A-Share Metaverse Screen Using Opening Price and Order Book Imbalance

Summary

The strategy screens Chinese A-share stocks in the metaverse sector using two conditions: the 9:25 price change is below 6%, and displayed first-level bid volume exceeds ask volume. The article interprets the latter as comparatively stronger buying interest and describes Python-based data retrieval as one way to apply the screen. It also gives a corresponding platform formula, but does not report backtest results or demonstrate that the conditions predict returns.

The author cautions that order book quantities change quickly and data delays can make the comparison inaccurate. Bid and ask sizes may also lose relevance under elevated market risk. The suggested improvement is to combine the screen with other measures of investment value or technical indicators. The document does not define a complete portfolio, entry execution, exit, or position-sizing plan, so the filter alone is not a fully specified trading strategy.

Key ideas

• The screen selects metaverse-sector A-shares whose 9:25 price change is below 6%.
• It requires first-level bid volume to exceed first-level ask volume.
• The article treats bid-ask size imbalance as a possible indication of lower immediate selling pressure, not a guarantee of price gains.
• Order book data can change rapidly or arrive with delays, weakening the reliability of the filter.
• The screen is presented without backtest evidence or complete trade and risk rules.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.