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Hello,
Is there a way to filter for stocks that are gapping up (>25% up over previous day's close) at market open and have a low float (< 50M share float)?
Thanks!
Sean
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Louis Szeto
Hi S O'Keeffe
This would have forward bias if applying a filtering function. We can never know the market opening price in prior of subscribing the security's data. One workaround is that subcribe to all the securities that you're interested in monitoring (e.g. Russell 2000 constituents by IWM ETF consitituents). Schedule a scheduled event to store an instance of their previous close price in a dictionary at/after the market closed. Then schedule another scheduled event at the time your algorithm receiving its first data tick/bar of the day (e.g. 09:31:00 for minute data) to check for the current slice's opening prices is >25% of the stored previous close price to do the filtering.
Note that this workaround cannot function well in a huge universe as the filtering speed would be dragged by the number of securities in the universe,
Best
Louis
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
S O'Keeffe
Hi Louis,
OK thank you! Â So it sounds like it will be tricky, but it is technically possible to filter for only stocks that are >25% of the stored previous close price.
And what about the low float part? Â Is it possible to filter for only stocks that are < 50M share float?
Sean
Louis Szeto
Hi S O'Keeffe
Implementation can be similar, but we'll need to consider the higher risk of iliquidity here since it is very likely these stocks will not have a first bar at 09:31
Best
Louis
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Yuri Lopukhov
Unfortunately, share float is not available in fundamentals directly. You can calculate (or estimate it) though, check this discussion:Â
S O'Keeffe
Great thanks so much!
S O'Keeffe
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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