I have a question that was on my mind for a long time - is it possible to build a customized screener of the entire US stock market (at least for the backtest).
The Need and the existing problem:
My strategy is based on first screening stocks in live mode using Trade Ideas (TI) and then importing (loading) this list to my NT 7 based strategy for further execution (intraday trading).
Now, the list of traded stock symbols changes on a daily basis.
For me now. to perform a backtest I have to manually save the list of the stocks traded on each day (that I export from Trade Ideas). This process is very ineffective and time consuming.
Possible solution - building customized screener in NT 8.
Instead of using TI, why not to build a customized stock screener that would screen all the US stocks each day based on the same criteria I use in TI. Even if I am able to pull this off retroactively (just for the backtest) it will be a great win for me.
What is the following problem - Not sure that NT 8 or Kinetick (my data provider) can technically allow that. I'll explain:
NT 8 - Since I know that in NT 7 you cannot add instrument to already running strategy, will I be able to do it in NT 8 (on a code level) for such a huge amount of instruments (around 6,000)?
For example, I would like my strategy to look only at specific stock out of 6,000 on specific date (based on the initial filtering criteria), while on another day I would like my strategy to pick another batch of symbols based on the same 6,000 stock list. Will I be able to do so? If yes. what would be the most effective way? Will I have to load the whole symbol list regardless during "OnstateChange. Configure" stage?
Data Provider limitation - Kinetick in my case. They say that you can pull info of 100 symbols simultaneously.What does it mean? For example, if I now decide to backtest and load the entire 6,000 stock list will they limit me to only first 100 or will they allow me to do that, but the loading time will be longer as they would allow loading 100 stocks at a time?
If the first correct, how then I can at all resolve this whole situation? Will I have then to devide my backtest to 100 symbol batches and basically do 60 separate backtest? (hope there is a better solution).
Please advise.
Thanks in advance!
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