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PostPosted: Wed Oct 31, 2007 4:10 am 
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I have a couple of market scanning needs that I am trying to determine if SmartQuant is capable of doing.

1)
Every night I scan for setups in all stocks (NYSE, NASDAQ and AMEX - soon to include other exchanges). I would need to check thousands of stocks every night. I want to save the stocks that meet my criteria into watchlists for the following trading day.

2)
During the market day I go through my watchlists from step 1 and look for intraday setups to occur. There could be over 1000 symbols in my watch lists so I need to be able to 'cycle' through them during the day. Ideally they could be prioritized during the day based on how close they are to setting up. There would be a few stocks that I would want to stream real time data for but many of them only need to be checked on occasion (say every 15 min for some and every 60 minutes for others) When a stock meets the criteria for entry it should be checked against the portfolio and then an entry sent to the exchange.

I am sure I can code the entry/exits rules for each system and also any necessary portfolio checks. Can the 2 types of scanning above be supported in this platform? I get the impression that many users may use a smaller universe of stocks which would make things easier in the software but my systems must be run on the entire market to be effective.


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PostPosted: Wed Oct 31, 2007 12:14 pm 
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Joined: Fri May 06, 2005 1:40 am
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traderj wrote:
I have a couple of market scanning needs that I am trying to determine if SmartQuant is capable of doing.
1)
Every night I scan for setups in all stocks (NYSE, NASDAQ and AMEX - soon to include other exchanges). I would need to check thousands of stocks every night. I want to save the stocks that meet my criteria into watchlists for the following trading day.

I do this (whole EOD market filtering every night - CSI data provider). It is fairly easy to do but I do use QuantDeveloper/DC. You should be able to do the same thing once OpenQuant has research projects however.

I will leave the second part of your question for someone who knows OQ better - i am not sure it can give you the freedom to implement a whole market scanner to setup new portfolios and reset strategies etc. However i do know that the base QD system can easily handle what your asking, as long as your data provider can deliver the data you need to scan.


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PostPosted: Wed Oct 31, 2007 12:50 pm 
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Joined: Tue Aug 05, 2003 3:43 pm
Posts: 6817
You can consider the following scenario:

- add the whole market to strategy instrument list
- create a watchlist of instruments (a hashtable or InstrumentList)
- select stocks to watchlist in OnStrategyStart by reading and filtering historical data base. Use a static flag to run this market scan only once
- check that a stock belongs to this watchlist in OnBar()
- send an order for this stock if entry condition is fulfilled

In principle such setup should work if you run it nightly. If there are some exchange / provider specific issues (for example if your data provider doesn't allow you to subscribe for realtime feed outside market session hours), you can split it into two parts and save instrument list selected in OnStrategyStart in a (text) file to load it to your real time strategy.

Regards,
Anton


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PostPosted: Wed Oct 31, 2007 5:49 pm 
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So you are saying that I could use onStrategyStart to do the filter process? When does this actually execute? I would want it to start at night to process my daily review lists.

It sounds like I can have a strategy run against a whole watchlist. Is this correct? Can I have several watchlists with a different strategy on each (and in some cases multiple strategies for a watch list)?

How can I change the contents of watchlists during the day? Or, alternately, how could I attach a strategy to different watch lists? I will have more symbols then I can watch in real time so I need to be able to prioritize and sort stocks during the day.


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PostPosted: Tue Jan 15, 2008 4:45 am 
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Joined: Wed Jan 02, 2008 1:17 am
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krn_2k wrote:
traderj wrote:
I have a couple of market scanning needs that I am trying to determine if SmartQuant is capable of doing.
1)
Every night I scan for setups in all stocks (NYSE, NASDAQ and AMEX - soon to include other exchanges). I would need to check thousands of stocks every night. I want to save the stocks that meet my criteria into watchlists for the following trading day.

I do this (whole EOD market filtering every night - CSI data provider). It is fairly easy to do but I do use QuantDeveloper/DC. You should be able to do the same thing once OpenQuant has research projects however.

I will leave the second part of your question for someone who knows OQ better - i am not sure it can give you the freedom to implement a whole market scanner to setup new portfolios and reset strategies etc. However i do know that the base QD system can easily handle what your asking, as long as your data provider can deliver the data you need to scan.


Looks like it may not be possible in OpenQuant, i tried downloading just the ticker symbols (5445 symbols ) of NYSE through OpenTick , my computer ran the whole night but still download didn't complete.
Has anybody else tried this ?


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PostPosted: Wed Jan 16, 2008 12:20 pm 
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Joined: Fri May 06, 2005 1:40 am
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a_c wrote:
Looks like it may not be possible in OpenQuant, i tried downloading just the ticker symbols (5445 symbols ) of NYSE through OpenTick , my computer ran the whole night but still download didn't complete.
Has anybody else tried this ?


Thats more of an OpenTick issue not OpenQuants fault I think - Opentick limits connection speed. Recommend you try "best case" by importing them from your hard drive first using a custom import script.


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PostPosted: Mon Dec 22, 2008 8:33 pm 
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Joined: Fri May 06, 2005 1:40 am
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New Market Scanning news: http://www.smartquant.com/forums/viewtopic.php?t=7224


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PostPosted: Fri Oct 16, 2009 3:09 am 
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Joined: Sat Aug 01, 2009 10:37 pm
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Dr. Anton Fokin wrote:
Use a static flag to run this market scan only once


what do you mean by static flag?


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PostPosted: Fri Oct 16, 2009 2:23 pm 
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Joined: Tue Aug 05, 2003 3:43 pm
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For example

Code:
public static bool doScan = true;


Regards,
Anton


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PostPosted: Sat Oct 17, 2009 8:23 pm 
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Joined: Sat Aug 01, 2009 10:37 pm
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hi Anton, what if I wanted to, as an example, every night scan for the 10 stocks with the highest %-range during the previous trading day? What would be the best approach?


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