forked from animatedread/Warrior_EA
3abb2b1a7f
Option open interest is a snapshot source - no free history exists anywhere -
so the series only accrues from the day recording starts. That is why this
ships BEFORE the redeploy: every day the EA is not running is a day of history
that cannot be recovered later.
Records one row per weekday after 21:00 UTC to gex_{CANONICAL}.csv: net/call/put
dollar GEX per 1% move, call and put OI, the three nearest expiries and the
front expiry code. Feeds NOTHING - wiring a feature that is missing across ~100%
of the training sample would waste input width and hand batch-norm a constant.
It becomes a screening candidate at ~250 rows, gated like every other feature.
Thesis: dealer gamma is a RANGE mechanism (long gamma -> hedging sells rallies
and buys dips, range compresses; short gamma amplifies both ways), and range is
this project's one proven channel.
Verified in situ against the live SPX chain before writing any MQL5: 29,362
contracts, 20,993 with nonzero gamma, 54 expiries, total +90.7 Bn/1% (calls
+305.7, puts -215.0), and 100% of net GEX inside 5% of spot. The CDN publishes
per-contract gamma directly, so no pricing model - and no model risk - enters
the recorded data. Also verified the CDN does NOT gate on User-Agent (the old
"CBOE is UA-gated" note in DESIGN.md was a different CBOE path), so plain
WebRequest reaches it.
Dropped a zero-gamma "flip level" field: the probe returned a crossing above
spot while total GEX was strongly positive, which is incoherent - a static
gamma snapshot cannot give a flip level without repricing. Recording a
plausible-looking wrong number is worse than recording nothing.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
59 lines
2.5 KiB
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59 lines
2.5 KiB
Text
WARRIOR EA - URLs TO WHITELIST FOR ALTERNATIVE DATA
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===================================================
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The EA downloads its own alternative-data history (COT positioning, VIX / dollar
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index, EIA petroleum) and keeps it updated while it runs. MetaTrader blocks all
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outbound HTTP until you list the hosts explicitly.
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WHERE
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-----
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MT5 menu: Tools > Options > Expert Advisors
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Tick: "Allow WebRequest for listed URL"
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Then add each line below as its OWN entry.
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THE URLS (copy-paste one per line)
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----------------------------------
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https://publicreporting.cftc.gov
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https://api.stlouisfed.org
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https://api.eia.gov
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https://cdn.cboe.com
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WHAT EACH ONE IS FOR
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--------------------
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https://publicreporting.cftc.gov
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CFTC Commitments of Traders (weekly positioning). No API key needed.
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Feeds: cot_spec_net, cot_idx_1y, cot_idx_3y, cot_chg_4w.
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https://api.stlouisfed.org
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FRED (Federal Reserve Bank of St. Louis). Needs the FredApiKey input.
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Feeds: vix, vix_chg5 (VIXCLS) and usd_chg5 (DTWEXBGS broad dollar index).
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https://api.eia.gov
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U.S. Energy Information Administration, Weekly Petroleum Status Report.
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Needs the EiaApiKey input.
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Feeds: eia_stk_idx1y, eia_stk_chg4, eia_util.
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https://cdn.cboe.com
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CBOE delayed option quotes - open interest and gamma per contract.
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No API key needed.
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Feeds: NOTHING YET. This is a forward RECORDER: it appends one row a day
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to gex_{SYMBOL}.csv because no free history of option open interest
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exists anywhere. It becomes a feature only once the file is long enough
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to screen (roughly a year). Every day the EA is not running is a day of
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that history you cannot get back later.
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Recorded once per weekday after 21:00 UTC. The SPX chain is ~13 MB, so
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this is the one large download the EA makes - once a day.
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NOTES
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-----
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* Takes effect IMMEDIATELY. A running EA picks the whitelist up on its next
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hourly retry - you do not need to remove and re-attach it.
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* If a URL is missing the EA prints error 4014, raises ONE alert, and writes
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these same copy-paste lines into the Experts log, then retries hourly.
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* Until then the EA runs normally on whatever it has already cached - features
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stay valid but stop updating past their last downloaded date.
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* Enter the HOST only, exactly as written above. Do not add paths, query
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strings or trailing slashes.
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* The Strategy Tester cannot make web requests at all (platform rule). Tester
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runs read the cached files, which is what makes them reproducible.
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* Keys live in the FredApiKey / EiaApiKey inputs - see docs/API_KEYS.txt.
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