Fetching an economic data release number from a website

rmssf
06 Sep 2016, 23:44

RE:

Hi,

My advise: just forget it.

If your plan is to place a trade immediately before the market starts to move, by the time you get the data that you need to make a decision, the opportunity is already gone.

Rui

Stokes Bay Trading said:

Is it possible to create an algo which reads a webpage (http://www.investing.com/economic-calendar/) and extracts a data release (e,g, non-farm payroll) and places a trade based on a logic formula preset into the algo.

The issues are:

1. fetching/reading the data the instant it is released - somehow reading the webpage continuously to do this. Of course this would only need to be done for seconds around the release time

2. having a template to accomodate logic which could be used for each release. Basically I would mentally calculate and enter a pip value for a range of possible values before the data release and the algo would enter a buy/sell limit or market order based on where price traded immediately prior to the release, the data number and my pip value entered pre-release.

Investing.com and other calendars are quick enough to do what I want. I do not need a Bloomberg, even if i could afford it.

I do not want to use a database of any kind due to speed. Since the release is just one number (potentially 2 on some releases) I would think the data does not need to use a database?

I am a forex trader and in no way a coder. Your thoughts would be very welcome.

Stokes Bay
07 Sep 2016, 00:30

No, it's not. I appreciate the speed the market moves on the release. All I need to do is place a trade on me receiving the release. This may be 1-2 seconds post the fastest algo out there but I am not looking to profit from the first couple of seconds but from the next 30 minutes. Clearly the earlier I get in the better but I still perceive opportunity post a few seconds.

rmssf
07 Sep 2016, 01:49

RE:

Stokes Bay Trading said:

No, it's not. I appreciate the speed the market moves on the release. All I need to do is place a trade on me receiving the release. This may be 1-2 seconds post the fastest algo out there but I am not looking to profit from the first couple of seconds but from the next 30 minutes. Clearly the earlier I get in the better but I still perceive opportunity post a few seconds.

Then just putting a stop order may save you the time.

Rui

rmssf
07 Sep 2016, 03:13

This is how I see things happening at the time of news releases:

During the 1st second after the release, you see an immediate first reaction (can be strong, weak, or none) caused by simple algorithms reacting to the same numbers that you are talking about.

After the 1st second, the market starts to react to other factors, like strong support/resistance levels from long term traders, press releases and additional data or observations that usually accompanies the same release which are not shown in those sites that you refer, that need to be read and interpreted by a human (and they do it very fast). Any of these factors can make the market start to move again further in the same direction or make it retract to the opposite direction.

That's why in my opinion the data published from economic releases in such sites are useless for short time algorithmic trading.

One more thing: getting the data from such sites is not reliable. They are randomly delayed and sometimes they can even show wrong data (Few weaks ago fxstreet published a negative number when it was positive, like -52 instead of 52).

Rui

Stokes Bay
07 Sep 2016, 11:28

Thanks, Rui.

I would be very interested if anyone has any comments on the technical side of this as opposed to the economics.

rmssf
07 Sep 2016, 12:46

Technically, it's doable.

And without violating any site's terms of use, Fxstreet has an API - http://api.fxstreet.com that is the source of their own calendar and of myfxbook.

I believe it's not a free service though, and because of what I said above, I've never bothered.

But convince me that it can be profitable in any way and more efficient and faster than an algorithm based on price action, and I'll just gladly code everything for you and for free. :)

Rui

Stokes Bay
07 Sep 2016, 14:11

Just look at how USD traded post the ISM non-man PMI release. Initial move was < 1 second post release then over the next hour it weakened further until coming into 'fair value' area where most market participants were in balance.

Some traders trade milliseconds off the release but others traded slower (maybe they even had a meeting!) but still perceived there was value trading up to an hour later. Obviously varies each time/release.

afhacker
07 Sep 2016, 15:37

You can use ForexFactory weekly XML:

http://www.forexfactory.com/ffcal_week_this.xml

It's better option than reading a web page.

Stokes Bay
07 Sep 2016, 15:47

RE:

afhacker said:

You can use ForexFactory weekly XML:

http://www.forexfactory.com/ffcal_week_this.xml

It's better option than reading a web page.

Thanks but the XML is only the calendar, it does not include actual release data.