a lot of information to display so the menu controls are compacted to simple icons when not in use.

On the left you can see the default compacted menu and on the right the expanded menu.

Expanded Menu

5.6. Notifications

During the trading activity you’re going to receive many notifications about when a stock has been purchased or sold. These are common messages for trading, but others are less common and deserve to be kept in the Notification Box you can find on top right of your screen.

Some messages that are contained in the Notification box are:

  • Disconnection with the real-time market

  • Divergences between the order and the execution

Notifications

5.7. User Profile

On the top right corner of Arcade you can see your profile and the option to upgrade your subscription.

About

6. Investment Profile

The investment Profile is the most important configuration in Arcade for the live trading. Here you can setup your robots, their configuration and the trading limits. Under this page you can find the following:

  • Max investing amount (the same found in Account settings). If zero, the available cash or buying powe is used based on the setting in the Account configuration.

  • Max Loss/Profit of the day. This sets the boundaries when Arcade should start selling all the open positions and close the trading activity for the day.

  • End of day trading, is the time of day when Arcade should start selling all open positions for strategies with a day trading scope.

  • Robot Strategies, contains the configuration for the automatic strategies (see below)

  • Can Begin Trading is a switch that allows you to turn off starting of new robots

  • Can End Trading is a switch that allows you to turn off ending of existing robots

  • Manual Strategies, contains all the manual strategies you can pick when you buy a stock manually

Investment Profile

6.1. Robot Strategies

This is the core of the configuration for Arcade Live Trading. Once you’ve designed, implemented and tested your strategy, it’s time to run them live. It’s always wise to try new strategies on a Paper Account first. You can have many strategies running in parallel based on your subscription. Click on the strategy name, and the selected strategy configuration will be displayed on the right panel.

6.2. Strategy Enter

Strategy Enter is the main configuration for the strategy. Here you can set the strategy parameters that are passed to the strategy implementation.

  • Tot. Max Inv. per Strategy, this is the maximum allowed investment amount for a selected strategy. It’s computed as the sum of all the investment capital used by all robots executing the strategy. This is useful to limit the amount of money working on a single strategy. For example, imagine a strategy based on trading immediately after company earnings are announced. Some days there will be no company earnings at all and on other days are full of company earnings. This configurable limit will allow multiple strategies to work concurrently - ensuring that each strategy is apportioned with enough capital to operate. The amount can be expressed in:

    • percentage (%) from the total. 5% means 5% of the total amount available to invest

    • amount ($) amount in currency to invest. 500 means $500

    • expression (expr) is a Javascript expression

  • Time Frame, it’s the time frame from/to when the robot can be started

  • Max Inv. per Robot, it’s the maximum amount of money a single robot instance can use See Score for more information about how the total amount per trade is computed. The amount can be expressed in:

    • percentage (%) from the total. 5% means 5% of the total amount available to invest

    • amount ($) amount in currency to invest. 500 means $500

    • expression (expr) is a Javascript expression

  • Time Frame, it’s the time frame from/to when the robot can be started. You can setup optional exclusion window inside the time frame. For example, your strategy could start from 10:00am to 3:00pm, but skipping 1:00pm to 2:00pm. This is the exclusion window. The strategy beginTrading() function will be not called outside this time frame

  • Universe, select the universe of stock tickers to be used for the strategy

  • Earnings, If one or more of the earnings switches are enabled, Arcade will add all the symbols that have earnings on the current day into the include list of symbols extracted from the selected Universe. To check which stocks have Earnings, use the Earnings page. Enable the switches based on the type of earnings:

    • BMO Before Market Open

    • AMC After Market Close

    • Unknown The time is unknown, or the earnings meeting could have been canceled or postponed

    • PDAMC Previous Day After Market Close. it means the earnings were announced after the market closing of the previous trading day

Investment Profile - Strategy Enter

Coming Soon.

6.3. Strategy Exit

Investment Profile - Strategy Exit

Coming Soon.

6.4. Strategy Scale

Investment Profile - Strategy Scale

Coming Soon.


7. Accounts

Account List

7.1. Open Positions

Click on the account name to display the open positions.

Account - Positions

7.2. Setup the Alpaca Key

In order to have access to historic API, you need to put your Alpaca’s key in Arcade.

If you have a funded Live Account with Alpaca, set this key in Arcade rather than of the one found in the Paper Account. Alpaca Live Accounts allow the usage of Polygon.io for market data with a much larger amount of data from all the US Exchanges.

Login into your account in Alpaca and on the right of the screen you will find "Your API Keys" widget. Click on the "View" button to display your API KEY ID. Then click on the key to copy it to the clipboard.

Alpaca - Get The API Key

Now you can put your Alpaca key in Arcade’s account.

From now on, Arcade will use your Alpaca Key to retrieve charts and historic data.

Alpaca allows to regenerate your key. Don’t forget to repeat the same procedure in case you change the Alpaca key or you will see an "Unauthorized" error in Arcade.

NOTE: Arcade doesn’t need the API Secret, because it works with the OAuth2 authentication provided by Alpaca

Account - Set Key


8. Universes

A universe is a set of symbols. The number of universes and the symbols you can define in it depends on your subscription. Universes are fundamental in strategy definition.

Create a new universe or select the universe to modify by clicking on "Universe Name". To add one or more symbols to the Universe, click on the "Add" button and the following Pop up will be shown.

Universe

When you save a Universe, the searching filter is saved with the Universe, so when you click on "Add", the previous filters are pre-filled.

8.1. Add Symbols

In the Symbol Picker popup you can filter a symbol by:

  • Price Range

  • ADR High/Low Range

  • Average Volume Range

  • Market Cap Range

  • Float Shares Range

  • A specific date for the filters (Arcade keep track of those values back in time)

  • Sectors

  • Industries

Once you have found the symbol to Add, click on "+ Selected" or "+ Add & Close".

When the popup is closed you’ll see the symbols added in the Universe.

Don’t forget to save the Universe when you’re done.
Universe - Add Symbols

9. Live Trading

The Live Trading page is the most used page to watch your robots working for you.

Live Trading EagleView
You can switch between accounts by selecting the account you want to monitor on the top bar.

9.1. Trading Summary

Live Trading Summary

9.2. Candlestick Chart

Live Trading Chart

9.3. Robot Traders

In this section you can monitor your robots, change the configuration at run-time, decide to buy more, do a partial sell or close the position and stop the robot.

Live Trading Traders

9.3.1. Update Robot

To update a Robot click on the "Update" button and a popup with the configuration will show up.

Update Robot - Info

From the Information Tab you can change the strategy used.

Selecting a different strategy won’t replace the strategy settings with the new strategy defaults.

This means that max profit, stop loss and other settings will remain the same of the original strategy selected.

Update Robot - Info2

You can select any of the Strategies you have developed.

The Exit tab contains the settings to terminate a Robot. Check Strategy Exit to know more about the settings.

Update Robot - Exit

The Scale tab contains the settings to scale up or down a Robot. Check Strategy Scale to know more about the settings.

Update Robot - Scale

9.4. Trading Record

It’s crucial to understand how your robot performed. To analyze it post-trading, use the Trading Record. From the Live Trading page, click on Trading Record tab to access to your track record.

Live Trading Traders

You can change the order of the tradings, filter by strategy and load past trades. Here are contained very usuful information about past trades:

  • Trading period, with the exact time of begin and end of trading in milliseconds. You can click on the date to access to the Market Stream Analyzer to see the messages that caused the begin and the end of tradings.

This is a summary of the past tradings. To know more about a trade, click on "Detail" button to display:

Live Trading Traders
  • Reason In: as the reason why the trade was initiated

  • Reason Out: as the reason why the trade was terminated

  • After Trading: the profit/loss you could have if the trading wasn’t terminated. This is useful to understand if the trade was terminated too soon.

  • Extras: Trading metrics at the beginning and the end of the trading

9.5. Favorites

Live Trading Chart

10. CandleStick Widget

The CandleStick Widget is available on every page in Arcade. Everytime you see a symbol, you can click on it and the Candlestick Chart widget will be opened automatically. If the symbol is in a context with a date, like with a trade, the chart will be opened at that point in time. For Orders is the time of the order, for Trades is the begin/end range for the trade, etc.

Mini

As soon as you start typing, the matching symbols and companies are suggested. Matching with symbols come first, then the matching with company names.

Auto Complete

Now click on the ">" button or any of the suggested symbols and your chart will be loaded and the widget automatically expanded.

Candlestick Chart

10.1. Time Bar

At the top of the chart you can find the time bar with a summary about the delta of the price against the past. If you click on the period of time, the chart is updated with the selected time as the new range.

Candlestick - Time Bar

10.2. Chart Settings

To change how the Candlestick Chart is rendered, click on the "hamburger" button in the chart to open the menu. You can enable the following:

Menu
  • Fast *MA: It’s the fast Moving Average line rendered in green. You can pick any of SMA, EMA, and WMA. By default the WMA 10 is selected

  • Slow *MA: It’s the slow Moving Average line rendered in red. You can pick any of SMA, EMA, and WMA. By default the WMA 30 is selected

  • Supp/Res Levels: Minimum strength of Support and Resistance Levels lines. They are rendered as brown dottet lines. The higher the strength, the thicker is the line. Default value is 2.

  • Top Volume Prices: Number of Top Volume Prices to display. They are rendered as blue horizontal lines. Default value is 5.

  • Lin. Regre. Ch.: It is the number of bars to compute the Linear Regression Channel. They are rendered as 5 parallel lines. The central line is black and represents the value, while the upper and lower lines are the 1st Standard Deviations from the value. The second line upper and lower represent the 2nd Standard Deviations from the value. Default value is 200 (previous bars).

  • Compare With: Optional Symbol to compare with

  • Date: to load a specific day

  • Days: the number of days to load back from Date, if any, or the current day if Date is empty. You can specify 5 days with "5d", 5 weeks with "5w" and 5 years with "5y"

  • Aggregate By: pick "Minutes" for intraday charts, "Days" to display weeks, months or years

  • Source: Source of data for the chart. Default is "Auto" that takes the most accurate source for the requested data. But you can force a different source. Check Chart Sources

  • Type: is the type of chart. Default is Candlestick, but other charts are available. Check below the Chart Types section.

  • [RSI]: shows the Relative Strength Index

  • [MACD]: shows the Moving Average Convergence Divergence

  • Trades: shows the number of trades for a minute. This information is not always available

  • [Bollinger]: shows Bollinger Bands

10.3. Chart Sources

Arcade, be default, uses the most accurate source of data in case multiple sources are available. With the chart widget, select the default Source is "Auto", but you can force a different source. Available sources (in order of accuracy) are:

  • Polygon.io if you have a Polygon.io account or a Live account with Alpaca Broker, then this is the most accurate source of data. It supports all the US exchanges

  • Alpaca to use Alpaca Broker API if you have an account with Alpaca Paper or Live. It receives information from 6 brokers

  • TD Ameritrade to use TD Ameritrade Broker API if you have an account with TD Ameritrade. TD Ameritrade historical API are subject to limitation. Check TD Ameritrade documentation to know more.

For example, if you have connected a TD Ameritrade and an Alpaca account with Arcade, by default Alpaca will be used because it’s a more accurate source than TD Ameritrade.

10.4. Chart Types

Candlestick is not the only chart you can display in Arcade.

10.4.1. Line

Select "Line (on close price)" as chart type to displays the bars as a line with the value computed on the bar’s close price.

Below you can find the latest 5 years of "T" (Tesla):

Line Chart

10.4.2. Percentage (Proportional)

Select "% Percentage" as chart type to display the values in percentage. This is especially useful when comparing two symbols (check "Compare With").

This is a chart of TQQQ (Green) vs QQQ (black). As you can see the chart is the same, but TQQQ (that is a 3X of QQQ) moves much wider in proportion.

Percentage Chart

Below you can find TSLA (green) vs F (black). They both start at 1 as initial value, but you can see that in proportion TSLA grew much more than F.

Percentage Chart

10.4.3. Continuous Trend

Select "Continuous Trend" as chart type to display the trend. If a bar closes higher than the previous one, then the value is incremented of +1, otherwise -1. In case it’s the same, then the value is not modified. This chart type is especially useful when comparing how similar are two symbols.

Below you can find the chart of both TQQQ (green) and QQQ (black). As you can see they are the same, because even if TQQQ is a 3X QQQ, the trend is the same.

Continuous Trend Chart

10.4.4. Trend

Select " Trend (-1, 0, +1)" as chart type to display the trend from -1 to +1 as values. If a bar closes higher than the previous one, then the value is +1, otherwise -1. In case it’s the same is 0

Trend Chart

10.5. Information on a Bar

When you click on a candlestick, you can see the information related to the selected bar. If the chart is displaying Intraday bars, then every bar represents 1 minute. Otherwise it’s 1 day.

Candlestick - Bar Info

10.6. Support/Resistance Levels

In the chart you can find the Support and Resistance Levels already rendered based on the period displayed. Those lines are drawn in orange color and with t dottet style. The higher is the strength, the ticker is the line. If you click on the line you can see the following details:

- Price of the line

- Strength is the level of strength as the times the prices was considered a support/resistance line. Minimum strength is 1.

- Tags (optional) are the tag associated with the level. Supported tags are:

 — prevDayClose: for the previous day close price

 — prevDayHigh: for the previous day high price

 — prevDayLow: for the previous day low price

 — todayOpen: for the open price of the current day

- Found On all the minutes when the stock used this level as support or resistance

- Alert when above create an alert for when the price is above this level

- Alert when below create an alert for when the price is below this level

Candlestick - Support/Resistance Levels

10.7. Top Volume Prices of the Day

In the charts, the top volume prices are represented by a dotted blue line. Those lines are where most of the volume of the day happened. This is a useful indicator to understand what prices can act as support/resistance for the future. By clicking on the line you can access to the details for the top volume price:

- Price of the line

- Top X Volume: where X is the ranking from 1 to N. "Top 3 Volume" means it’s the 3rd top volume prices of the day.

- On: the minute when the top volume price has been registered

- H/L: High/Low of the bar that had the top volume price

- O/C: Open/Close of the bar that had the top volume price

- Alert when above create an alert for when the price is above this line

- Alert when below create an alert for when the price is below this line

Candlestick - Top Volume Prices

For all the alerts you can setup from the Candlestick chart menus, a new popup with the pre-filled alert will be shown. You can change the settings or just press "Create".

The alert uses the Natural Language syntax. By default, the alert is removed as soon as the first match is found and the notification sent to the user.

Price Line - Alert

10.8. Level1

Level1 contains the information about the real-time trades and the most updated ask/bid quote from exchanges. Arcade doesn’t support Level2 that contains additional information such as the additional quotes from the broker.

Live 1 Chart

Enabling Level1 data allow to see in real-time what’s going for a stock. When a price increases, it flashes in green, otherwise in red. There are 3 panels:

  • BID: Contains the latest BID price for an exchange with the associated volume

  • ASK: Contains the latest ASK price for an exchange with the associated volume

  • TRADES: Contains the latest trades with relative price and volume

Enabling Level1 increases of 10X the number of messages received in the browser. For slow connections it could cause a slow down of the entire Arcade application.

10.9. Manual Order

Manual Order

Even if Arcade is a platform for Robots, you can manually buy and sell stocks, both long and short directions.

- Account: The account used to buy stocks

- Symbol: This is auto-filled by the Candlestick chart, but you can always type something different

- Operation Type: This is auto-filled based on the open positions found in the selected account. You can:

 —  Buy Long: Buy stocks (Long Position)

 —  Sell Long: Sell stocks previously purchased (Long Position)

 —  Sell Short: Sell Short borrows a security and sells it on the open market, planning to buy it back with 'Buy To Cover' order (Short Position)

 —  Buy To Cover: Buy back a position sold short (Short Position)

- Order Type: By default is Limit Order. By clicking on it you can execute a Market Order instead

- Quantity: The number of stocks to buy.

- Total: The total amount as the multiplication of Price and Quantity. This is automatically calculated when you modify the price or the quantity. If you modify the Total amount, then the quantity is modified according to reach the total amount.

- Quick % Buttons: By clicking on these buttons, the total amount will be calculated based on the percentage of the remaining cash. For example, clicking on the 50% button, the total will be 50% of the remaining cash.

- Trading Strategy: Pick your strategy here. Even if the trade has been started manually by you, a new Robot will be created to follow the trade. The available trading strategies in the Manual Buy popup are defined in Investment Profile.

- Time In Force: By default the order is sent and canceled after the timeout expires. Timeout orders work also during Extended Trading Hours.

- Timeout: By default 30 seconds and is enabled only if the selected [TimeInForce] is "Timeout"

When you press the button "Execute" the order is sent to the broker. If the order is filled or not a notification message will be shown to the user.


11. Strategies

11.1. Strategy Workflow

Arcade Trader receives real-time data from multiple data providers by using Web Sockets. Based on your account type the events arrive from Polygon, Alpaca and TD Ameritrade. In all of these cases, the messages from the data providers are under the form of Ticks (Quote and Trade ticks).

Arcade Trader aggregates all the incoming tick messages in memory and every minute generates an artificial "Aggregated Minute" message that follows the same path of the tick messages from the data providers. Most of the strategies don’t need a tick level reaction, so using MINUTE as Data Level allows to call user functions every minute with the last aggregated minute as bar.

So, there are 3 type of messages can be dispatched to start or end a trade:

  1. Quote Tick message, containing the most recent quote from an exchange as ask price and size, bid price and size, and conditions.

  2. Trade Tick message, containing the executed trade as price, volume and conditions

  3. Aggregated Minute Bar, an artificial message created by Arcade every minute containing the minute aggregation for a symbol

Quote and Trade Conditions are not available with all the data providers and with compressed test data
Strategy Workflow

Messages are relative to one symbol only. For each message, Arcade checks if in your account the symbols is already traded (there is an open position on that). In case there are not open positions, the user’s beginTrading() function is called (see below in Getting Started with Strategies about beginTrading function). The user function decides if start a new trading on the received symbol.

In case there are already open positions for that symbol, Arcade Trader first checks if the trading should end by configuration (if any boundaries have been reached, like the maximum profit or stop loss) Then, it executes the user’s endTrading() function to let the user decide if the trading must end or not (see below in Getting Started with Strategies about endTrading function).

In Arcade Trader creating a new robot means starting a new trading by opening new positions for the current symbol. Killing a robot means the trading is over and the open positions are all sold.

A new robot can be created automatically by Arcade in the 2 following cases:

  1. At startup, for each open position found in the account. In this case the strategy "Found In Portfolio" is used

  2. On regular basis Arcade Trader checks the open positions in the account match the positions hold by the robots. If the amount of stocks in the brokerage account differs from the amount in Arcade, then Arcade automatically updates its quantity. This happens when the user manually executes orders manually from outside Arcade.

11.1.1. Example

To understand better Arcade’s workflow, look at the diagram below. In this example you can see how a Trade Tick message start from Nasdaq and ends up on buying stocks in Alpaca.

Strategy Workflow - Example
  1. Nasdaq emitted a new Trade Tick message relative to Tesla (symbol "TSLA"), with a price of $987.05 and size 200 (amount of shares).

  2. Polygon.io routes the message to Arcade connected via Web Socket.

  3. Arcade receives the message and check that there are no open position for TSLA, so invoke the user strategy beginTrading()

  4. The user strategy decides to start investing by returning the limit price at what the stocks should be bough

  5. Arcade computes the amount of stocks to buy (based on the configuration) and send to Alpaca broker a limit order to buy TSLA shares at the price of maximum $987.11

  6. Alpaca fills the order for 3 shares at price $987.10

Since the order is filled, the robot is alive and monitors our trade.

For every new message relative to TSLA, Arcade will check the boundaries set in configuration (stop loss, max profit, etc.) and will invoke the user strategy endTrading() to delegate to the user if the trade must end.

11.2. Strategy Development

11.2.1. Natural Language

Arcade Natural Language is the new way to write algorithms without any programming skill. It’s easy as writing sentences. By selecting the Natural Language in the Strategy Editor, you will see two main areas:

  • Begin Trading When, containing the condition that if true start investing

  • End Trading When, containing the condition that if true stop investing

Strategy - Natural Language

The Natural Language has been built for users with no programming skills or for not complex algorithms. The syntax is the following:

<context1> <indicator1> <operator> [<context2>] <indicator2|value> [<logic operator>]

Some examples:

  • real-time trade price is 1% above last minute close

  • last minute close is above upper bollinger band

  • last day 150 sma crosses above 200 sma

  • last day 150 sma crosses below 200 sma and last minute close is 0.3% below 2 minutes ago close

  • trade profit < -3% or trade profit > 3% (this only for End Trading section)

Check out the Natural Language Reference to know more about the what is supported. To see a tutorial about how to write your first algorithm, check My First Strategy Tutorial - Part 1.

With both Start and End of Trading, you can define the order executed in case the condition is true:

Order Type

In Begin Trading: Buy Long or Sell Short

_

In End Trading: Sell Long or Buy To Cover

Order Price

Market Price or Limit Price with a defined delta in % from the ask/bid price. By default a Limit Price at the latest Ask Price + 0.5% is used. This means the order will be a limit order with a price 0.5% above the latest ask price.

Strategy - Natural Language - Price

Order Time In Force

This is the order type sent to the broker (check the order types your broker supports). With a Timeout order (the default), a Day order is sent, but if it is not partially or totally filled after the timeout in seconds, the order is canceled.

Timeout of 30 seconds, 1 minute or 5 minutes

Day

Good Til Canceled (GTC)

Only At Open (OPG)

Only At Close (CLS)

Immediate Or Cancel (IOC)

Fill or Kill (FOK)

Strategy - Natural Language - Time In Force

11.2.2. Use a Programming Language

In order to develop a strategy in Arcade, a basic knowledge of Javascript or Python is requested. Usually a strategy is made of IF-THEN-ELSE conditions. In this chapter we’re going to use Javascript because it’s the most popular language in the world and its syntax is very simple and intuitive. If you don’t know Javascript you can take this quick course to get the basics of the language W3Schools Javascript Free Course.

11.2.3. Execution Time

Arcade compiles both Javascript and Python strategies into low-level machine code for the maximum of performance. Usually a strategy is executed in less than 1 millisecond. If you’re using Arcade Enterprise (On-Premise) there are no limits with the execution time. Instead, if you’re using the Cloud version, the maximum execution time for a strategy is based on your subscription plan. Check your plan in Cloud Plans.

11.2.4. Getting Started with Strategies

When we create a new strategy from scratch, this is the content of the code area:

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// Decide if start a new trade or not. It is invoked at every registered message (minute, trade, quote).
// Return null to skip the trading without any log on the reasoning output, or an object
// with the following properties:
// - invest: True = Buy and start trading, False = Do not start a trading (mandatory)
// - symbol: the symbol to buy (optional, if null is the current symbol)
// - qty: number of shares to buy long or sell short. If zero or not specified, the quantity is computed from the strategy configuration
// - goLong: if true means buy long, otherwise sell short (optional, default is buy long)
// - reason: Is the text that explaining the reason why you are starting the trading (mandatory)
// - score: confidence from 0 to 100. 0 means skip buy, 100 means buy the full configured amount (optional, default is 100)
// - limitPrice: buy limit price (optional, by default is the latest ask price + 0.5%)
// - timeInForce: day, timeout (optional, default is timeout 30 seconds)
// Example:
// return { invest: true, reason: "I like this stock so much!" }

function beginTrading(context){
  return null;
}
// Decide to stop an existing trade. It is invoked at every registered message (minute, trade, quote).
// Return null to continue the trading, or an object with the following properties:
// - reason: Is the text that explaining the reason why you ending an existing trading
// - limitPrice: sell limit price (optional, by default is the latest bid price - 0.5%)
// - buySymbol: name of the symbol to buy. Specify this only if you want to end the current trade and start a new one immediately (optional)
// - buyQty: number of shares to buy (optional)
// - buyLimitPrice: if specified, buy with a limit price (optional)
// - buyReason: reason why to buy this symbol (optional)
// Example:
// return { reason: "Max profit reached" }

function endTrading(context){
  return null;
}

Arcade cut all the complexity of algo trading by providing a platform where everything is integrated, and the users only need to write 2 functions:

  • beginTrading(): decides if to begin a new trade by creating a new robot

  • endTrading(): decides if a robot must be halted. This function is optional. If not present, the trading can be terminated manually or by one of the configuration set in the Investment Profile Under "Strategy Exit". For example one cause is the reaching of the maximum of the configured profit or the stop loss.

11.2.5. Your First Strategy

Write your first strategy with this simple rule: buy when the last minute close is below the VWAP and the candle is red (close < open).

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function beginTrading(context){
  var candle = Intraday.now();
  if( candle.close < candle.vwap && candle.close <= candle.open ){
    return { invest: true, reason: "My 1st strategy!" };
  }
}
1 Contains the function name. It’s generated by the editor, no need to change it
2 We’re getting the latest candle by calling the function [Intraday.now]() from the package [Package.Today]
3 Contains the full logic of the strategy: invest if the close price of the candle it’s less then its VWAP and if the candle is red (close ⇐ open)
4 Return an object with invest: true and the reason to invest

The reason field is very important because it’s saved in the trade and displayed in the Live Trading page. Let’s write something more useful for the reason:

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return { invest: true,
         reason: "Bought because close(" + candle.close + ") < vwap(" + candle.vwap + ")" };
1 invest: true means a new robot will be started
2 The reason that explain why we’ve decided to trade this stock

This is another example of a simple strategy that buys a stock after X minutes of uptrend. Uptrend here is defined as consecutive green candles. You can define multiple variables X, Y, Z, etc as parameter of the strategy. Much better to assign a more meaningful name than just X. In our example we’re going to add a new parameter "checkPastMinutes" of type Integer.

Add Parameter

Now this is the code.

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function beginTrading(context){
  for( var index = 0; index < checkPastMinutes; ++index ){
    var past = Intraday.relative(-1 * index, true, true);
    if( past === null )
      // NO ENOUGH HISTORY
      return;

    if( past.close <= past.open )
      return;
  }
  return { invest: true, reason: "Uptrend for " + checkPastMinutes + " minutes" };
}
1 Contains the function name. It’s generated by the editor, no need to change it
2 The parameter "checkPastMinutes" is used for the loop. As you can see, parameters are immediately available inside our Javascript function
3 We’re using the function [Intraday.relative] from the package [Package.Today] to move back in the past relatively to the current candle ([Package.now]) we used in the first example

11.2.6. Debug

While debugging step-by-step strategies is now supported yet, the best way to understand the flow of strategies is to use the javascript print() function. All the output from the strategy will be collected and shown in the [BackTest] result page. Example:

function beginTrading(context){
  var candle = Intraday.now();
  if( candle.close < candle.vwap && candle.close <= candle.open ){
    print( "Close/VWAP = " + ( ( candle.close - candle.vwap) * 100 / candle.vwap ) + "%" );
    return { invest: true, reason: "My 1st strategy!" };
  }
}

11.2.7. Realtime Stream

Arcade platform is connected with multiple streams from the exchange and it’s able to receive and process hundreds of thousands of messages per second. These messages are the [Tick] messages. This means you can build strategies like a High Frequency Trader.

Example of a strategy "FlashCrash" that buys when the last traded price is much lower than the last close. Define a parameter minCrash of type float.

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function beginTrading(context){
  if( Intraday.marketStatus() == "Regular" && Market.minutesToClosing('Regular') > 15 ){
    if( Intraday.todayVolume() < minVolume )
      return;

    var lastCandle = Intraday.now();
    var delta = ( Realtime.lastTradePrice() - lastCandle.close) * 100 / lastCandle.close;
    if( delta < minCrash )
      return { invest: true, reason: "Flash crash of " + delta + "%" };
  }
}

In this example, the strategy checks that the current market is the "Regular" one (market is open and not in [ExtendedTradingHours]) by using the function [Intraday.marketStatus]. Furthermore, it must be at least 15 minutes before closing by using the function [Market.minutesToMarketClosing]. By using the function [Realtime.lastTradePrice]() of the package [Package.Realtime], we can access to the last trade in real-time.

Other available functions of the Realtime package are:

If the Realtime package is used, the strategy will be invoked at every trade tick message if the function [Realtime.lastTradePrice] is used, and at every quote tick message if the function [Realtime.lastQuoteAsk] or [Realtime.lastQuoteBid] are used.

The Realtime package is an advanced feature, check your subscription if the Realtime package is included or ask for an upgrade.

11.3. Test

Test your strategy against data of the past. Check Strategy Backtesting.


12. Patterns

A Pattern is a Business Logic the user develop, tests and uses in Alerts. When a Pattern "matches" means that the execution of the Business Logic returns true in a specific context for a symbol.

12.1. Development

Pattern Page

The easiest way to develop a pattern is by using the Natural Language, a powerful way to write algorithm by just using sentences.

You can create a pattern to be used on multiple alerts, or you can embed a pattern inside the [Alert] itself. This happens when you click on a price line in the CandleStick Chart.

Create an Alert with embedded pattern

Some examples:

  • last minute close is above 145.34 to be notified when the last close is above a certain price

  • last day 150 exponential moving average crosses above 200 exponential moving average to be notified when in the previous day there was an EMA 150/200 cross over

  • real-time trade price is above ask price to be notified in real-time when a stock is traded above the latest ask price

  • last minute macd value crosses above macd signal and last minute close is above 200 ema to be notified when a MACD reversal is happening during an uptrend

Check out more about Natural Language syntax.

12.1.1. Expressions Editor

The goal of the Expressions Editor is to let not-programmer to write a Pattern by just writing conditions.

Pattern - Expression Editor

Usually a pattern is made of multiple conditions. The Expressions Editor uses the Javascript syntax for conditions. If you don’t know Javascript you can take this quick course to get the basics of the language W3Schools Javascript Free Course.

You can start with the Expressions Editor and then migrate to Javascript or Python. In this case Arcade will convert the Conditions in Javascript or Python automatically. The procedure doesn’t work back from Javascript/Python to the Expressions Editor.

Patterns Conversion
Create your first Pattern with the Expression Editor

it’s time to create your first pattern. Let’s call it "Gain". The goal is to catch a gain of price by comparing the close price of the last bar (minute) with X minutes ago. If the gain is more than Y, then the pattern returns true and any associated Alert will fire.

For our convenience, let’s call X "time" and Y "perc" and define them as parameter. "perc" is a float and time is an integer, because it represents the number of minutes to look back in the past.

First things first. We want this pattern to be fired only during Regular Market Hours and after 5 minutes from the open, because it’s quite normal in the first minutes of the market to have such spikes. For this reason, let’s add the following 2 conditions:

Intraday.marketStatus() == 'Regular' AND
Intraday.minutesFromOpen() > 5

The operator AND means both the conditions must apply. Instead with OR it’s sufficient that one of the two conditions is true.

The function Intraday.marketStatus() returns the name of the current market. "Regular" is the Regular Market. The function Intraday.minutesFromOpen() returns the number of minutes from open.

Now let’s add the most important part of our logic: checking how much was the Gain if any.

To get a previous minute in time from the intraday history, we can use the function Intraday.relative(<offset>, <same-day-only>, <extended-hours>). For our case we need to go back in time, so offset will be a negative number calculated as the value of time parameter multiplied by -1:

Intraday.relative(time * -1, true, true)

This function returns the entire Bar as an object. We need the close price, so add .close to get the "close" attribute of the bar. To see all the attributes in a bar, check Bar Reference.

To get the latest bar (of the last minute received) we will use another function Intraday.now(). This function returns a bar too. Now we’ve got everything to compute the percentage of the delta between the last close price and the close price of X minutes ago:

( Intraday.now().close - Intraday.relative(time * -1, true, true).close ) * 100 / Intraday.relative(time * -1, true, true).close

In the last condition of the Business Logic let’s add this expression with the condition to be >= of the value of the parameter perc.

The Business Logic will look like this:

Patterns - Expressions Editor Flash Crash

Now to test this Pattern you can jump on Backtest Pattern or we can create an Alert. Remember to pass the values for the 2 parameters time and perc defined in the Pattern. Begin with using 2 for perc and 10 for time to see if there is any gain of 2% in the past 10 minutes for the symbols specified in the Alert Universe.

Alert - Gain

12.1.2. Javascript

By using Javascript you can use variables, loops, etc.

The most important thing with Javascript is that the last statement must contain the final result. Don’t use return, because it’s not a function.

Example of the previous "Gain" Pattern converted in Javascript:

( Intraday.marketStatus() == 'Regular'  ) &&
( Intraday.minutesFromOpen() > 5  ) &&
( ( Intraday.now().close - Intraday.relative(time * -1, true, true).close ) * 100 /
    Intraday.relative(time * -1, true, true).close >= perc  );

12.1.3. Python

By using Python you can use variables, loops, etc.

The most important thing with Python is that the last statement must contain the final result. Don’t use return, because it’s not a function.

Example of the previous "Gain" Pattern converted in Python:

( Intraday.marketStatus() == 'Regular' ) and \
( Intraday.minutesFromOpen() > 5 ) and \
( ( Intraday.now().close - Intraday.relative(time * -1, true, true).close ) * 100 / \
    Intraday.relative(time * -1, true, true).close >= perc  )

12.1.4. Using indicators

In Arcade, every bar has the most common indicators already computed, such as SMAs, EMAs, RSI, MACD and others.

Now let’s create a pattern that notify us with an alert when the SMA50 indicator crosses over the SMA200. We just need two conditions in AND. We can write this with the visual editor, in Javascript or Python. Let’s take a look at the Javascript version:

 ( History.last().sma50 >= History.last().sma200  ) &&
 ( History.relative(-1).sma50 < History.relative(-1).sma200  );

The pattern matches only if the SMA50 is above or the same of the SMA200 AND in the previous bar it was below.

12.1.5. Parameters

A Pattern can have parameters that are visible in the Business Logic by their name.

Patterns Parameters

A parameter can be of the following types:

  • String

  • Float

  • Integer

  • Boolean

When you create an Alerts you can specify the value to pass to the Pattern as parameters.

Patterns can be written by using in Natural Language, Expressions, Javascript and Python.

12.1.6. Execution Time

Arcade compiles patterns developed in any of the supported languages into low-level machine code for the maximum of performance. Usually a pattern is executed in less than 1 millisecond. If you’re using Arcade Enterprise (On-Premise) there are no limits with the execution time. Instead, if you’re using the Cloud version, the maximum execution time for a pattern is based on your subscription plan. Check your plan in Cloud Plans.

12.2. Backtest Patterns

Once you’ve written your pattern, to see how it works you can backtest for some days to see how many times the pattern matched in the past for a set of symbols.

To test your pattern, click on the "Test" button and you’ll be redirect to the Backtesting Patterns page where the following popup will be shown.

Patterns - Test Popup

If this is the first time you’re testing a new pattern, click on Create a new Test. Otherwise, you can select on an existent configuration to clone.

Check out the Backtesting Patterns page.


13. Backtesting

Algo Traders Spend more than 70% of Time Backtesting.

Thorough backtesting is required to gain confidence in an algorithm before putting money behind it. Arcade has the most advanced and efficient backtesting engine running on a custom developed multimodel timeseries database, allowing it to reproduce the same sequence of Live Market events at >100X its speed. Millions of tick messages are replayed with the same order for maximum accuracy of your test results.

You can backtest both Strategies and Patterns.

Backtesting is a very CPU and IO intensive job that requires a lot of resources to support thousands of users. The Arcade Platform automatically scales the cluster of test machines according to demand. Check with your subscription to see how many Arcade Tokens are included weekly. The tokens included with the Cloud subscriptions are earned every week. Those tokens, if not used, expire on Sunday 12:00 am EST and are not cumulative. Extra tokens are available to be purchased separately and work with all Cloud subscriptions with no expiration. Tokens are not refundable and can’t be transferred to other users. Each test can include multiple strategies at the same time with no extra cost. Look at Arcade Tokens to know more.

Enterprise plans run backtesting on on-premise servers, so there is no such limitation with the backtesting. You can install the Enterprise version on a data center to benefit of quick backtesting.

13.1. Understanding Data Level

Strategies and Patterns can be executed at the different levels. Check your subscription to understand what’s the maximum data level available for you:

  • Day: executed twice a day, at market open and at market close

  • Minute: executed every minute. The time range goes from 8:00 am EST (pre-market hours) to 6:00 pm EST (post-market)

  • Trade Tick: executed at every trade tick received from the market. The time range goes from 8:00 am EST (pre-market hours) to 6:00 pm EST (post-market). There can be a thousand trade ticks in a second

  • Quote Tick: executed at every quote tick received from the market. The time range goes from 8:00 am EST (pre-market hours) to 6:00 pm EST (post-market). There can be thousands of quote ticks in a second

The more detailed is the level, the most accurate are the test results. This is extremely important for day traders that execute multiple trades in a day because a price can change many times in a minute. There can be a thousand trade ticks in a minute.

13.2. Backtesting Strategies

In order to be accurate, Arcade Trader provides many settings for backtesting. Before getting into the details of every single setting, let’s take a look at the page.

Backtest Strategies - Summary

The page is split in two parts, the (1) main Test Settings on the left where you can (2) click the strategy to configure it on the (3) Strategy Settings panel on the right. When you’re ready to go press the (4) "Run!" button to run the Test.

13.2.1. Test Settings

The left panel contains the Test Settings with the following buttons and fields in order:

Backtest Strategies - Test Settings
  • Import button: imports a test configuration previously exported with the Export button

  • Export button: exports a test configuration in JSON format to be imported by using the Import button

  • Reset All button: resets the configuration

  • Data Detail Level: is the level of detail of execution. Check Understanding Data Level

  • Period of execution, it could be expressed as:

    • Last X days from today: set the number of days you want to test. A year is about 252 trading days

    • Specify a Date Range: set the date from/to for the test

  • Timeframe: it’s the range of testing for each day By default, is 09:30 am - 4:00 pm EST time that corresponds at the regular market time. Change this if you want to trade also during after hours (pre-market starts at 09:00 am EST time and post-market ends at 06:00 pm EST time)

  • Loss/Profit: are the boundaries of loss and profit in a day when Arcade stops the trading (and ends all the intraday strategies if any) if reached. By default, is 3% loss and 8% profit for intraday strategies that means if a profit of at least 8% is reached or a loss of more 3% or more, then Arcade anticipates the day closing and stops any new trading.

  • Initial Account Value is the amount of money in the account when we start the test. By default, is $27K that is just above the minimum of $25K requested by the SEC for day traders

  • Max Investing is the maximum of investing per day. 0 means the total amount in the account. By default, is $27K that means even if the test is having a profit and the total amount is increasing, not more than 27K are going to be invested every day. If you set this value to 0, the total amount in the account will be traded every day

  • Max Investing Timeframe: you can define different rule on the max investing during the day starting from a specific minute how much to invest in percentage

  • Notes: description about the test

  • Enable Reasoning: not supported yet

  • Output Reduced: not supported yet

  • Parallel Execution: If enabled, the test will be split in multiple units, one per day, and executed on all the available testing nodes of the cluster. This provides quicker results, but doesn’t allow to test trading that are spanned on multiple days

  • Strategies: strategies to execute. You can add, remove and update the strategy by clicking on the strategy and the strategy settings will be open on the right panel

  • Email me when completed: send an email with the summary of the results when the test is completed

  • Run button: schedule the test

Coming Soon

13.2.2. Test List

Backtest Strategies - List

13.2.3. Test results

Backtest Strategies - Results

13.2.4. Daily Results

Backtest Strategies - Day Results

13.2.5. Performance Results

Backtest Strategies - Performance1
Backtest Strategies - Performance2
Backtest Strategies - Performance3

13.3. Backtesting Patterns

In either ways, once you’ve selected your option you can edit the test parameters:

  • Data Detail Level: is the level of detail for the test:

    • Minute: this is the fastest test available for day trading. It invokes the patterns multiple times per minute. Suggested for quick tests of day trading patterns. It simulates produces quote and trade messages at the beginning of the minute, 2 time in the minute and at minute closing.

    • Tick Compressed: (not supported yet for patterns) this is the recommended level for detailed day trading. It invokes the patterns at every tick (quote and trade), but the recording of the market is compressed by ignoring the ticks that are not useful for non-HFT patterns. Suggested for accurate testing of day trading patterns. Slow execution.

    • Tick: (not supported yet for patterns) this is the recommended level for HFT patterns only. It invokes the patterns at every tick (quote and trade). Super slow execution.

  • Last X days from today: When selected, allows to specify the number of days to test back from today. 30 means testing the last 30 days from today

  • Specify a Date Range: When selected, allows to specify a range of dates. if there are any missing data for some of the days included in the range, the day is simply ignored

  • Time Frame Range: the range of time to backtest

  • Notes: a free text description of the test you can update later

  • Patterns: is the list of patterns to test. This is limited by your subscription plan. Press + Add to add a new pattern. Press Reset to remove all the patterns

Once you add a new pattern or you click on it, on the right side of the screen you can see the test configuration for the pattern.

  • Pattern: select the pattern to run

  • Universe: select the Universe of symbols to test, or hand pick some of the symbol you’re interested in

  • Earnings: (not supported yet)

  • Skip Minutes Between Findings: after a match, skips the following minutes before checking again. This is useful to avoid multiple matching in the same period

  • Pattern Parameters: are the parameters defined in the pattern. Fill the value to pass to the pattern during the execution. To change the parameters, edit the pattern definition by clicking on the Edit button

Patterns - Filter

Click the Run button and check the results. The execution of the backtest is executed on a cluster of servers in the cloud. You can check the status and see partial results by clicking on the History tab.

Below an example of the Gain pattern we wrote earlier, applied on the Natural Gas ETFs.

Patterns - Example

You can expand the findings per day and per symbol. By clicking on the time the pattern has been found, the Candlestick Chart Wiget will show that exact moment on the chart by pointing to the minute with a red arrow.

In case of errors, most commonly Syntax Error in the Pattern, you will see the errors in the detail of the test.

Patterns - Errors

13.3.1. Backtest Patterns History

By clicking the History tab, you can load the results of previous tests.

Patterns - Test History

To reload a past test configuration, select the test and click Run Again.


14. Alerts

Arcade allows the user to create custom alerts triggered by a pattern on a universe of symbols. Alerts are not saved permanently in Arcade, and they are visible only during the current day of trading. If you want to save the alerts, enable the sending of the email so you can collect them in your Email inbox.

Alerts

14.1. Create and Edit an Alert

In order to create a new alert, click on the "+ Create a new Alert" button at the top of the Definition panel. In both Add and Edit mode, the following popup is shown.

Edit an Alert
  • Name: (mandatory) is the name of the alert

  • Active: (mandatory) is active the alert will be enlisted under the Active Alerts table, otherwise under the Inactive Alerts table. You can temporary disactivate an alert by setting this switch to Off.

  • Pattern: (mandatory) select the pattern that triggers the alert. You can edit the selected pattern by clicking on the edit icon or create a new one if you click on the "+" icon.

  • Parameters: fill the values to be passed as parameter to the pattern. Values will be converted to the type declared in the pattern definition.

  • Notification Message: it’s the notification message. You can use the following variables:

    • ${name}: Name of the Alert.

    • ${pattern}: Name of the Pattern.

    • ${symbol}: Current symbol. Example: TSLA.

    • ${date}: Current date in the format 'yyyy-MM-dd HH:mm:ss.SSS'. Example: '2020-02-25 13:12:33.999'

    • ${trade.price}: Trade Price if the event has been initiated by a Trade Market message.

    • ${trade.volume}: Trade Volume if the event has been initiated by a Trade Market message.

    • ${quote.askPrice}: Quote Ask Price if the event has been initiated by a Quote Market message.

    • ${quote.bidPrice}: Quote Bid Price if the event has been initiated by a Quote Market message.

    • ${msgId}: Market message unique id number.

  • Send Popup: if enabled, open a notification if the user is logged in

  • Send an Email: send an email for the alert. The email will contain the information about the alert.

  • Only if the user is offline: send the email only if the alert is fired while the user is not logged in

  • Wait for latest notification: wait a defined number of seconds between the same alert on the same symbol. This avoids having multiple alerts for the same event.

  • Description: Description of the alert

  • Universe: Specify the Universes or pick manually the symbols you’re interested in.

  • Import button allows to import an exported alert configuration

  • Export button allows to export an alert configuration

When you create or update the alert, the alert is reinstalled in Arcade. This means that if you have changed the Alert’s pattern, the Alert code will be recompiled. Check the status in the image below.

Compiled Not Executed

14.2. Alert Execution

At the very first execution, the Alert is compiled with the code created in the linked pattern. If there are no errors, then the Status is "Compiled" with some metrics about the Alert execution.

Compiled Alert

If there are any Syntax Error or Critical Execution Error, the Alert is temporary suspended until the error has been resolved.

To resolve an error, edit the linked pattern, fix the error and then Edit the alert and just click on the "Update" button. In this way the Alert will be reinstalled and therefore recompiled.

Compiled Alert
The "Level" column tells when the Alert is executed (Minute, Trade or Quote Tick). It’s auto determined based on the functions used in the pattern definition.

In the Action column you can:

  • Edit the alert

  • Delete the alert

  • Filter all the notifications created by the current Alert

14.3. Notifications

On the Notification panel are collected all the notifications for all the defined alarms. Check you plan how many notifications can save. To remove all the Notifications click on the button "Remove all the Notifications". By default, the notifications are refreshed every 30 seconds. You can set 0 to disable the auto refresh. In the Search field you can easily filter the notificaton by date, alert, symbol or Message.

Compiled Notification

Click on the date to open the CandleStick Widget chart right at the moment the Alert wa fired.


15. Scanner

The Scanner is the tool that helps you find what really matters each day in the market.

15.1. Performers

The first tab of the Scanner contains the top and bottom performers of the day. You can adjust the filters to see results from the Open, Last Minute, Last 5 or 15 minutes.

Scanner - Best Performers
Scanner - Worse Performers

Arcade Trader represents a performers under 3 aspects:

  • Gain

  • Volume

  • Trades, as the number of individual trades. This is an exclusive metric, and it’s quite different from the volume. While the volume collects the total number of traded shares, Trades are the number of individual trades. For example, if a big institution bought 100K shares, the volume would be 100K, but the trades only 1. This metric is important to understand how many players are in the game for that stock in a particular period of time.

Next to the symbol you can find the most recent news. If there are no news, you can refresh by clicking on the News button. If you click on the news, the external article will be opened in a new tab/window.

15.2. Gappers

Gappers are the stocks that are gaining or losing outside the normal trading hours.

Gappers - Result

The gappers table contains the reason of the gap. This could be a special event (News, Earnings, Dividend, etc.). Aside to each symbol you can find the recent news fecthed from the most important finance sources. Click on the news to open the original article. If you don’t see any news, you can manually ask for an update by clicking on the button "Fetch News".

15.3. Anomalies

The Anomalies page contains the symbols that are recording anomalies from their average behavior. You can filter the stocks by multiple parameters. Apart from the usual, the following are exclusive to this page:

  • Spikes Short represents the amount of minutes the short spike up and down must be compared with

  • Spikes Long represents the amount of minutes the long spike up and down must be compared with

  • Last Minutes this is used by Volume Analysis and represents how many minutes to look back in the past for anomalies. By default is 5 minutes

Anomalies - Filter

The anomalies analyzed are divided in 6 boxes. Click on the symbol to visualize the anomaly in the candlestick chart.

Look at the vertical arrow that indicates the exact minute when the anomaly has been recorded.

Anomalies Zoom

15.3.1. Volume

There are 2 boxes for Volume analysis: (1) On last Period and (2) On Average.

Anomalies - Volume
  • Spike X, is how many times the volume is higher than normal

  • Stock, is the analyzed symbol

  • Price, is the last price for the symbol

  • Time, is when the anomaly has been detected

  • Price Delta, is the delta of price recorded since the anomaly

15.3.2. Spike Up

There are 2 boxes for Spike Up analysis: (1) Short Term (5 minutes by default) (2) Long Term (15 minutes by default).

Anomalies - Spikes Up
  • Spike %, is the percentage up on than past

  • Stock, is the analyzed symbol

  • Price, is the last price for the symbol

  • Time, is when the anomaly has been detected

Anomalies - Long Term Spikes Up

15.3.3. Spike Down

There are 2 boxes for Spike Down analysis: (1) Short Term (5 minutes by default) (2) Long Term (15 minutes by default).

Anomalies - Spikes Down
  • Spike %, is the percentage down on than past

  • Stock, is the analyzed symbol

  • Price, is the last price for the symbol

  • Time, is when the anomaly has been detected

15.4. Special Events

Special Events contains all the symbols that have a special event on a day. The special events are:

From the top of the page you can filter by the following:

Special Events - Filter
  • Day (by default is the current day)

  • Earnings:

    • BMO Before Market Open

    • AMC After Market Close

    • Unknown The time is unknown, or the earnings meeting could have been canceled or postponed

    • PDAMC Previous Day After Market Close. it means the earnings were announced after the market closing of the previous trading day

  • Reports, shows the symbols with a report scheduled for the current day

  • The offset in minute to compute the High/Low of the day

This is the result.

Special Events - Filter

While most of the columns are the same you can find in other pages, the "Ext.Hours Minutes" is important because contains the amount of minutes recorded under Extended Trading Hours. The higher, the most activity has been recorded after and pre market.

15.5. Market Signals

It’s a summary of the market during the trading hours. You can find the direction in the upper part and the total volume at the bottom. The direction is calculated every minute as the sum of gain/loss for all the symbols.

Market Signals

16. Correlations

Coming Soon

Arcade Trader allows to discover, in both real-time and on historic data, the level of correlation between 2 symbols.

Correlation - Filter

16.1. Example

Correlation - Example

17. Security

Arcade Trader is partnering with CloudFlare for security and DDoS protection. CloudFlare technology allows the Arcade Servers to run with no open ports by using Argo Tunnels. This means all Arcade servers are hidden and cannot be accessed directly from outside the Arcade Network.

All the connections between the browser and Arcade Servers are encrypted by using SSL/TLS. Cloudflare routes the user to the closest server.

CloudFlare Tunnels

All your private information, patterns, strategies and tests remain isolated from other users, unless you decide to share with somebody.

If you still don’t trust your precious Trading Algorithm is outside your own computer, you can still use Arcade Trader platform with the Enterpise Edition where you install Arcade on you own PC at home or anywhere else.

17.1. Account Security

Your money stay in your account in your name. Arcade has no user and password to access to it. You give to Arcade the authorization to trade on your account, but it’s not possible for Arcade to move funds.


18. Billing

In the Billing Page you can find your Invoices, the Arcade Tokens balance, buy more tokens and change your subscription.

18.1. Access to the Billing Page

In order to access to the Billing page, click on the Profile icon on the top right of the menu bar, then click "Billing".

Billing Menu

18.2. Arcade Tokens

Arcade Token

An Arcade Token is a unit representing the cost for backtesting. Check with your plan how many Tokens are already included per week. Extra Tokens are available to be purchased separately and they work with all the Cloud plans with no expiration. Today the value of 1 Arcade Token is $0.01, but it could change in the future.

18.2.1. Why paying for additional Backtesting time?

Backtesting is a very CPU and IO intensive job that requires a lot of resources to support thousands of users. The Arcade Platform automatically scales the cluster of test machines according with the demand. Check with your plan how many Arcade Tokens are already included per week. The Tokens included with the Cloud plans are earned every week. Those tokens, if not used, expire on Sunday 12:00 am EST and are not cumulative. Extra Tokens are available to be purchased separately and they work with all the Cloud plans with no expiration. Each test can multiple strategies at the same time with no extra costs.

Each Day tested costs 1 Arcade Tokens at Minute Level and 10 Arcade Tokens at Tick Level.

Example: testing 100 days back in the past will cost 100 Arcade Tokens ($1) at Minute Level and 1,000 Arcade Tokens ($10) at Tick Level.

18.2.2. Check your Balance

Click on Arcade Tokens tab to check your balance of both:

  • Tokens included in your plan (expire every end of the week if not used)

  • Extra token purchased (no expiration)

To purchase extra tokens for your test, click the button with the number of token to buy. The more token you buy, the major is the discount.

Billing Tokens
If you often need a lot of tokens, please evaluate to change your plan to have more token every week.

18.3. Invoices

Under the Invoice tab, you can find all your invoices about your subscription and payment of Arcade Tokens.

Billing Invoices

By clicking on the PDF icon, you can download the invoice in PDF format for your convenience. The invoice it will look like this:

Billing Invoice

19. Community

The Community is a place open to all Arcade users where to discuss Arcade Platform, new features, issues, trading ideas, markets, etc.

All you need is an account with Arcade.

community topic

20. Market Stream Analyzer

This is an advanced feature which allows to analyze the stream of data from exchanges at the tick level. Please consider that there are millions of messages every day.

In a second there could be 50,000 messages, so try to restrict the search as much as you can to avoid having thousands of record in the page.

The most important filters are:

  • File Name is the market file. There is one file per day. Click on the "Load" Button to browse the available files.

  • Symbols One or more symbols seperated by comma

  • MsgId From/To is the range of message ids. Every message has an incremental id managed by Arcade. If you are opening the stream from the Live Trading page, the message id is automatically filled

  • Time From/To is the time range. During normal market hours, pick 1 minute or less because the amount of messages could be extremely high

  • Types use "T" for Trades, "Q" for quotes

  • Exchange The exchange code

  • Volume From/To Volume rangeof the single tick

  • Conditions In Condition codes to include

  • Conditions Out Condition codes to exclude

  • Timeout Timeout of the query. To avodi to overload Arcade platform with long searched, the timeout cut the result when expires. Check your subscription for the timeouts you can use.

  • Reasoning Coming soon

  • T.Price <> Q.Ask% is the range of difference between the trade price and the last ask price, as a percentage

  • T.Price <> Q.Bid% is the range of difference between the trade price and the last bid price, as a percentage

Market Stream - Filter

On the right you can see the output of about 5 seconds for the symbol "TSLA" on April 24th, 2019:

- The yellow line is the Quote ASK Price

- The Blue line is the Quote BID Price

- The green line is the Trade Price

Market Stream - Result1

If you move the mouse ove the chart, you can see the detail of every single Tick message.

Market Stream - Result1

Now, click on the "Table" tab to see the same results as a table.

Market Stream - Table

21. Enterprise Edition (On-Premise)

There are some advantages on running Arcade Trader on your own computer:

  1. You can use your own resources, without the limits of the on-line subscriptions. You can also run Arcade on a cluster of multiple computers to have quicker response time on your back tests.

  2. Your algorithm doesn’t live your computer. Arcade Trader doesn’t send local data to it own servers. The only information that is shared is the user credentials to check if the subscription is active.

To Run Arcade Trader locally, you need to:

  1. A computer with at least 16 GB of available RAM for live trading and 8 GB of RAM for back-testing

  2. Have a valid subscription that allows you to run Arcade Trader. For single users, it’s the "Professional Lab". For Hedge Funds and Banks please contact us for a quote.

  3. Install Docker

  4. Run Arcade Trader

  5. Open Arcade Trader Platform on http://localhost:2480

  6. Enter the subscription data such as registration email, user id and password


22. Architecture

Arcade Platform integrates data providers and accounts all together to provide a consistent single-view of your trades.

Actors

Arcade Trader uses ArcadeDB, a proprietary DBMS, to store the data relative to the user, trades, tests and market data.


23. Arcade Natural Language Reference

Natural Language

The Natural Language has been built for users with no programming skills or for not complex algorithms. The syntax is the following:

<context1> <indicator1> <operator> [<context2>] <indicator2|value> [<logic operator>]

Some examples:

  • real-time trade price is 1% above last minute close

  • last minute close is above upper bollinger band

  • last day 150 sma crosses above 200 sma

  • last day 150 sma crosses below 200 sma and last minute close is 0.3% below 2 minutes ago close

  • trade profit < -3% or trade profit > 3% (this only for End Trading section)

Context1

<context1> can be the current trade (only in End Trading section, because it is for trades that are already started) a time-related context, like:

  • real-time, for real-time data such as trade, ask, bid price.

  • today, for data relative to the current day.

  • last day, for data relative to the previous trading day.

  • last minute, for data relative to the last minute only.

  • <X> minutes ago, where <X> is an integer value. Example: 10 minutes ago.

  • <X> days ago, where <X> is an integer value. Example: 3 days ago.

  • <X> weeks ago, where <X> is an float value. Example: 9.5 weeks ago.

  • <X> months ago, where <X> is an float value. Example: 1.5 months ago.

  • <X> years ago, where <X> is an float value. Example: 3 years ago.

Indicator1

<indicator1> is the indicator relative to the context <context1> used:

  • For bars (minute or day bars) you can use the followings:

    • open for the bar’s open price.

    • close for the bar’s close price.

    • high for the bar’s highest price.

    • low for the bar’s lowest price.

    • volume for the bar’s volume.

    • rsi for the bar’s RSI (Relative Strength Index)

    • vwap for the bar’s VWAP

    • upper bollinger band for the bar’s Upper Bollinger Band value

    • lower bollinger band for the bar’s Lower Bollinger Band value

    • macd value is the MACD value

    • macd signal is the MACD signal

    • 5, 10, 20, 50, 100, 150 or 200 sma or simple moving average for the bar’s Simple Moving Average relative to the last X bars

    • 5, 10, 20, 50, 100, 150 or 200 ema or exponential moving average for the bar’s Exponential Moving Average relative to the last X bars

    • 5, 10, 20, 50, 100, 150 or 200 wma or weighted moving average for the bar’s Simple Weighted Average relative to the last X bars

  • For today only:

    • gap for the day’s gap (difference between current open price and the previous day close)

  • For real-time only:

    • trade price, as the price of the latest trade received from the real-time market connector

    • trade volume, as the volume of the latest trade received from the real-time market connector

    • ask price, as the ask price of the latest quote received from the real-time market connector

    • ask size, as the ask size (in hundreds, 0 = odd lot) of the latest quote received from the real-time market connector

    • ask exchange, as the exchange for the last ask quote received from the real-time market connector

    • bid price, as the bid price of the latest quote received from the real-time market connector

    • bid size, as the bid size (in hundreds, 0 = odd lot) of the latest quote received from the real-time market connector

    • bid exchange, as the exchange for the last ask quote received from the real-time market connector

Operator

<operator> can be one of the following:

  • is equal to. Example: last minute close is equal to last minute open

  • is greater than. Example: last minute close is greater than last minute open

  • is <X>% greater than. Example: last minute close is 1% greater than last minute open

  • is greater than or equal to. Example: today open is greater than or equal to last day close

  • is less than. Example: last minute rsi is less than 50

  • is <X>% less than. Example: last minute volume is 10% less than 2 minutes ago volume

  • is less than or equal to. Example: today gap is less than or equal to -3%

  • is above. Example: last minute close is above 2 minutes ago close

  • is <X>% above. Example: last minute close is 0.3% above 2 minutes ago close

  • is below. Example: last minute low is below 2 minutes ago low

  • is <X>% below. Example: today low is 5% below 3 days ago low

  • is above or the same as. Example: last minute close is above or the same as last day close

  • is below or the same as. Example: last minute open is below or the same as last day open

  • crosses above. Example: last day 150 simple moving average crosses above 200 simple moving average

  • crosses below. Example: last day 150 ema crosses below 200 ema

Context2

<context2> is like <context1> but it’s optional. If not specified, the <context1> will be taken implicitly.

Logic Operator

<logic-operator> can be:

  • and. Example: last day 150 sma crosses above 200 sma and last minute close is 0.3% above 2 minutes ago close

  • or. Example: trade profit < -3% or trade profit > 3%

23.6. Reason variables

Natural Language strategies allow to customize the "Reason In" and "Reason Out" messages by using dynamic variables from the current trade, account and bars.

Strategy NL - Reason

To use dynamic variables, surround them with ${<variable>}. Example:

Score ${trade score} - Last Minute Close ${last minute close}

Will produce this message as "Reason In" for the trade:

Score 100 - Last Minute Close 102.23

Supported variables
  • trade symbol

  • trade begin

  • trade end

  • trade total profit

  • trade day profit

  • trade purchased shares

  • trade purchased price

  • trade sold shares

  • trade sold price

  • trade strategy name

  • trade reason in

  • trade score

  • trade cycles

  • account name

  • account number

  • account id

  • account total value

  • account initial value

  • account open positions

  • account robots

  • account type

  • account maximum investing

  • account cash

  • account profit

  • account profit on invested

  • account profit on total

  • account profit open positions on total

  • account today trades

  • account buying power

  • account maximum invested

  • market time

  • market status

  • real-time message id

  • today average volume per minute

  • last day average volume per minute

  • last day adr high/low

  • last day adr close/open

  • last day average volume

  • price lines

  • real-time trade price

  • real-time ask price

  • real-time bid price

  • real-time trade volume

  • real-time trade date

  • last minute close

  • last minute open

  • last minute high

  • last minute low

  • last minute volume

  • last minute date

  • last minute trades

  • last minute vwap

  • last minute rsi

  • last minute macd value

  • last minute macd signal

  • last minute upper bollinger band

  • last minute lower bollinger band

  • last minute 5 minute sma

  • last minute 5 minute simple moving average

  • last minute 10 minute sma

  • last minute 10 minute simple moving average

  • last minute 20 minute sma

  • last minute 20 minute simple moving average

  • last minute 50 minute sma

  • last minute 50 minute simple moving average

  • last minute 100 minute sma

  • last minute 100 minute simple moving average

  • last minute 150 minute sma

  • last minute 150 minute simple moving average

  • last minute 200 minute sma

  • last minute 200 minute simple moving average

  • last minute 5 minute ema

  • last minute 5 minute exponential moving average

  • last minute 10 minute ema

  • last minute 10 minute exponential moving average

  • last minute 20 minute ema

  • last minute 20 minute exponential moving average

  • last minute 50 minute ema

  • last minute 50 minute exponential moving average

  • last minute 100 minute ema

  • last minute 100 minute exponential moving average

  • last minute 150 minute ema

  • last minute 150 minute exponential moving average

  • last minute 200 minute ema

  • last minute 200 minute exponential moving average

  • last minute 5 minute wma

  • last minute 5 minute weighted moving average

  • last minute 10 minute wma

  • last minute 10 minute weighted moving average

  • last minute 20 minute wma

  • last minute 20 minute weighted moving average

  • last minute 50 minute wma

  • last minute 50 minute weighted moving average

  • last minute 100 minute wma

  • last minute 100 minute weighted moving average

  • last minute 150 minute wma

  • last minute 150 minute weighted moving average

  • last minute 200 minute wma

  • last minute 200 minute weighted moving average


24. Development Reference

The following object and function definitions are polyglot to all the supported languages. The following types are supported, check how is treated in your programming language:

Type

Length

Javascript

Python

Java

string

variable length

String

str

String

integer

32-bit

integer

int

int

long

64-bit

integer

int

long

float

32-bit

integer

int

float

boolean

8-bit

boolean

bool

boolean

array

variable length

array

list

List

24.1. Object Definitions

24.1.1. Bar

A Bar object has the following properties:

  • open: the open price (float)

  • close: the close price (float)

  • low: the lowest price reached during the bar period (float)

  • high: the highest price reached during the bar period (float)

  • vwap: the VWAP calculated for the bar (float)

  • wma5: the WMA calculated for the bar from the previous 5 bars (float)

  • wma10: the WMA calculated for the bar from the previous 10 bars (float)

  • wma20: the WMA calculated for the bar from the previous 20 bars (float)

  • wma50: the WMA calculated for the bar from the previous 50 bars (float)

  • wma100: the WMA calculated for the bar from the previous 100 bars (float)

  • wma150: the WMA calculated for the bar from the previous 150 bars (float)

  • wma200: the WMA calculated for the bar from the previous 200 bars (float)

  • sma5: the SMA calculated for the bar from the previous 5 bars (float)

  • sma10: the SMA calculated for the bar from the previous 10 bars (float)

  • sma20: the SMA calculated for the bar from the previous 20 bars (float)

  • sma50: the SMA calculated for the bar from the previous 50 bars (float)

  • sma100: the SMA calculated for the bar from the previous 100 bars (float)

  • sma150: the SMA calculated for the bar from the previous 150 bars (float)

  • sma200: the SMA calculated for the bar from the previous 200 bars (float)

  • ema5: the [EMA] calculated for the bar from the previous 5 bars (float)

  • ema10: the EMA calculated for the bar from the previous 10 bars (float)

  • ema20: the EMA calculated for the bar from the previous 20 bars (float)

  • ema50: the EMA calculated for the bar from the previous 50 bars (float)

  • ema100: the EMA calculated for the bar from the previous 100 bars (float)

  • ema150: the EMA calculated for the bar from the previous 150 bars (float)

  • ema200: the EMA calculated for the bar from the previous 200 bars (float)

  • rsi: the RSI calculated fo the bar (float)

  • volume: the total volume for the bar (long)

  • avgAverage: the average volume of the last bars (long)

  • dayOfTheWeek: day of the week in string format. Days are all lowercase (string)

  • date: timestamp as epoch in milliseconds (long)

  • macd0: the low price of MACD (float)

  • macd1: the high price of MACD (float)

  • bollingerBands0: the lower Bollinger Band (float)

  • bollingerBands1: the upper Bollinger Band (float)

  • change: the difference between close and open (float)

  • changePerc: the difference, in percentage, between close and open (float)

You can access to such properties once you have the reference to the Bar object. Example (in Javascript):

( History.last().sma50 >= History.last().sma200  ) &&
( History.relative(-1).sma50 < History.relative(-1).sma200  );

This is a valid pattern that matches right after the SMA50 indicator crosses over the SMA200 indicator.

24.1.2. Symbol

Object returned by Symbols.symbol(<symbol>). A Symbol object has the following properties:

  • symbol: symbol name (string)

  • lastTradePrice: the price of the last trade (float)

  • lastTradeVolume:Last trade volume. Check your subscription if you are enabled to receive 'trade' tick messages (long)

  • lastQuoteAskPrice: Last quote ask price. Check your subscription if you are enabled to receive 'quote' tick messages (float)

  • lastQuoteAskSize: Last quote ask size. Size is in hundreds of stocks. 0 means odd lot. Check your subscription if you are enabled to receive 'quote' tick messages (integer)

  • lastQuoteAskExchange: Last quote ask exchange name. Check your subscription if you are enabled to receive 'quote' tick messages (string)

  • lastQuoteBidPrice: Last quote bid price. Check your subscription if you are enabled to receive 'quote' tick messages (float)

  • lastQuoteBidSize: Last quote bid size. Size is in hundreds of stocks. 0 means odd lot. Check your subscription if you are enabled to receive 'quote' tick messages (integer)

  • lastQuoteBidExchange: Last quote bid exchange name. Check your subscription if you are enabled to receive 'quote' tick messages (string)

  • invertedSymbol: Inverted symbol if any. Example SQQQ for TQQQ and vice-versa (string)

  • floatShares: Number of shares available on the market (integer)

  • previousDayVolume: Volume of the previous day (integer)

  • avgVolume: Average volume of the last period (integer)

  • adrHighLow: Average Day Range considering High/Low of the day (float)

  • adrCloseOpen: Average Day Range considering Close/Open of the day (float)

24.1.3. PriceLevel

A PriceLevel object represent both Support and Resistance Levels. A PriceLevel object has the following properties:

  • price: the price for the level (float)

  • strength: the number of times the price level has been confirmed. Minimum is 0. (integer)

  • dates: the dates (in timestamp format) when the price has been confirmed. There are at least one entry in the array. (array of longs)

  • tags: tags associated to the level. It can be empty. Available tags are: (array of strings)

    • prevDayClose: for the previous day close price

    • prevDayHigh: for the previous day high price

    • prevDayLow: for the previous day low price

    • todayOpen: for the open price of the current day

24.2. Available Functions

24.2.1. Symbol

Name Description Return Type

symbol()

Symbol processing

string

lastTradePrice()

Last trade price. Check your subscription if you are enabled to receive 'trade' tick messages

float

lastTradeVolume()

Last trade volume. Check your subscription if you are enabled to receive 'trade' tick messages

long

lastQuoteAskPrice()

Last quote ask price. Check your subscription if you are enabled to receive 'quote' tick messages

float

lastQuoteAskSize()

Last quote ask size. Size is in hundreds of stocks. 0 means odd lot. Check your subscription if you are enabled to receive 'quote' tick messages

int

lastQuoteAskExchange()

Last quote ask exchange name. Check your subscription if you are enabled to receive 'quote' tick messages

string

lastQuoteBidPrice()

Last quote bid price. Check your subscription if you are enabled to receive 'quote' tick messages

float

lastQuoteBidSize()

Last quote bid size. Size is in hundreds of stocks. 0 means odd lot. Check your subscription if you are enabled to receive 'quote' tick messages

int

lastQuoteBidExchange()

Last quote bid exchange name. Check your subscription if you are enabled to receive 'quote' tick messages

string

invertedSymbol()

Inverted symbol if any. Example SQQQ for TQQQ and vice-versa

string

previousDayVolume()

Volume of the previous day

integer

avgVolume()

Average volume of the last period

integer

adrHighLow()

Average Day Range considering High/Low of the day

float

adrCloseOpen()

Average Day Range considering Close/Open of the day

float

marketCap()

Market Cap

integer

floatShares()

Number of shares available on the market

integer

name()

Full Name

string

description()

Description

string

country()

Country

string

type()

Shares Type: CS=Common Stocks, ETF=Exchange Traded Funds, and others

string

exchange()

Name of the exchange that manage the symbol

string

sector()

Sector

string

industry()

Industry

string

revenue()

Total Yearly Revenue

integer

sharesOutstanding()

Total shares outstanding

integer

employees()

Number of employees

integer

etb()

Easy To Borrow

boolean

24.2.2. Symbols

Name Description Return Type

symbol(string symbol)

Return the symbol object

Symbol

24.2.3. History

Name Description Return Type

symbol(string symbol)

Change the current symbol. By default is set with the current symbol in context. Example: History.symbol("TSLA");

History

absolute(int index)

Bar at the absolute position in history. Example to return the close value of the first bar in history: History.absolute(0).close

Bar

daysAgo(int days)

Bar X days ago from today. daysAgo(1) is the same as lastDay(). Example: History.daysAgo(2).open

Bar

weeksAgo(double weeks)

Bar X weeks ago from today. You can use decimals, for example History.weeksAgo(2.5) returns the bar of 2.5 weeks ago. The decimal part is rounded to the closest available day using an average of 5 trading days in a week. Example to return the high prices of 2 weeks ago: weeksAgo(2).high

Bar

monthsAgo(double months)

Bar X months ago from today. You can use decimals, for example History.monthsAgo(3.5) returns the bar of 3.5 months ago. The decimal part is rounded to the closest available day using an average of 22 trading days in a month. Example to return the 6 months ago open price: monthsAgo(6).open

Bar

yearsAgo(double years)

Bar X years ago from today. You can use decimals, for example History.yearsAgo(1.5) returns the bar of 1.5 years ago. The decimal part is rounded to the closest available day using an average of 252 trading days in a year. Example to return last year close price: yearsAgo(1).close

Bar

find(date date, boolean closestIfNotFound)

Find a date. If not found and closestIfNotFound is true, then the closest date us returned

Bar

days()

Returns the list of days

Bar[]

subset(int from, int to)

Extract a subset of days by passing a from/to range as relative numbers to move forward, negative numbers for backwards. Example: History.subset(-4,0) to return a subset with the latest 5 days from now

Bar

lastDay()

Bar from the last day. It's equivalent of daysAgo(-1)Example to retrieve the close price from the last day: History.lastDay().close.

Bar

first()

First Bar found in history. Example to return the volume of the first bar: History.first().volume

Bar

highest52weeks(string value, int lastDays)

Highest price on close, in the last 52 weeks

float

lowest52weeks(string value, int lastDays)

Lowest price, on close, in the last 52 weeks

float

highest(string value, int lastDays)

Highest price, specifying the value type (close, open, etc.) and the number of the last days to consider

float

lowest(string value, int lastDays)

Highest price, specifying the value type (close, open, etc.) and the number of the last days to consider

float

supportLevel(integer minimumStrength)

The closer Support Level (if any) computed on the available history bars from the previous day close price. You can pass the minimum strength, or 1 will be used by default. The returning object is a PriceLevel with the following properties:

  • price (float) is the price for the line
  • strength (integer) is the number of times the lines has been confirmed
  • dates (array of longs) are the timestamps of when the lines have been confirmed
Example: History.supportLevel(3).price

PriceLevel

resistanceLevel(integer minimumStrength)

The closer Resistance Level (if any) computed on the intraday bars from the previous day close price. You can pass the minimum strength, or 1 will be used by default. The returning object is a PriceLevel with the following properties:

  • price (float) is the price for the line
  • strength (integer) is the number of times the lines has been confirmed
  • dates (array of longs) are the timestamps of when the lines have been confirmed
Example: History.resistanceLevel().price

PriceLevel

priceLevels()

Support and resistance levels computed on the available history bars. Each level object has the following properties:

  • price (float) is the price for the line
  • strength (integer) is the number of times the lines has been confirmed
  • dates (array of longs) are the timestamps of when the lines have been confirmed
Example: History.priceLevels[0].price

array

toHeikinAshiBars()

Returns the bars in Heikin Ashi format.

array

24.2.4. Market

Name Description Return Type

status()

Market status between ['Pre', 'Regular', 'Post', 'Off' ]

string

connectedOn()

Timestamp of last connection to the realtime market streaming

long

minutesFromOpening(string marketType)

Minutes from the opening of the interested market between ['Pre', 'Regular', 'Post', 'Off' ]. By default is Regular

integer

minutesToClosing(string marketType)

Minutes to the closing of the interested market between ['Pre', 'Regular', 'Post', 'Off' ]. By default is Regular

integer

time(string format)

Current market time as a formatted string. It takes the datetime format in input. If null 'yyyy-MM-dd HH:mm:ss.SSS' is used

string

timeAsCalendar()

Current market time as Calendar object

calendar

timeAsTimestamp()

Current market time as timestamp in UNIX time with milliseconds

long

earningsSymbols(array types)

Map of the requested earnings as an array of strings with one or more of the following values: BMO, AMC, UNKNOWN, PDAMC. The returning map has the symbol as key and the event date as value between: BMO, AMC, UNKNOWN, PDAMC

object

24.2.5. Intraday

Name Description Return Type

symbol(string symbol)

Change the current symbol. By default is set with the current symbol in context. Example: Intraday.symbol("TSLA");

Intraday

absolute(int index)

Bar at the absolute position from intraday bars. Example: Intraday.absolute(0).close

Bar

minutesAgo(int offset, boolean sameDayOnly, boolean extendedHours)

Return a previous minute. Example: Intraday.minutesAgo(5,true,false).open

Bar

minutes()

Array of minutes for the current day

Bar[]

currentMinute()

Current minute using the format 'HH:mm'

integer

currentMinuteIndex()

Index of the current minute in the intraday bars

integer

barsFrom(calendar date)

Number of minute bars found in intraday history from now() to the request date

integer

barsFromMarketOpen()

Number of minute bars found in intraday history from the daily market open time. After regular market hours returns -1

integer

minutesFromMarketOpen()

Number of minutes from daily market open time to now()

integer

minutesToMarketClose()

Number of minutes from now() to the market close time

integer

now()

Current Bar. Example: Intraday.now().vwap

Bar

open()

Regular market open minute Bar if found or null. Example: Intraday.open().open

Bar

close()

Regular market close minute Bar if found or null. Example: Intraday.close().close

Bar

last()

Last Bar found in intraday bars. Example: Intraday.last().close

Bar

moveToLast()

Move to the last minute and return its Bar. Example: Intraday.moveToLast().close

Bar

day()

Current day in format yyyy-MM-dd

string

dayOfTheWeek()

Current day of the week in string format. Days are all lowercase. Example: if( Intraday.dayOfTheWeek() == 'friday' )

string

deltaPercFromMarketOpen()

Delta in % from today market open price

float

deltaPercFromPreviousMarketClose()

Delta in % from previous trading day’s market close price

float

volume()

Today’s real-time volume

integer

priceVolume()

Today’s real-time price volume in dollars. It is computed by multiplying the volume with the close price

integer

highest(string value, boolean sameDayOnly, boolean extendedHours, integer offsetFromOpen)

Today highest price from open

float

highestOnMarketOpen(string value, boolean sameDayOnly, boolean extendedHours)

Today highest % that price reached from market open

float

lowest(string value, boolean sameDayOnly, boolean extendedHours, integer offsetFromOpen)

Today lowest price from open

float

lowestOnMarketOpen(string value, boolean sameDayOnly, boolean extendedHours)

Today lowest % that price reached from market open

float

todayRealTimeRSI()

Today’s realtime RSI. It’s updated every minute

float

gap()

GAP as the different between today’s open price and previous day closing price

float

gapPerc()

GAP in % as the different between today’s open price and previous day closing price

float

change()

After market close, the difference between regular market close price and open price. During market hours, it is the difference between last minute price and open price

float

change()

After market close, the difference in percentage between regular market close price and open price. During market hours, it is the difference in percentage between last minute price and open price

float

marketOpenMinuteIndex()

Index in the intraday bars of the open minute

integer

marketCloseMinuteIndex()

Index in the intraday bars of the close minute

integer

earningsTime()

Time of the release of the earnings data, if there are earnings for the current day, for the current symbol. Return is a string of one of those values: BMO, AMC, UNKNOWN

string

reportTime()

Time of the release of the report, if there is a report for the current day, for the current symbol. Return is a string with the HH:mm format

string

marketStatus()

Market hours for the current minute between ['Pre', 'Regular', 'Post', 'Off' ]

string

extendedHoursBars()

Total minute bars with trades during extended hours

integer

supportLevel(integer minimumStrength)

The closer Support Level (if any) computed on the available intraday bars from the last minute close price. You can pass the minimum strength, or 1 will be used by default. The returning object is a PriceLevel with the following properties:

  • price (float) is the price for the line
  • strength (integer) is the number of times the lines has been confirmed
  • dates (array of longs) are the timestamps of when the lines have been confirmed
Example: Intraday.supportLevel(3).price

PriceLevel

resistanceLevel(integer minimumStrength)

The closer Resistance Level (if any) computed on the available intraday bars from the last minute close price. You can pass the minimum strength, or 1 will be used by default. The returning object is a PriceLevel with the following properties:

  • price (float) is the price for the line
  • strength (integer) is the number of times the lines has been confirmed
  • dates (array of longs) are the timestamps of when the lines have been confirmed
Example: Intraday.resistanceLevel().price

PriceLevel

priceLevels()

Support and resistance levels computed on the available intraday bars. Each line object has the following properties:

  • price (float) is the price for the line
  • strength (integer) is the number of times the lines has been confirmed
  • dates (array of longs) are the timestamps of when the lines have been confirmed
Example: Intraday.priceLevels()[0].price

array

toHeikinAshiBars()

Returns the bars in Heikin Ashi format

array

24.2.6. Indicators

Name Description Return Type

sma(array history, int length, string barAttribute)

Simple Moving Average. Example: sma(History.subset( -250, 0 ), 10, 'close' )

float[]

ema(array history, int length, string barAttribute)

Exponential Moving Average. Example to calculate the EMA on the close price of the last 10 days: ema(History.days(), 10, 'close' )

float[]

isConsolidating(array history, int offset, int length, float maxRangePerc)

Checks if the price has been consolidating between a range. Example to check in the last 30 minutes if the price was inside 1.2% range: isConsolidating( Intraday.minutes(), 0, 30, 1.2 )

boolean

topVolumePrices(array history, boolean sameDayOnly, int offsetFromOpen, int limit)

Returns the prices where most of the volume was concentrated, ordered by volume descending. Example to retrieve the top 5 price volumes for today starting 15 minutes after opening: topVolumePrices( Intraday.minutes(), true, 15, 5 )

boolean

linearRegressionChannel(array history, int maxLength)

Computes the Linear Regression Channel. Returns the object LinearRegressionChannelResult with the properties:

  • correlation: as the correlation index between -1.0 and +1.0. Values close to -1 and +1 means high correlation. 0 means no correlation
  • lastBar as the LinearRegressionChannelBar relative to the latest day. It's the equivalent of getting bars[bars.length-1]
  • bars as an array of LinearRegressionChannelBar with the following properties:
    • linearRegression: the value of the linear regression (center price in the chart)
    • stdDeviationDown: one standard deviation down from the linear regression
    • stdDeviationUp: one standard deviation up from the linear regression
    • stdDeviation2Down: two standard deviation down from the linear regression
    • stdDeviation2Up: two standard deviation up from the linear regression
    • maxDeviationDown: max deviation down from the linear regression
    • maxDeviationUp: max deviation up from the linear regression

Example applied of the last 200 days linearRegressionChannel( History.days(), 200 ).lastBar

array

24.2.7. Account

Name Description Return Type

robot(string symbol)

Return the active robot for a symbol if any. Example: Account.robot("TSLA");

Robot

id()

Arcade’s Account Id

string

name()

Arcade’s Account Name

string

number()

Broker’s Account Number

string

type()

Account Type between [alpaca-live, alpaca-paper, tdameritrade-live]

string

initialAmount()

Initial amount at the beginning of the day

float

totalValue()

Total value of the account updated in real-time. This is the sum of cash and the total of the open positions

float

availableToInvest()

Amount available to be invested. based on the account settings, can be the total of cash (default) or the buying power. This amount is influenced by broker restriction with margin and how it computes the daily buying power

float

minCash()

Minimum amount of cash available today in the account

float

maxCash()

Maximum amount of cash available today in the account

float

maxDayInvesting()

Maximum amount available to invest. If zero is equals to availableToInvest()

float

maxInvested()

Maximum amount of cash invested today

float

totalTrades()

Number of trades executed today

int

activeRobots()

Number of active robots for this account

int

pastRobots()

Number of robots that have finished trading for this account

int

robotsCanBeginTrading()

Return and change the settings if robots can begin new tradings. Pass null to have the current settings, or pass true or false to change them

boolean

robotsCanEndTrading()

Return and change the settings if robots can end existent tradings. Pass null to have the current settings, or pass true or false to change them

boolean

brokerInfo()

Return Broker information

object

24.2.8. Robot

Name Description Return Type

symbol()

Symbol traded

string

backtesting()

True if the context is running a simulation in backtesting, false if it is in live trading

boolean

dataLevel()

Data Level message between 'MINUTE', 'TRADE' or 'QUOTE'

string

beginTime()

Time the robot is started in epoch milliseconds format

long

beginTimeAsString(string format)

Time the robot is started in string format. If no format is passed, then the following is used: yyyy-MM-dd HH:mm:ss.SSS

string

endTime()

Time the robot finished in epoch milliseconds format. 0 means it is still running

long

endTimeAsString(string format)

Time the robot finished in epoch milliseconds format. null means it is still running. If no format is passed, then the following is used: yyyy-MM-dd HH:mm:ss.SSS

string

totalProfit()

Current profit in currency amount

float

totalProfitPerc()

Current profit in percentage on the total invested. Negative numbers mean loss.

float

dayProfit()

Current profit for the day in currency amount

float

dayProfitPerc()

Current profit for the day in percentage on the total invested. Negative numbers mean loss.

float

boughtQty()

Number of purchased stocks. It could be 0 at the beginning if the buy operation is still pending

int

boughtAvgPrice()

Average price of purchased stocks. It could be 0 at the beginning if the buy operation is still pending

float

stopProfitAtPrice(float price)

Sell all the positions when the is >= this amount. It returns the current price or 0 if not set

float

stopLossAtPrice(float price)

Sell all the positions when the price is ⇐ this amount. It returns the current price or 0 if not set

float

maxProfit()

Return an object where the key is the minute and the value can be positive, that means currency amount, negative represents a percentage and if a string is a JS expression to evaluate

object

maxLoss()

Return an object where the key is the minute and the value can be positive, that means currency amount, negative represents a percentage and if a string is a JS expression to evaluate

object

beginSupportLevel()

Returns the support level at the beginning of the trading. Example: beginSupportLevel().price

PriceLevel

beginResistanceLevel()

Returns the resistance level at the beginning of the trading. Example: beginResistanceLevel().price

PriceLevel

getProperty(string name)

Returns a property previously set. Example: getProperty('sellWhenPriceMatchesVWAP')

any

setProperty(string name, object value)

Sets a property. It returns the previous value if any, otherwise null. Example: setProperty('sellWhenPriceMatchesVWAP', true). Useful to override default settings or to create new ones

any

buyMore(boolean goLong, integer qty, float price, string tif, integer timeoutInSecs)

Buy more shares for the current symbol. If another buy/sell order is in progress for the same account/symbol, then the new order is ignored

void

partialSell(boolean goLong, integer qty, float price, string tif, integer timeoutInSecs)

Partial sell shares for the current symbol. If another buy/sell order is in progress for the same account/symbol, then the new order is ignored

void

kill(string reason)

Kill the current robot and sell all the positions. The method requires the reason of ending the trading. Example: Robot.kill('Buying another stock')

null

24.2.9. Format

Name Description Return Type

formatDate(int timestamp, string format)

Formats a date. Example: formatDate(timestamp, 'yyyy-MM-dd HH:mm:ss.SSS' ). In case of error on formatting, null is returned.

string

parseDate(int timestamp, string format)

Parses a date and returns a timestamp. Example: parseDate('2020-06-09 10:30:00.000', 'yyyy-MM-dd HH:mm:ss.SSS' ). In case of error on parsing, null is returned.

string

formatCurrency(double value, int decimals)

Formats a float number into a currency by prefixing the amount with the dollar sign ($) and formatting the amount with comma separator for every thousands and a custom number of decimals. Example: formatCurrency(1000000.12345678, 3 ) returns $1,000,000.123. In case of error on formatting, null is returned.

string

formatDecimalNumber(double value, int decimals)

Formats a decimal number by formatting the amount with comma separator for every thousands and a custom number of decimals. Example: formatFloat(1000000.12345678, 3 ) returns 1,000,000.123. In case of error on formatting, null is returned.

string

24.2.10. Statistics

Name Description Return Type

differencePerc(float value1, float value2)

Difference between two number in percent. Example: differencePerc(20,10) (equals to 100%).

float


25. Glossary

Technical explanation are taken from Investopedia with the link to the original source so you can expand the concept directly on Investopedia website.

ADR H/L

Average Delta Range considering High/Low prices

ADR O/C

Average Delta Range considering Open/Close prices

AMC

After Market Close

ASK

The bid price represents the maximum price that a buyer is willing to pay for a share of stock or other security. A trade or transaction occurs after the buyer and seller agree on a price for the security which is no higher than the [BID] and no lower than the ask. More

BID

The ask price represents the minimum price that a seller is willing to take for a share of stock or other security. A trade or transaction occurs after the buyer and seller agree on a price for the security which is no higher than the bid and no lower than the [ASK]. More

BMO

Before Market Open

Bollinger bands

A Bollinger Band® is a technical analysis tool defined by a set of lines plotted two standard deviations (positively and negatively) away from a simple moving average ([SMA]) of the security’s price, but can be adjusted to user preferences. Bollinger Bands® were developed and copyrighted by famous technical trader John Bollinger. More

Only At Close (CLS)

Use this with a market/limit order type to submit “market on close” (MOC) and “limit on close” (LOC) orders. This order is eligible to execute only in the market closing auction. Any unfilled orders after the close will be cancelled. CLS orders submitted after 3:50pm but before 7:00pm ET will be rejected. CLS orders submitted after 7:00pm will be queued and routed to the following day’s closing auction.

Day (Time In Force)

A day order is eligible for execution only on the day it is live + extended hours.

Consolidation

Consolidation is a technical analysis term referring to security prices oscillating within a corridor and is generally interpreted as market indecisiveness. Said another way, consolidation is used in technical analysis to describe the movement of a stock’s price within a well-defined pattern of trading levels. Consolidation is generally regarded as a period of indecision, which ends when the price of the asset moves above or below the prices in the trading pattern. More

Dividend

A dividend is the distribution of a portion of the company’s earnings, decided and managed by the company’s board of directors, and paid to a class of its shareholders. Dividends must be approved by the shareholders through their voting rights. Although cash dividends are the most common, dividends can also be issued as shares of stock or other property. Along with companies, various mutual funds and exchange-traded funds (ETF) also pay dividends. More

Earnings

Earnings typically refer to after-tax net income, sometimes known as the bottom line or a company’s profits. Earnings are the main determinant of a company’s share price, because earnings and the circumstances relating to them can indicate whether the business will be profitable and successful in the long run. Earnings are perhaps the single most important and most studied number in a company’s financial statements. It shows profitability compared to analyst estimates, the company’s own historical performance, and relative to its competitors and industry peers. More

EMA

An exponential moving average (EMA) is a type of moving average (MA) that places a greater weight and significance on the most recent data points. The exponential moving average is also referred to as the exponentially weighted moving average. An exponentially weighted moving average reacts more significantly to recent price changes than a simple moving average ([SMA]), which applies an equal weight to all observations in the period. Look also at [SMA] and [WMA]. More

Extended Trading Hours

Extended trading is trading conducted by electronic networks either before or after the regular trading hours of the listing exchange. Such trading tends to be limited in volume compared to regular trading hours when the exchange is open. Pre-market trading in the United States, in terms of stocks, usually runs between 4:00 a.m. and 9:30 a.m. Eastern Time and after-hours trading typically runs from 4:00 p.m. to 8:00 p.m. Eastern Time (EST). The U.S. stock exchanges are open from 9:30 a.m. to 4:00 p.m. EST. More]

Fill or Kill (FOK)

It is only executed if the entire order quantity can be filled, otherwise the order is canceled.

Good Til Canceled (GTC)

The order is good until canceled.

High Frequency Trading

High-frequency trading, also known as HFT, is a method of trading that uses powerful computer programs to transact a large number of orders in fractions of a second. It uses complex algorithms to analyze multiple markets and execute orders based on market conditions. Typically, the traders with the fastest execution speeds are more profitable than traders with slower execution speeds. In addition to the high speed of orders, high-frequency trading is also characterized by high turnover rates and order-to-trade ratios. Some of the best-known high-frequency trading firms include Tower Research, Citadel LLC and Virtu Financial. More

Immediate Or Cancel (IOC)

It Requires all or part of the order to be executed immediately.

Limit Order

A buy limit order is an order to purchase an asset at or below a specified price, allowing traders to control how much they pay. By using a limit order to make a purchase, the investor is guaranteed to pay that price or less. While the price is guaranteed, the order being filled is not. If the asset does not reach the specified price, the order is not filled and the investor may miss out on the trading opportunity. Said another way, by using a buy limit order the investor is guaranteed to pay the buy limit order price or better, but it is not guaranteed that the order will be filled. More

Linear Regression Channel

The Linear Regression Channel (LRC) gives objective buy and sell signals based on price volatility. The upper and lower channels (linear regression lines) contain between themselves either 68% of all prices (if one Standard Deviation is used) or 95% of all prices (if two Standard Deviations are used). When prices break outside of the channels, either Buy or Sell opportunities are present, or else the prior trend could be ending. When price falls below the lower channel line, a Buy signal is usually triggered and when prices break above the upper channel line, an opportunity for Selling occurs. Also, when price closes outside of the Linear Regression Channel for long periods of time, this is often interpreted as an early signal that the past price trend may be breaking and a significant reversal could be near. The Linear Regression Channel is a very useful technical analysis charting tool. In addition to identifying trends and trend direction, the use of standard deviation gives you an idea as to when prices are becoming overbought or oversold relative to the current trend. Said another way, by using a buy limit order the investor is guaranteed to pay the buy limit order price or better, but it is not guaranteed that the order will be filled. More

Loss

Any kind of loss is always represented in red

MACD

Moving Average Convergence Divergence (MACD) is a trend-following momentum indicator that shows the relationship between two moving averages of a security’s price. The MACD is calculated by subtracting the 26-period Exponential Moving Average (EMA) from the 12-period EMA. The result of that calculation is the MACD line. A nine-day EMA of the MACD called the "signal line," is then plotted on top of the MACD line, which can function as a trigger for buy and sell signals. Traders may buy the security when the MACD crosses above its signal line and sell - or short - the security when the MACD crosses below the signal line. Moving Average Convergence Divergence (MACD) indicators can be interpreted in several ways, but the more common methods are crossovers, divergences, and rapid rises/falls. More

Market Order

Market orders are transactions meant to execute as quickly as possible at the current market price. Market orders offer a greater likelihood that an order will go through, but there are no guarantees, as orders are subject to availability. More

Order Type

Can be [LimitOrder] or [MarketOrder]

Only At Open (OPG)

Use this with a market/limit order type to submit “market on open” (MOO) and “limit on open” (LOO) orders. This order is eligible to execute only in the market opening auction. Any unfilled orders after the open will be cancelled. OPG orders submitted after 9:28am but before 7:00pm ET will be rejected. OPG orders submitted after 7:00pm will be queued and routed to the following day’s opening auction.

PDAMC

Previous Day After Market Close. it means the earnings were announced after the market closing of the previous trading day

Profit

Any kind of profit is always represented in green

Resistance Level

Resistance, or a resistance level, is the price at which the the price of an asset meets pressure on its way up by the emergence of a growing number of sellers who wish to sell at that price. Resistance levels can be short-lived if new information comes to light that changes the overall market’s attitude toward the asset, or they can be long-lasting. In terms of technical analysis, the simple resistance level can be charted by drawing a line along the highest highs for the time period being considered. Resistance can be contrasted with support. More

Robot

Represents a piece of software that implement the user selected strategy to begin and end a trade. Multiple robots of the same of different strategy can run in the same account. Multiple robots can’t trade the same symbol.

RSI

The relative strength index (RSI) is a momentum indicator that measures the magnitude of recent price changes to evaluate overbought or oversold conditions in the price of a stock or other asset. The RSI is displayed as an oscillator (a line graph that moves between two extremes) and can have a reading from 0 to 100. The indicator was originally developed by J. Welles Wilder Jr. and introduced in his seminal 1978 book, "New Concepts in Technical Trading Systems.". More

Score

It’s a score, from 0 to 100, assigned by the strategy beginTrading() function to determine the level of confidence in the trade. If the "Max Inv. per Trade" for a strategy is $1,000, a score = 100 means 100% of $1,000 will be invested. A score = 50 means 50% of the amount will be used, namely $500

SMA

A simple moving average (SMA) calculates the average of a selected range of prices on closing prices by the number of periods in that range. Look also at [EMA] and [WMA]. More

Standard Deviation

The standard deviation is a statistic that measures the dispersion of a dataset relative to its mean and is calculated as the square root of the variance. It is calculated as the square root of variance by determining the variation between each data point relative to the mean. If the data points are further from the mean, there is a higher deviation within the data set; thus, the more spread out the data, the higher the standard deviation. More

Support Level

Support, or a support level, refers to the price level that an asset does not fall below for period of time. An asset’s support level is created by buyers entering the market whenever the asset dips to a lower price. In technical analysis, the simple support level can be charted by drawing a line along the lowest lows for the time period being considered. The support line can be flat or slanted up or down with the overall price trend. Other technical indicators and charting techniques can be used to identify more advanced versions of support. More

Symbol

Stock symbol

Time In Force

It’s the way an order is executed:

Timeout

Wait the specified number of seconds, otherwise cancels it. It is eligible for execution only on the day it is live + extended hours.

Tick

A tick is a measure of the minimum upward or downward movement in the price of a security. A tick can also refer to the change in the price of a security from one trade to the next trade. Since 2001 and the advent of decimalization, the minimum tick size for stocks trading above $1 is one cent. More

Trades

As a metric is the number of individual trades. This is an exclusive metric, and it’s quite different from the volume. While the volume collects the total number of traded shares, Trades are the number of individual trades. For example, if a big institution bought 100K shares, the volume would be 100K, but the trades only 1. This metric is important to understand how many players are in the game for that stock in a particular period of time.

VWAP

The volume weighted average price (VWAP) is a trading benchmark used by traders that gives the average price a security has traded at throughout the day, based on both volume and price. It is important because it provides traders with insight into both the trend and value of a security. Look also at [EMA] and [SMA] and [WMA]. More

Weekly Report

It’s a report, such as OIL Report and Natural GAS Report

WMA

Weighted Moving Averages are like [SMA], but they assign a heavier weighting to more current data points since they are more relevant than data points in the distant past. The sum of the weighting should add up to 1 (or 100 percent). In the case of the simple moving average, the weightings are equally distributed. The weighted average is calculated by multiplying the given price by its associated weighting and totaling the values. Look also at [EMA] and [SMA]. More


Any example contained in this document is for academic purposes only. Arcade Data is not suggesting using a particular strategy or providing any financial advice. For more information, check the Risk Disclaimer.

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