Is there a way to retrieve (parse) custom data just ending day or session from time & sales (ticks) resolution from Metastock Xenith (Reuters Eikon) from it's now opened API (maybe web)...?
I don't want full tick data per symbol, but make a custom database from and compress it for minute,hour or maybe EOD resolution that could handle arrays like this for EOD EOW screener for analysis instead of traditional OHLCVOi:
Header for each security:
EXCHANGE
CURRENCY
GSIC CODE (Industry, Sector, etc)
TICKER
ISIN
Arrays for 1 minute resolution compression from ticks:
TIMESTAMP
LAST float(tick.price)
HIGH float(max(minute(tick.price)))
LOW float(min(minute(tick.price)))
UpTicks integer(count(minute(tick.price >= tick.price[1])))
UTVol integer(count(minute(tick.size(UpTicks))))
UMF float(count(minute(tick.price*tick.size(UpTicks))))
DnTicks integer(count(minute(tick.price =< tick.price[1])))
DTVol integer(count(minute(tick.size(UpTicks))))
DMF float(count(mintue(tick.price*tick.size(DnTicks))))
And some fundamental data like:
PE, PS, PB, EPS, SharesOutstanding, SharesFloat, MarketCap, Debt/Equity, InsiderBuys, InsiderSells.
We do have a Metastock Xenith plugin to get EOD, Intraday and tick data. However, it will get only the last/size fields (and no fundamentals).
For more information please contact support by email.
With last and size for ticks, other calculations could be done on the fly. Do you plan to upgrade the plugin for fundamental data retrieval now that Reuters API is quite open for this...?
In fact, important data to make quite good breath analysis are GSIC codes to asign automatically Industry, Sectors as well as SheresOutstaning and Float quite important.
Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.
0
