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HFT for Momentum stocks / Gap and Go strategy between market open and 11am est.

I would like to perform a premarket search of all stocks where.... 

 

the float is less than 40,000,000

the stock has news

the price is between 2 and 8 dollars

the premarket volume is between 50,000 and 1,750,000

the premarket gap is a minimum of 15% 

 

after the stocks are found, i would like to search the daily chart for each of these to check where yesterdays close > 50 ema, and 50ema > 200ema

 

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next i would like to understand how to ONLY take a trade if the price (during market hours) passes the premarket high

 

if i am in the trade, set me stop loss at the lesser of (price - 10 cents) or the low of the previous 5 minute candle.

 

profit target is set to a minimum of 2/1

 

if the first profit target is hit, scalp the trade by selling 50% at the 2/1 profit target, and update the stop loss to the average purchase price.

 

next profit target is 4 cents (scalp another 50%)

update stop loss to the first profit target

 

next profit target is 3 cents (scalp another 50%)

update stop loss to the 2nd profit target.

 

from here each 3 cents scalp 20% more until less than 10 remains in position size.

 

 

 

is QuantConnect capable of doing this? where can i learn how to do this?

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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.


Hi Charles,

QuantConnect has tools to help with almost all of the of the different criteria you've outlined above. There is no direct method to access float information, but float can be approximated by subtracting restricted common stock from basic average shares, both of which are part of the fundamentals data library. Equity data and TradeBars are tools that enable users to access OHLCV information and more using a wide range of data-frequency resolutions, including tick-level data, which will allow you to examine pre-market volume, price ranges, and price gaps. This data can be combined with different indicators to enable you to compare price/indicator relationships such as close > 50 ema, and 50ema > 200ema.

We support a wide range of trading and order methods that can be called to place, modify, examine, or cancel orders using customized conditions. We currently support Market, Market On Open, Market On Close, Stop Market, Limit, and Stop Limit orders, and we are in the process of adding Trailing Stop Loss.

I encourage you to read the Algorithm Reference documentation and to complete the Boot Camp courses to familiarize yourself with our API.

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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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0

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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