Real-Time Scanning

An end-of-day scan has an easy life. The market is shut, the bars are final, and the answer you get at nine in the evening is the same answer you would have got at midnight. Nothing you were looking at can change while you look at it.

Move the same scan into the trading session and every one of those comforts disappears. The newest bar is still being built. The scan takes time to run, so different symbols are examined at different moments. Your data vendor limits how many symbols it will stream to you and how often it will answer. And by the time a row appears on your screen, the condition that produced it may already have stopped being true.

This part is about running an Analysis window over and over against data that keeps moving — what AmiBroker gives you to do it with, what it costs in threads and milliseconds, what your vendor’s terms allow, and how to write intraday conditions that do not quietly cheat.

✱AmiBroker Professional required

What the three pages do

The first lesson is the mechanics and the arithmetic. AmiBroker’s Analysis window has an Auto repeat Scan/Explore option with an interval field, and that one checkbox is the whole of the built-in repeat mechanism. Everything interesting is downstream of it: how many threads your edition gives you, how long your formula takes per symbol, how many symbols your subscription lets you stream, and what happens when a run takes longer than the interval you set for it.

The second lesson is definitions. “Opening range”, “relative volume” and “the daily trend” are three phrases that sound precise and are not. Written carelessly in AFL, all three read data they could not have had at the time, and the resulting scanner looks extraordinary in testing and does nothing in the session. That lesson writes all three carefully, session-aware, from past bars only, and is explicit about why the intraday versions are far more fragile than their daily equivalents.

The project assembles them into a working scanner, and then spends as much space on what the scanner does not tell you as on how to run it.

What a repeated intraday scan actually involves

1. 1The vendor streams updatesWithin your symbol allowance and your entitlements
2. 2AmiBroker stores them as barsThe newest bar is incomplete and will change again
3. 3The Analysis window runsOne thread per symbol, 2 on Standard, up to 32 on Professional
4. 4Each symbol is examined at its own momentThe result list is a smear across the run, not a snapshot
5. 5Rows appearSortable and readable while the run is still going
6. 6You read oneLater than it was produced, on a bar that has since moved

Six steps, five of which add latency. The lesson quantifies each one.

Doing this part without a data subscription

Every page here is marked as needing the Professional edition and a live feed, because that is what the live version of the work needs. Every page also carries a route that needs neither.

Two things make that possible. The Auto repeat option is not a real-time feature — it re-runs your formula on a timer whether or not anything new has arrived, so the cost arithmetic, the thread behaviour and the run-duration measurements can all be done on a static end-of-day database. And Bar Replay truncates the database at a playback position for the entire program, Analysis included, so a historical session can be walked forward bar by bar while a scan repeats against it. That combination gives you a moving data edge with no subscription, no entitlements and no vendor.

It also gives you something the live version cannot: the ability to run the same formula twice over the same session, once with the future hidden and once with it present, and demand that the two results match. That test is the most valuable thing in this part, and it is only available to you offline.

!Important

A scan that behaves differently under Bar Replay than it does over full history is reading bars it could not have had at the time. The project turns that observation into a procedure you can run on any intraday formula you ever write.

What this part refuses to do

It stops at a list of symbols. There is no order routing here, no automated execution and no bridge to a broker API, and that is a deliberate boundary rather than an omission: the course ends every real-time chain at alert, human review, decision. Part 25 attaches alerts to the work built here; Part 26 puts it under replay for practice.

It also refuses to present the scanner as a finding. The formula in the project produces candidates from a definition that nobody has tested, using thresholds chosen because they are round numbers. That is a normal and useful thing to build. It is not a claim about markets, and the project says so at the beginning and again at the end.

What you need first

Part 19’s intraday database and Part 20’s session and time-zone work are genuine prerequisites — almost every intraday scanning failure traces back to one of them. Part 8 to Part 13 supply the AFL, and Part 12’s exploration material supplies the Filter and AddColumn mechanics used throughout. If TimeFrameSet and the expansion modes are not yet comfortable, revisit Part 14 before the second lesson: the look-ahead argument there is the argument the intraday setup lesson depends on.

Part24 of 36Level5 — Real-Time AmiBroker UserPages3Estimated time2.0 hours

✱3 of 3 pages in this part need the Professional edition or a live data feed, marked below. Every one of them has a Level A path that uses Bar Replay and historical data instead, so the part can be completed in full without a subscription.

0 / 3 lessons in this part completed

• LessonRepeat Scanning: Mechanics and Costs✱ Pro28 min
• LessonDefining Intraday Setup Conditions✱ Pro30 min
• ProjectProject: Intraday Breakout Scanner✱ Pro60 min