S&P 500 3-Day Advance Issues Data Generation

To create the 3-day advance issues breadth data in NeoTicker, all you need to do is setup the definition in NeoBreadth once. Then the data collection process will be done by NeoTicker automatically.

Here is a screenshot how the definition should look like,


I have chosen to use 12 seconds as the update frequency. The reason is that my trading systems and signals based on SP_D3A are all longer term time frames, starting from 10-min bars and up. Thus, there is no reason to stress out my computer unnecessarily.

In the real-time formula, one interesting thing I have done is to use M390:6 as the underlying data series. Notice that I track multiple advance issues definitions. In fact, I track 1-day advance issues all the way to 5-day advance issues. By using this particular data series of 390-min bar with 6 days of data, I need only one single data series to generate breadth data across all the advance issues variations.

Now, we can take a look at the historical formula, a tool that we can use to generate historical data values for the breadth data, or, sometimes, when we failed to collect the data real-time, as a repair mechanism to recover our breadth data.


The historical data formula is completely different from the real-time one. Surprise? For historical data generation, we need something that works. Speed is important, but not as critical as the real-time one.

On the other hand, the real-time formula is optimized for real-time performance – from saving unnecessary memory usage, to reduced CPU load on the computer. Afterall, we are calculating the same real-time formula across a thousand symbols at a time. Every reduction in the calculation cost is better.

That’s all you need to collect the 3-day advance issues.

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