Every day scan S&P 500 portfolio with following criteria to prepare for the potential stocks to trade
Previous day volume by $ greater than USD 100 million
Previous day volatility less than 1
Volatility = ((high-low)*100)/((high+low)/2)
Observe the first 15 minutes candlestick for the qualified stocks from above stock selection criteria and
If condition [[ First candle close(15 min) > previous day high
and First candle close > (high+low)/2
and high*0.99 < low ]] is met
Put Order as below
Stock - qualified stock
Buy price = first candle high * 1.001
Quantity = floor($10000/bid) #fixed amount for now!.
IF order placed then Sell at price = buy price *1.015 or first candle low*0.9995 or end of the day
(whichever is earlier)
Profit = (sell price - buy price)*quantity-2.5
This is to get started so I can start buildilng stuff around it. Ultimately I intend to execute couple of similar algos on interactive brokers.
Will greatly appreciate your help!.