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Edge Scanner v1.1.2

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@simonro simonro released this 21 Sep 15:14
· 8 commits to main since this release
v1.1.2
802201e

One fix that matters to everyone, on any data provider: restarting the scanner after the open no longer floods you with false "new high of day" alerts.

Not financial advice. The sample setups are starting points, not a strategy.

Fix: a start after the open left the candle rings empty

At startup the scanner replays today's bars so a late start has the right VWAP, volume and levels. It replayed them into each symbol's state but not into its candle rings, which hold the day's high and low, the opening-range candle and today's candles for every composed trigger. So after a restart during the session:

  • every new local high counted as a new high of day (and the same for lows) for the rest of the session;
  • the opening range did not exist, so opening-range alerts could not fire.

Measured side by side: a scanner restarted at 09:46 fired 683 New HOD / New LOD alerts in half an hour against 241 on one that had run since before the open, while both reported the same high of day. With the fix, the two agreed on 27 of 27 of those alerts.

Startup now replays today's bars into the candle rings too, in the same order as live.

Schwab: a start after the open

  • Symbols caught up from quotes give the candle rings the day's high and low only. The catch-up bar holds the whole session's volume, and as a candle it read as a 10x to 25x volume spike when its first 5-minute candle closed.
  • scripts/compare_live_feeds.py --since HH:MM compares only alerts from after a restart.

Agreement with Alpaca, measured on the first full morning

Same universe (6,450 symbols), same setups. Median difference, Schwab against Alpaca:

Symbols (most liquid first) Price VWAP High / low of day Relative volume
1 to 300, real bars 0.00% 0.02% 0.00% 0.5%
301 to 3,300, built from streamed quotes 0.00% 0.13% 0.00% reads high after a mid-session start
3,301 and up, built from polled quotes 0.00% 0.28% 0.00% reads high after a mid-session start

Alerts on the real-bar tier agreed 81% of the time (same symbol, setup and direction within three minutes), with matched alerts at the same minute and the same price. New HOD, New LOD and 60-day high/low agreed fully. Alert agreement on the two quote-built tiers has not been measured on a clean start before the open yet; on a mid-session start their relative volume includes premarket volume, so volume-gated setups differ there.

Update

git pull
pip install -r requirements.txt
npm --prefix dashboard-v2 install
npm --prefix dashboard-v2 run build

Your .env and everything in data/ are untouched.

Assets 3
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