Question on limit buys - Trading Software

Question on limit buys

suresh
2010-08-30 22:50:49

I am trying to work on a trading system, that buys stock at a limit price. However, this requires that I have about 1000 limit orders daily and only want to execute 20 of them.

Instead of generating 1000 limit orders, I want to reduce the potential candidates to say 100 using a rule. For example, find the top 100 stocks (on a given bar) with highest ATR/close value.

With this filter, on a daily basis, I will have to work with 100 limit orders rather than 1000.

I am unable to use the ranking feature since, even if the ranking is low, it will be purchased if it meets the criterion. On days, when the top ranked stocks dont meet the criterion, I would rather not enter the position.

QuantShare
2010-08-31 09:45:07

Best Answer

Hi,

I suggest you use the composite function.

Here is a rule example:
buy = Comp(close, "rank")

suresh
2010-08-31 10:27:35

This works great. WOW.

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