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Dean Gutierrez INVESTOR

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Hi Guys

I'm new to QC. I would like to automate some of my daytrading setups. I have briefly read all the documentation, but did not see any clear discussions on picking a symbol set before the open.

For example if I want create an algo that would do the following:

1. at 9:20AM pre-market, find symbols (equity) that are over $1 and under $10, where the last price at 9:20AM is > 20% from previous days closing price.

2. volume at 9:20AM must be > 200k

3. Get the highest high between yesterday's close and 9:20AM (pre-market high)

4. After the market opens go long on break of PM high.

How would i go about doing that.

Is there a sample algo already written that does something similar to this?

Thanks for any help.

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Dean Gutierrez

Accepted Answer

Update Backtest

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Alexandre Catarino

100.6k ,

Since your algorithm creates an universe of symbols that fall under some criteria, you should start developing a Universe Selection algorithm. In the Coarse Universe, we have price and volume information, the ingredients for your selection. However, since you need the previous close, please save it in a dictionary:

private Dictionary<Symbol, decimal> _prevClose; 



// In Initialize

AddUniverse(coarse => {

    var symbols = (from c in coarse

        where _prevClose.ContainsKey(c.Symbol)

        where c.Price > _prevClose[c.Symbol] * 1.2

        where c.Price > 1

        where c.Price < 10

        where c.DollarVolume > 200000

        orderby c.DollarVolume descending 

        select c.Symbol).Take(50);



    foreach (var c in coarse)

    {

        if (_prevClose.ContainsKey(c.Symbol)

        {

            _prevClose[c.Symbol] = c.Price;

        }

        else

        {

            _prevClose.Add(c.Symbol, c.Price);

        }

    }



    return symbols;

});

After this pre-selection is done, you need to make a History Request to fetch the High for each symbols and continue with your trading logic.

Dean Gutierrez

29 ,

thanks Alexandre, will try it out

Kbsaravana

1.1k ,

Dean Gutierrez , I'm also interested in that pre-market gap analysis, If you dont mind, could you share the code?

Jared Millman

206 ,

Hi, I'd love that code as well. am trying to implement something similar. I have been looking for patterns with a data scientist and wanted to implement some of the strategies. I am looking for gap ups 30% and making a decision on the first three 5 min candles for a trade at 9:45-9:50. I wasn't sure how accurate a program like this would be real time since it would have to calculate gap ups. I assume that would take time and didn't know if there were limits.

I'd love to share work.

Thanks!

Louis Szeto

STAFF ,

Hi Jared

We recommend using self.History method with extended market hour data for additional filtering:

# in a scheduled event at like 0925 of trade day

history = self.History(self.ActiveSecurities.Keys, timedelta(hours=6), Resolution.Minute, extendedMarketHour=True)

if not isinstance(history, pd.DataFrame) or history.empty: return

    # Let’s say we want some range of stocks

    history = history.close.unstack(0)

    range = history.max() - history.min()

    return range[range > your_threshold].index

return []

Best
Louis

Dean Gutierrez INVESTOR

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