Automated Market Open Trades: Tradestation?

T

t0yland

Hello Everyone,

I need some help with this so I am going to describe what I have been working on. Using Excel, I have created a strategy which requires buying a stock at the opening price and selling at close.
There are many factors used to determine if I should buy a particular stock; one of which includes what the opening price is.

Basically I need some type of software that can scan a range of stocks, about 1000, the night before(or a minute before open) for certain conditions. At the open of the market I need to scan the stocks that meet the above criteria for there opening price. If there open price falls within a certain range then I would place orders. Does anyone know if Tradestation, or any other software, can do this?

A problem: I have to work in the mornings so this has to be automated. The strategy really doesn't require much watching, just buying at the open if certain criteria are there.

Also another problem: I only want to trade 1 equity per day(note: not one share, just one symbol).. If 10 stocks meet all criteria is it possible to have the software pick one? For instance the equity with the highest average volume?--- Or perhaps the equity with the best backtested stats?


Anyway I have probably confused everyone trying to explain what I want to do..

Thanks in advance for any replies,

David
 
David,

I suggest you look into LOO and MOC orders. That should fit your bill.

nitro
Quote from t0yland:

Hello Everyone,

I need some help with this so I am going to describe what I have been working on. Using Excel, I have created a strategy which requires buying a stock at the opening price and selling at close.
There are many factors used to determine if I should buy a particular stock; one of which includes what the opening price is.

Basically I need some type of software that can scan a range of stocks, about 1000, the night before(or a minute before open) for certain conditions. At the open of the market I need to scan the stocks that meet the above criteria for there opening price. If there open price falls within a certain range then I would place orders. Does anyone know if Tradestation, or any other software, can do this?

A problem: I have to work in the mornings so this has to be automated. The strategy really doesn't require much watching, just buying at the open if certain criteria are there.

Also another problem: I only want to trade 1 equity per day(note: not one share, just one symbol).. If 10 stocks meet all criteria is it possible to have the software pick one? For instance the equity with the highest average volume?--- Or perhaps the equity with the best backtested stats?


Anyway I have probably confused everyone trying to explain what I want to do..

Thanks in advance for any replies,

David
More...
 
Nitro,

Yes, MOC and LOC orders will work for closing the postions. Processing all this information right at opening is the real problem :(

Thanks,

David
 
If you have a broker with an API that you can connect to it with something like Excel then it could be done. Interactive Brokers comes to mind. Unless its changed recently, I don't think TradeStation gives this type of access to their system. Without that, you would need to be able to apply the trading system to a portfolio of stocks and that has always been a limitation of TS. I use TS2000i so I can't speak for what the brokerage product allows you to do now.

I have done something similar to this by scanning for my stock list in Amibroker before the open and then importing the list to Excel for realtime monitoring.
 
WarEagle,

That is an idea. Something like AmiBroker could probably do the type of scan I am looking for the night before. Then I would just have to figure out how to get IB to link to an excel spreadsheet. Anyone know of some documentation on how this could be done?

Thanks,

David
 
Tradestation's RadarScreen can scan like that but you can't trade from it automatically. If you want to trade automatically you have to transfer the issue to a chart with a strategy.
 
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