This is a "Relative Volume At Time" equity scanner with a terminal UI. It uses rust for speed in an attempt to cover the entirety of publicly traded US stocks as fast as possible.
It uses alpaca.markets as the data provider. A premium data account is required.
Therefore please set the following environment variables:
export APCA_API_KEY_ID='YOURKEYID'
export APCA_API_SECRET_KEY='YOURSECRET'
It requires a JSON cache of the 1 minute bars for the last 21 days for all US
stocks in the cache folder.
To load the cache run
node build_cache.js
The program has no dependencies so no npm installation is needed.
The cache must be rebuilt every morning. Running the rvat shell script to
start the program will automatically update the cache and then start the
scanner.
To build the rust client run
cargo run
The rust client loads alpaca.markets API keys from the runtime environment.
Open Issues:
- If the timezone has changed in UTC but not in the America/New_York timezone then the scanner will run comparing to relative volumes for a day that hasn't happened yet. If your numbers are funky and it's after 7pm in the America/New_York tz that is why.
- Make build_cache.js delete cache entries older than X days.
- Commafy big numbers
Questions: . Can we make this faster by loading the latest daily bar instead of summing the 1min bars? No. Daily bar prints at 9:30am. A large component of the scanner is watching for premarket volume. The only way to see premarket volume with Alpaca.markets is asking for the 1minute bars since 4:00am in America/New_York tz and summing the volume in each bar.
Concurrency:
Set the THREADS global on src/main.rs:30 for the number of threads to scan
the market with. Current default is 5, this can make a pass of the entire US
market in ~3 minutes, depending on your latency. You can push the program faster
but I find 5 has satisfactory performance.
Excluding Exchange Traded Funds:
The repo contains a json list of tickers to ignore. This is prepopulated with tickers for most ETFs and unmerged SPACs. Remove or add to the list at your conveniance.