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RE: TRADING ALGORITHM ON GAP TRADING

Hi Guys,

I need your help implementing an algo trading strategy in python for futures. We can use NAS100, the parameters are:

  1. If a stock price on day t was higher than the close price by 0.5%-0.1% than on the day( t+1), we make a sell short position.
  2. If a stock price on day t was lower than the close price by 0.5%-0.1% than on the day( t+1), we make a buy long position.

I hope you can help.

Cheers,
Josh.