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TonyJ
Posts: 59
Joined: 12/11/2003
Location: Marietta, GA
 User Profile |
I am looking to order trades based on their liquidity when running a backtest in the Portfolio Simulation.
I understand that I can create a filter for minimum liquidity requirements but I'd like to order the trades so that the highest liquidity stocks are selected.
Can anyone think of a way to accomplish that?
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Jim Dean
Posts: 3022
Joined: 9/21/2006
Location: L'ville, GA
User Profile |
Dynamic Scan
Or maybe OTS - haven't played with it yet.
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Hafnium
Posts: 74
Joined: 1/1/2004
Location: Fairfax, VA
User Profile |
Definately. ATS (Automatic Trade Selection) can achieve this.
https://videos.nirvanasystems.com/ot2018/171210/video.html
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TonyJ
Posts: 59
Joined: 12/11/2003
Location: Marietta, GA
User Profile |
Thanks Jim and LD. I'll check it out.
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