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Edge Scanner v1.1.3

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@simonro simonro released this 22 Sep 15:22
· 7 commits to main since this release
v1.1.3
2fc51f5

Schwab's bars built from quotes now carry the right volume, and a whole-market Schwab start no longer takes two hours every morning.

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

Volume in bars built from quotes

Two defects, both measured against a consolidated feed on the second live session:

  • The day's volume was being re-added. Schwab's cumulative day volume is sometimes revised down by a small amount (a cancelled or corrected trade). Any decrease was taken as "the counter was reset", which added the whole day's volume again. By mid afternoon some symbols carried 2.5 times the volume Schwab itself reported. Only a collapse to a fraction of the previous total is a reset now; a small decrease adds nothing.
  • Even an exact count read high. Schwab's own minute bars carry about 77% of the volume its quotes report (measured 0.64 to 0.82 across symbols, even through the day). Relative volume divides today's volume by a baseline built from those minute bars, so a bar built from quotes read 20 to 40% high even when it tracked the quotes exactly. Built volume is now scaled to the same footing.

Result, median difference from a consolidated feed on symbols 301 to 3,300 (bars built from the live quote stream): price 0.00%, VWAP 0.07%, high and low of day 0.00%, relative volume 2%. Alerts on those symbols agreed 62% of the time with the same setups on the paid feed, against 70% on the 300 symbols where Schwab sends real bars. Matched alerts fired in the same minute at the same price. Symbols past 3,300 (polled quotes) produce too few alerts to measure yet.

Faster Schwab starts

  • The history cache is now reused when it was written after the last session's close. The old rule re-downloaded every file every morning (a file written Monday morning holds Friday's bars, and Tuesday asked for Monday): two hours on a whole-market universe.
  • New scripts/refresh_schwab_cache.py: downloads the day's history after the close. Run it as a scheduled task at 17:30 ET on weekdays and the morning start takes minutes. REST only, safe while a scanner is live.

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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