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How to define the criteria i have to use in order to code my scanner successfully.
Dylan Eaton
posted Sep 8, 2018

Hi fellow quants, I am coding my algorithm and part of it is the research module (scanner).

I want to scan the market in order to select the stocks that are breaking up on volume and have had last three minutes volume spike.

I am using Level I Real Time Data Feed from Nasdaq.

I would like to know your inputs about which of the following criterion must be applied?:

a. Relative volume: Last minute volume compare to same minute "n" weeks ago. What should be the value of "n"?

b. Compare the volume over the last minute to the volume expected in a 1 minute period? How the volume expected in a 1 minute period should be calculated?

c. Compare the volume over the last three minutes to the volume expected in a 3 minutes period? How the volume expected in a 3 minute period should be calculated?

Looking forward to receiving your inputs.

Regards

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