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ChimpTrader

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    Stocks, Derivatives
  1. Feeding OHLC VOL OI quotes (both realtime and backfill) to AmiBroker is pretty straightforward as mentioned in How to use AmiBroker with Interactive Brokers TWS.However, I am interested to pass other datapoints from TWS to an AmiBroker array. For instance, I wonder, would it be possible to inject IV% from TWS to an user-defined Array in AB using IB's OpenSource API both real-time and historical. I was going through the below mentioned articles and my curiosity has increased tremendously.1) For realtime2) For backfilling3) AB's ADK GuideI am a total noob when it comes to DLLs, APIs. My C/C++ knowledge is limited to High School programming basics only. Could you kindly give me some advice or refer some books, that will guide on how I could let TWS and AB shake hands with each other.
  2. Gauge upcoming high volatility

    Ha ha ha, yeah, the man who could only predict anything was crucified 2000 years back Sorry for replying late I was in a pressure cooker Statistically writing when volatility is unusually high makes Vega calm her wrath and premiums are lost faster as volatility subside, and I avoid low volatility, because you never know, although 70% of the time markets remain consolidating, but still why take risk, when some another Stock, ETF or Index is ready to consolidate. After 2 years of pure options trading, nothing ever gives me any confidence to buy options no matter what a situation might be. I find this really strange, where the world is going crazy to throw their chips at cheap OTMs, some folks bragging in Social Media - how they bought limited edition Porsche in a week Having that said, I am aware that I haven't seen any knee jerk volatility yet. I was in High School in 2008, used to see some Senior folks crying after loosing, it cautioned me and I took my time to learn things, got settled with a job first, then started to trade from 2015. Your analogy was great, man! Would you kindly elaborate when you say: Thanks! Will wait for your reply......
  3. Gauge upcoming high volatility

    Hello friends, I am relatively new to options trading - slowing eating like pigeon by doing some writings. For but obvious reasons, I do not intend to do the other like an elephant, so, was wondering if any experienced good soul out of you would kindly explain any technique or indicator using which I could gauge an upcoming high volatility situation for an underlying beforehand. Many thanks!
  4. Calculating ITM/OTM Probs, POP, POT

    Could you suggest any understandable read on this topic? My advanced mathematical grasp is very limited, hoping for something comprehensible. Any author who took the pain to explain it step-by-step from basics to advanced. Thank you!
  5. Greetings All, This is my first post here. And would like to gain some knowledge on a classic which was developed by E. Michael Poulos about 30 years back that were published in these TASC articles. I use Amibroker as my Charting and TA tool. Like most of the other charting applications it too provides ready-made functions for the same: 1. RWIHi 2. RWILo 3. RWI Adding the functions onto one section: _SECTION_BEGIN( "Random Walk Index" ); minperiods = Param( "Min Periods", 9, 1, 200, 1 ); maxperiods = Param( "Max Periods", 40, 1, 200, 1 ); Plot( RwIHi( minperiods, maxperiods), "RwIHi", colorGreen, ParamStyle("Style") ); Plot( RwILO( minperiods, maxperiods), "RwILO", colorRed, ParamStyle("Style") ); Plot( RwI( minperiods, maxperiods), "RwI", colorWhite, ParamStyle("Style") ); _SECTION_END(); Objective is to replicate the inbuilt functions, by coding them raw from scratch for better understanding of the concept proposed by Poulos as Random Walk Index. I am unable to discern the use of two periods - minperiods, maxperiods - here. Well below is what I have so far managed to code "Random Walk Index of Highs" in Amibroker but the results do not match with the inbuilt ones. And need your kind help in this regard! _SECTION_BEGIN( "Unveil RwIHi" ); mthd = ParamList( "Select Method", "Method 1|Method 2|Method 3", 1 ); pMin = Param( "Min Periods", 9, 1, 200, 1 ); pMax = Param( "Max Periods", 40, 1, 200, 1 ); switch( mthd ) { case "Method 1": // https://www.tradingview.com/script/eXHlEXzw-Random-Walk-Index-RWI-RWIhi-RWIlo/ RWH = 0; for( i = pMin; i <= pMax; i++ ) { RWH = IIf( i == pMin, ( H - L[ i ] ) / ( ATR( i ) * sqrt( i ) ), Max( ( H - L[ i ] ) / ( ATR( i ) * sqrt( i ) ), RWH ) ); } break; case "Method 2": // https://www.mail-archive.com/amibroker@yahoogroups.com/msg30080.html RWHmin = ( H - Ref( L, -pMin ) ) / ( Max( ATR( 1 ), ATR( pMin ) ) * sqrt( pMin ) ); RWHmax = ( H - Ref( L, -pMax ) ) / ( Max( ATR( 1 ), ATR( pMax ) ) * sqrt( pMax ) ); RWH = Max( RWHmin, RWHmax ); break; case "Method 3": // http://www.amibroker.com/members/library/detail.php?id=924&hilite=RWIHi VarMaxHi = 0; for( i = 5; i <= BarCount - 1; i++ ) { VarMaxHi[ i ] = Max( ( H[ i ] - L[ i - 1 ] ) / ( ( H[ i ] - L[ i ] ) * sqrt( i - 4 ) ), ( H[ i ] - L[ i - 2 ] ) / ( ( H[ i ] - L[ i ] ) * sqrt( i - 3 ) ) ); RWH[ i ] = Max( VarMaxHi[ i ], VarMaxHi[ i - 1 ] ); } break; } Title = "RWH: " + RWH; Plot( RWH, "RWH", ParamColor( "Color", colorCycle ), ParamStyle("Style") ); _SECTION_END(); Any suggestions? Thank you for reading. Appreciate your time!
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