Determining a stocks tradeability

Discussion in 'Automated Trading' started by Kaizen, May 19, 2006.

  1. Kaizen


    Does anyone have recommendations on different methods of determining a stocks tradability not just historically but in real time as well.

    I'm not talking about the rather simplistic idea of just taking a X day avg of the volume and only trading stocks that avg more than say 1M shares a day and move around greater than X%, but more complex parameters of what criteria a person could use to determine the tradability of a stock in real time.

    Obviously you need liquidity, volatility, tight spreads, etc, but I’m interested in other methods one would use to determine which stocks are good candidates for automated trading where a system could get in and buy a few thousand shares and not get killed in slippage.

    For example how would you eliminate a stock that trades 500K shares a day but does most of its volume in big blocks on a crossing network, so on avg it has a large spread and miserable depth and ECN participation. Or how would you eliminate a stock that has decent volume but has very inconsistent price movement where it might move hardly at all for an hour then in 7-10 prints it moves a full day’s range then it trades in a tight range again. Stuff like that.

    Anyone have insights on how to go about auto-trading the stuff that isn't mega liquid, like msft, intc, etc.