Screening Stocks by Turnover and Bid-Ask Queue Imbalance

Summary

This proposed stock screen combines two turnover-rate constraints with an order-book condition: turnover must be between 3% and 12%, and the first bid queue must exceed the first ask queue. The article repeats a second turnover range of 2% to 9%, so applying both stated conditions leaves an effective intersection of 3% to 9%. It provides formula and Python references intended to retrieve market, turnover, and bid-ask data, although the code and field handling are not independently validated in the post.

The author describes the screen as emphasizing liquidity and short-term demand, but supplies no backtest, performance figures, or evidence that it improves returns. The post notes that restrictive conditions can reduce the opportunity set and miss stocks, and recommends adding fundamental or volatility-related filters. A further practical limitation is that displayed queue sizes can change quickly; the article does not explain timing, data quality, or execution assumptions for using the snapshot as a signal.

Key ideas

• The screen requires turnover between 3% and 12% and a larger first bid queue than first ask queue.
• A second turnover condition of 2% to 9% narrows the combined range to 3% to 9%.
• The post includes code references but does not validate their data handling.
• No backtest or return evidence is presented.
• The article warns that restrictive filters can omit opportunities and suggests additional screening factors.

Tags

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