Combining Next-Day Strategy Signals with Intraday QMT Execution

Summary

This article outlines a workflow for adding intraday monitoring and automated execution to a BigQuant equity strategy. Its premise is that factor calculations may produce a next-day trading plan only after the market closes, leaving no mechanism to react to price changes during the session. The proposed setup reads a strategy’s simulated signals locally, obtains programmatic trading access through a broker, and uses QMT’s live data and order interfaces.

The execution layer monitors tick data for the signal stocks and applies rules such as selling after a limit-up price breaks, reacting as a stock nears its limit-down price, or checking whether an opening move continues upward. It then submits orders through the brokerage interface. The document gives implementation steps and examples of possible triggers, but no code, backtest, live performance record, or risk controls. Its claims should therefore be read as a system design proposal; broker access and data availability are prerequisites, and the triggers themselves require independent evaluation.

Key ideas

• A BigQuant strategy’s simulated signals can serve as inputs to a separate intraday execution process.
• The proposed workflow combines strategy signals, live market data, and a broker’s QMT interface.
• Tick data can be monitored for selected stocks to evaluate intraday buy or sell conditions.
• Example triggers include a limit-up break, proximity to limit-down, and continued movement after the open.
• The article gives no performance evidence or detailed safeguards for automated orders.

Tags

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