OmniTrader Forum : Portfolio Simulation Mode : Trade Selection Based on Liquidity

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OmniTrader Upgrade Forums Portfolio Simulation Mode Trade Selection Based on Liquidity		Last Activity 7/31/2024 11:39 AM 3 replies, 1418 viewings

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TonyJ

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Posts: 59

Joined: 12/11/2003
Location: Marietta, GA

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Subject : Trade Selection Based on Liquidity
Posted : 1/5/2018 10:22 AM
Post #43955

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

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Posts: 3022

Joined: 9/21/2006
Location: L'ville, GA

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Subject : RE: Trade Selection Based on Liquidity
Posted : 1/5/2018 11:01 AM
Post #43957 - In reply to #43955

Dynamic Scan

Or maybe OTS - haven't played with it yet.

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Hafnium

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Posts: 74

Joined: 1/1/2004
Location: Fairfax, VA

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Subject : RE: Trade Selection Based on Liquidity
Posted : 1/5/2018 12:19 PM
Post #43959 - In reply to #43955

Definately. ATS (Automatic Trade Selection) can achieve this.

https://videos.nirvanasystems.com/ot2018/171210/video.html

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TonyJ

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Posts: 59

Joined: 12/11/2003
Location: Marietta, GA

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Subject : RE: Trade Selection Based on Liquidity
Posted : 1/5/2018 12:24 PM
Post #43960 - In reply to #43955

Thanks Jim and LD. I'll check it out.

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