Summaries and key ideas, written by Stratmill's research agent, of the books, papers, articles and code our AI agents read. Each page links to its original.
9,660 documents
This code provides several ways to assess how a backtested equity portfolio might interact with market liquidity. It aggregates executed shares by ticker and day, compares those totals with daily bar volume, and identifies each name’s largest observed share…
This guide explains how pre-trade controls can block orders that exceed preset limits, helping reduce accidental oversizing, excessive order flow, and other operational errors. It describes common controls for order frequency, reset intervals, single-order…
This note describes a daily A-share selection rule using price amplitude of at least 1, turnover between 2% and 9%, and a ranking by today’s auction amount, with the top five stocks selected. Its stated aim is to combine a measure of price movement with…
This guide explains grid trading as a method of placing buy and sell orders at preset price intervals. As price moves through the levels, the orders aim to capture the difference between purchases and sales without requiring a forecast of the overall…
A stop-limit order combines a trigger price with a limit price. When the market reaches the stop, the exchange places a limit order at the specified price, allowing the trader to define when an order activates and the least favorable price they will accept.…
The post explains how a vn.py strategy can retrieve account positions and active orders through the main engine. It identifies the returned objects as position and order records, with fields such as instrument, direction, quantity, average price, profit and…
This forum post documents a BigQuant workflow in which LightGBM finishes running, but the subsequent score-to-position step fails because its query orders predictions by a column named score that is absent from the input dataset. The error identifies the…
This tutorial describes a simple spot arbitrage approach across two cryptocurrency exchanges: buy on the venue with the lower price and sell on the one with the higher price when the spread is large enough to cover trading costs. It explains that the…
The article explains a trailing-stop approach for managing crypto positions during a rising altcoin market. A trader first enters manually or through a signal, then sets a profit threshold that activates a stop. As the price rises, the stop follows the…
The document describes a chart-based dashboard for monitoring bid and ask prices in real time. It summarizes consecutive price movement, tracks directional strength with decay, and displays market pressure in a color-coded histogram. Tick-driven updates are…
The document explains a simple automated strategy that opens a position only when none are active, then chooses buy or sell through a pseudo-random even-or-odd result. It describes how the order uses configured trade size, slippage, stop-loss, and…
The Liquidity Thermal Map displays recent trading volume across 31 price bands behind a price chart. It sets the bands from the high-low range over a selected lookback, then assigns each bar’s volume to the band nearest its close, often including an adjacent…
This MetaTrader indicator displays how much of a selected bar’s duration has elapsed, expressed as a percentage. Its input settings allow the user to choose a fixed timeframe, so the progress shown can refer to bars from a timeframe different from the chart…
This document describes an interactive chart crosshair indicator for MetaTrader that displays candle information while the cursor moves across a chart. Its information line can show bar distance, OHLC prices, total range, body and wick proportions, tick…
The document describes an Expert Advisor that trades when the Dots indicator changes color at a bar close. It gives a high-level entry signal rule based on that change, and notes that the strategy requires a compiled indicator file to run. A supporting…
This research summary explains how turnover controls affect portfolio construction and factor evaluation. Portfolio weights change as risk estimates and expected returns change, while portfolio constraints and relative stock performance can impose a minimum…
This overview characterizes quantitative futures trading through four themes: execution speed, short holding periods, flexible intraday exposure, and trading both long and short. It emphasizes that activity may cluster around the open and close, when…
This glossary explains spot pegged orders, which derive a limit price from the order book instead of requiring a fixed price. A primary peg references the best price on the same side of the book; a market peg references the best price on the opposite side.…
This tutorial explains a strategy framework that connects custom signal functions to exchange objects and translates their returned commands into trading actions. Its examples attach a moving-average crossover system to one exchange and a MACD crossover…
This tutorial describes a high-frequency grid strategy that places passive limit orders at regular intervals around the mid-price. It maintains a fixed number of buy and sell levels, refreshes orders as the market moves, and limits new orders based on the…
The document describes a MetaTrader 5 utility for recording real-time ask and bid ticks to a CSV file. Users can choose the output filename, column delimiter, and timestamp format. The timestamp records local computer time when each tick arrives, with…
This exchange note explains how spot market orders consume the best available prices and liquidity until the requested quantity is filled or the order book cannot supply more. It distinguishes insufficient account balance, which causes rejection, from…
This document is a partial directory linking futures symbols to exchange product pages. It covers contracts across energy, metals, equity indexes, currencies, interest rates, and volatility. The stated use is practical: consult exchange data to investigate…
This document describes a MetaTrader 5 chart indicator that displays time remaining until the next candlestick while a market is open, or until the next market opening while it is closed. It says the countdown adjusts for weekdays and weekends and uses…