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N.B. use ASK price only for all data (ie not midpoint/bid)
http://www.nasdaq.com/quotes/nasdaq-100-stocks.aspx
for each Nasdaq 100 stock
- fetch end of day bar for previous 3 days
calculate liquidity for each stock relative to Nasdaq 100 index
for the top 10 Nasdaq stocks by liquidity
- fetch last 3 days 1 min bars
create a map as follows:
- { '2012-12-12 09:30':{ 'APPL' } }
N.B. use ASK price only for all data (ie not midpoint/bid)
Subscribe to 15 second market data for NDX10 (top 10 Nasdaq stocks)
Store NDX10 data in Deque of max 4 slots (one for each 15 seconds)
When new data comes in & deque is full, remove the oldest data & notify subscriber.
New singal every 15 seconds, therefore 4 * 391 signals per day
Use random order placement distributed throughout the day. Max 250 orders per day
Use 30% of current a/c balance
Use Limit (LMT) orders:
Entry: ASK Profit target: ASK + 0.03 Stop loss: ASK - 0.03
Order expires after 65 seconds
Order should be fire & forget, all entry & exit orders are placed at the same time.
Store execution data
Keep track of current profit/loss.
Only take 1 position per strategy; ie if orders are already live, discard current position/signal .