Stock Screening with Turnover, Auction Price, and Large Buy Orders

Summary

This Chinese stock-selection proposal screens for turnover between the stated bounds and greater displayed buying volume than selling volume at the best quote. It then looks for a positive price change during the auction and aggregate buying by large and extra-large orders above the stated threshold. The intended rationale is to combine liquidity, order-book imbalance, positive sentiment, and substantial buy activity.

The article provides an illustrative data retrieval and filtering example, but it does not report a backtest, measured returns, or evidence that the conditions forecast performance. It notes that the screen omits company fundamentals and broader market direction, and that market volatility can undermine selection decisions. The sample code uses historical and tick data and includes a price-limit check, but its implementation and units are not fully explained and do not transparently correspond to every condition in the written rule. The proposal is therefore a screening concept rather than a validated trading system; its auction and order-flow fields would need careful definition and testing.

Key ideas

• The proposed screen combines a bounded turnover range with best-quote buying volume greater than selling volume.
• It adds a positive auction price change and a minimum aggregate volume from large buy orders.
• The article supplies example data-handling code but no performance evaluation.
• Fundamental risk and broad market conditions are identified as omitted factors.
• The example’s field definitions and units need verification before implementation.

Tags

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