This example has a lot of scripts that generate common statistical indicators used in algorithmic trading. I use the schwab-client-js library to fetch historical data so that the indicators can be generated. There is also a script to generate a current list of Schwab-recognized stock symbols that you can then use to make trading decisions.
Software prerequisites: nodejs version 18 or newer and a node package manager like yarn or npm
npm install
or
yarn
You'll need to create the .env file as described in the schwab-client-js instructions.
yarn dev
or
npm run dev
The following indicators can be generated. The symbol is a string containing the stock symbol in all uppercase. The period is a positive integer representing the number of days for the calculation.
Some of these functions return single numbers and some return arrays.
Note that StockList() generates a large array of objects where each object is a symbol and lots of data points that you can use.
| File | Parameters | Description |
|---|---|---|
| stocklist.js | StockList() |
Retrieves a list of all stock symbols (configurable), removes the symbols that Schwab does not recognize, and returns the list with a large set of useful data points for each symbol. For more info, see below |
| ad.js | calulateAD(symbol, period) |
Computes the Accumulation/Distribution Line (AD) to measure buying/selling pressure. |
| atr.js | calculateATR(symbol, period) |
Calculates the Average True Range (ATR) to measure market volatility over a specified period. |
| cross.js | detectCross(symbol) |
Detects crossovers between two data series. Determines whether "Golden Cross", "Death Cross", or Neither occur. |
| obv.js | calculateOBV(symbol, period) |
Computes the On-Balance Volume (OBV) to track volume flow based on price direction. |
| sma.js | calculateSMA(symbol, period) |
Calculates the Simple Moving Average (SMA). |
| ema.js | calculateEMA(symbol, period) |
Calculates the Exponential Moving Average (EMA) for emphasizing recent price movements. |
| adx.js | calculateADX(symbol, period) |
Calculates the Average Directional Index (ADX) to measure trend strength. |
| cci.js | calculateCCI(symbol, period) |
Computes the Commodity Channel Index (CCI) to identify overbought or oversold conditions. |
| macd.js | calculateMACD(symbol) |
Calculates the Moving Average Convergence Divergence (MACD) to identify momentum and trends. |
| rsi.js | calculateRSI(symbol, period) |
Computes the Relative Strength Index (RSI) to measure price momentum and identify extremes. |
stocklist.js generates a giant list of stock symbols with accompanying statistical data. To use it, you need to get a free account at Alpaca. [Note: only StockList() requires an Alpaca account. All other functions just use the Schwab API only] Add your Alpaca keys to the usual .env file:
APCA_API_KEY_ID=PKOXXXXXX93JL
APCA_API_SECRET_KEY=78OtXXXXXXYTYReJd
SCHWAB_APP_KEY=t9yFXXXXXXXXM7tMghA
SCHWAB_SECRET=Cf9aXXXXXXXXXXXXXnkDu
SCHWAB_REFRESH_TOKEN=fEug3XZXZXZXZXZXZXXZL5uUNZ6JBeKCRsqLA@
Here's what stocklist.js does:
- I get a giant list of ticker symbols (combined AMEX ARCA BATS NYSE NASDAQ NYSEARCA OTC exchanges). It's about 38,000 symbols including OTC stocks, and about 13,800 without OTC stocks. The call I use to fetch the stock symbols is documented here
- I take all the stock symbols from the returned list and I feed them to the Schwab quotes() API call. The quotes() API flags any symbol it cannot trade with. I remove those symbols.
- Now we have a large list of symbols with data that Schwab can trade.
- I filter by upper and lower price bounds (user definable) on the last closing price. For example, you might only want to include stocks costing less than $10 but more than $1.
- I filter by Volume (user definable). You can ensure that only stocks that have a trading volume of at least nnnnnn are included
- You can define a blacklist of symbols that you don't want to include for some reason.
- The result is a giant array of analytic data (from the last closing day) for each ticker symbol.
- It can take anywhere from 8-40 seconds to run
StockList()
There is a file named stock_config that is in dotenv() format. I use
it to filter the results so you only get stocks that fit the criteria
you define.
# Do not include stocks with a closing price greater than PRICE_UPPER
PRICE_UPPER=10
# Do not include stocks with a closing price less than PRICE_LOWER
PRICE_LOWER=.50
# Do not include stocks with a total volume on last market day of less than VOLUME_LOWER
VOLUME_LOWER=0
# Do not include stocks on the BLACKLIST
BLACKLIST=AMZN,AMD,TSLA
# Include trades of OTC stocks -- NOTE: Schwab charges $6.95 per trade for OTC stocks
INCLUDE_OTC=false
There is some info in the Alpaca data that I am ignoring but which you might choose to use. For each symbol, you get:
{
"id": "03fb07bb-5db1-4077-8dea-5d711b272625",
"class": "us_equity",
"exchange": "NASDAQ",
"symbol": "AMD",
"name": "Advanced Micro Devices, Inc. Common Stock",
"status": "active",
"tradable": true,
"marginable": true,
"maintenance_margin_requirement": 30,
"margin_requirement_long": "30",
"margin_requirement_short": "30",
"shortable": true,
"easy_to_borrow": true,
"fractionable": true,
"attributes": [
"fractional_eh_enabled",
"has_options"
]
}
I'm only using the "symbol" from each entry. You could refer back to the information if you want.
In the final array, each symbol has this information with it:
{
"assetMainType": "EQUITY",
"assetSubType": "COE",
"quoteType": "NBBO",
"realtime": true,
"ssid": 1449199007,
"symbol": "AMD",
"extended": {
"askPrice": 0,
"askSize": 0,
"bidPrice": 0,
"bidSize": 0,
"lastPrice": 119.57,
"lastSize": 1,
"mark": 0,
"quoteTime": 1736499600000,
"totalVolume": 0,
"tradeTime": 1736499595000
},
"fundamental": {
"avg10DaysVolume": 34860299,
"avg1YearVolume": 52675474,
"divAmount": 0,
"divFreq": 0,
"divPayAmount": 0,
"divYield": 0,
"eps": 0.52912,
"fundLeverageFactor": 0,
"lastEarningsDate": "2024-10-29T04:00:00Z",
"peRatio": 107.99408
},
"quote": {
"52WeekHigh": 227.3,
"52WeekLow": 114.4501,
"askMICId": "XNAS",
"askPrice": 115.6,
"askSize": 1,
"askTime": 1736557198826,
"bidMICId": "MEMX",
"bidPrice": 115.59,
"bidSize": 1,
"bidTime": 1736557198797,
"closePrice": 121.84,
"highPrice": 118.71,
"lastMICId": "XADF",
"lastPrice": 115.6,
"lastSize": 1,
"lowPrice": 114.4501,
"mark": 115.6,
"markChange": -6.24,
"markPercentChange": -5.12147078,
"netChange": -6.24,
"netPercentChange": -5.12147078,
"openPrice": 118.18,
"postMarketChange": -0.44,
"postMarketPercentChange": -0.37917959,
"quoteTime": 1736557198826,
"securityStatus": "Normal",
"totalVolume": 59415614,
"tradeTime": 1736557199347
},
"reference": {
"cusip": "007903107",
"description": "Advanced Micro Devic",
"exchange": "Q",
"exchangeName": "NASDAQ",
"isHardToBorrow": false,
"isShortable": true,
"htbRate": 0
},
"regular": {
"regularMarketLastPrice": 116.04,
"regularMarketLastSize": 600,
"regularMarketNetChange": -5.8,
"regularMarketPercentChange": -4.76034143,
"regularMarketTradeTime": 1736542800285
}
}
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