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hourly macd strategy missing trade on iwm and efa for alpaca brokerage. On dec. 22 2023, efa and Iwm ware purchased based on macd hourly strategy. But there is no more order executed for efa and iwm since then regardless of multiple macd sigals. I am still holding efa and Iwm now. Other symbols seems fine. Any thoughts?
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#1
Also missing in this problem report to make conclusions:

* Tool (Strategy / St.Mon.)
* Strategy code
* Strategy settings
* Preferences > Trading
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#2


how do you calculate hourly trade, you start from 9:30-10:30, etc, how about after 3:30? the market closes at 4, it is only 30 minutes, how do you handle it? what does cancel pending, final order means?
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#3
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#4
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Glitch8
 ( 11.81% )
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#5
Be sure to read the WL8 Help page on Trading Preferences, it's all explained there.

>>how do you calculate hourly trade, you start from 9:30-10:30, etc<<

Yes the first hourly bar ends at 10:30 so it will be stamped at 10:30 in WL.

>>, how about after 3:30? the market closes at 4, it is only 30 minutes, how do you handle it?<<

We handle it by processing one final bar that is 30 minutes, ending at 16:00.

>> what does cancel pending<<

It means an order cancel request has been submitted to the broker.

>>, final order means?<<

It means this was the final order of the trading day, so it is treated in a special way. We cannot submit the order right away, because the market is closed so the broker will not accept it. The broker will accept new orders, for tomorrow, only after some period of time has elapsed. The order will remain in the Order Manager for this period of time at which point it will get submitted to the broker for the next trading session.
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#6
thanks. "It means an order cancel request has been submitted to the broker." Under what condiiton, cancel request is submitted to the broker. I can see that I have got the shares of efq, qqq, spy, biti,. I don't have any share of SH. I don't see any cancelpending in help menu. f.e. there is a cacelpending order at 14:30, what is it waiting for? Is it executed or still waiting
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Glitch8
 ( 11.81% )
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#7
>>Under what condiiton, cancel request is submitted to the broker. <<

Under the condition that your strategy previously placed the order, but it did not place the order in the subsequent bar.

>>I can see that I have got the shares of efq, qqq, spy, biti,. I don't have any share of SH. <<

I see you’re using the Alpaca broker. Is your Alpaca extension up to date with the latest build?

>>don't see any cancelpending in help menu.<<

I’ll check the help on that and add it if it’s missing, thanks.

>>f.e. there is a cacelpending order at 14:30, what is it waiting for? Is it executed or still waiting<<

It seems like a disconnect between Alpaca and WL. Which is why I asked if your extension build was current.
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#8
it is missing trade again on biti on apalca, can you please test on your end? I back test the macd 60 minutes, it generate the signal. But no order is triggered. yahoo streaming is used
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#9


highlighted is my strategy macd, it says that no udpates for 3 symobls, why is that? how reliable is yahoo streaming
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#10
biti is supposed to be sold in this morning, but nothing happened
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Cone8
 ( 25.44% )
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#11
QUOTE:
how reliable is yahoo streaming
It's a free source. "Fairly?"
But you're trading highly illiquid symbols that may not even register on free streaming feeds like NLS (used by Yahoo!) or IEX (used by Alpaca's free provider), which only represents a tiny fraction (maybe 2%) of all trading. That's what "No Updates" means - there were no updates for that interval.

Yahoo! Streaming is just a bad choice to build bars. For something like QQQ and SPY, it might work fairly well. It obviously isn't going to work for the likes of EFZ.
If you have a historical source that can return 60 minute bars, use Polling.
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Cone8
 ( 25.44% )
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#12
But it seems like there's actually another reason for 'No Updates' with Y! Streaming - a bug isn't parsing the volume correctly and is always zero. Typically zero volume bars are discarded, except for currency and index symbols.

Something everyone should know is that odd-lot trades (trades with fewer than 100 shares) do not get incorporated into chart data by any historical provider.

Anyway, here's a small comparison of streaming feed for Y! vs. IB, which although is not a tick provider, it conflates prices and typically can report a new price 3 or 4 times each second. You can see that Y! updates are far fewer than IB (and IB would be far fewer than a real tick provider like IQFeed).

CODE:
Y: 143850.000   TTD   69.24   0 IB Heartbeat (local): 20240108 19:39:00.001 IB: 193900.698   TTD   69.25   100 Y: 143850.000   TTD   69.24   0 IB: 193902.952   TTD   69.25   300 IB: 193903.291   TTD   69.25   100 IB: 193904.215   TTD   69.25   200 IB: 193905.207   TTD   69.25   100 IB: 193905.720   TTD   69.24   500 IB: 193906.308   TTD   69.25   200 Y: 143906.000   TTD   69.25   0 IB: 193908.229   TTD   69.25   100 IB: 193908.715   TTD   69.25   1200 Y: 143906.000   TTD   69.25   0 IB: 193916.730   TTD   69.25   100 Y: 143916.000   TTD   69.25   0 IB: 193922.587   TTD   69.25   100 Y: 143916.000   TTD   69.25   0 IB: 193924.257   TTD   69.25   400 Y: 143916.000   TTD   69.25   0 IB: 193929.505   TTD   69.26   500 IB: 193930.504   TTD   69.25   100 IB: 193932.758   TTD   69.25   1500 Y: 143933.000   TTD   69.25   0 IB: 193933.273   TTD   69.25   100 IB: 193933.509   TTD   69.24   600 Y: 143933.000   TTD   69.245   0 IB: 193942.025   TTD   69.23   200
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#13
I am using real money account of alpaca to trade, you guys told me I can't use alpaca to stream quotes as there is only one aplach account can be used. Now you said yahoo is not good for stream, what else can' I use to stream/poll.
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Cone8
 ( 25.44% )
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#14
Free Yahoo! actually works in the Strategy Monitor.
So does free Alpaca.
The both have their limitations: All About WealthLab Intraday and Realtime Data Providers
If you're not satisfied the way those free providers work, get an IQFeed subscription and pay for good data.
After all, you're trading with real money. We all are.
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#15
but I am not sure why I miss trade for Iwm, efz, biti using yahoo. IWM should have big volumn.

can you please test iwm efz biti in your strategy monitor for macd cross signal line buy 60 minutes using yahoo. I saw the trade signal in backtest, but not in stratygy monitoring
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#16
I have alpaca real money account. does it count?

are you saying yahoo stream won't work for 60 minutes strategy for IWM? why does it require tick by tick?

I have changed to polling for yahoo, will it work better?
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Cone8
 ( 25.44% )
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#17
Did you read the article?
It explains why you won't see the same signals using streaming providers, except for a true tick-by-tick provider like IQFeed (or, for example, Alpaca's paid tier).
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Cone8
 ( 25.44% )
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#18
QUOTE:
I have alpaca real money account. does it count?
No. Alpaca has a "paid tier" for good data. Did you read the article?
All About WealthLab Intraday and Realtime Data Providers Look for "Alpaca".

QUOTE:
are you saying yahoo stream won't work for 60 minutes strategy for IWM? why does it require tick by tick
I wouldn't rely on Yahoo! for my trading. Not even for EOD. This article describes why:
All About WealthLab Intraday and Realtime Data Providers

QUOTE:
I have changed to polling for yahoo, will it work better.
No. Yahoo returns daily bars only.
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#19
I have using alpaca to trade using real money, can I use alpaca for streaming at the same time
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Cone8
 ( 25.44% )
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#20
Don't trade real money with Alpaca's free tier data.
If you're going to use Alpaca's data, use the paid tier data.
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#21
I wonder if you can test to monitor macd buy 60 minutes using your premium data plan for several days for symbols biti, iwm, efz to see if trades are missing compared with back test?
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Cone8
 ( 25.44% )
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#22
It's not something we test regularly, but we verified 60 minute bar data are correct with all feeds.

The question is if your live feed matches the historical data you use to backtest.
If it does, then the results will be the same as the backtest.

The live data won't match historical bars if you're using Alpaca "free tier" data.
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