Discussion in 'Trading Software' started by paulsmith55, Jan 9, 2020.
Is possible search stocks by spread percentage ? Any tool or site?
The lowest bid spread is .01, except for stocks under $1.00, and they number in the hundreds if not in the thousands.
How would this help your stock selection?
You can get the bid/ask details using the Thinkorswim scanner. You can also create a custom column in the results that would give you (bid-ask). Sort by this column and voila.
TWS's spread column was a great boon to me as a newb tick-scalper, you could sort on it, but I don't think it had a scan ability. Now, I just off-load a snapshot of data, and work in other details (trades/minute, volume/minute, etc) and juice things to where they need to be.
zdreg notes that there are thousands of stocks, and hundreds that might meet an over-excited scan... Not a good picture. I'd recommend that you work things down to a stable of a few dozen, of which maybe a dozen deserve your attention every day, and then work (your own, much more sophisticated) scan on that revolving subset.
Take into account that bid/ask spread might not be the best measure for liquidity. If you looked at data from flash crash or some other mini spikes on individual equities, you can see that the bid/ask spread stays the same as price goes 10%+ in seconds. The HfT algos move together.
bid/ask spreads are a function of many things, size of market, time of day/week, outside announcements impending, volatility in more general terms just to name a few. size of bids and offers are another aspect not to ignore. The question is, what is your objective when looking at bid/ask spreads?
I know exactly what you are talking about. Unfortunately, I don't know of such service. When I had access to full market data, I used to collect these statistics. Important to note that such service would need to be able to provide statistics by time of day range (or at least main periods), otherwise it would not be as useful. Maybe a business opp for someone. I know SMB talks a lot about relative volume but I don't know where they get this info from.
I can write this for you as a IB client
Writing is not the issue, access to complete real time market data is. If someone is getting streaming tick-by-tick data for all stocks, they can collect these kind of stats and provide it as a service. I assume that this would be considered derived data, so one does not have to get any permission to distribute.
Well I do have... the question is: does it make sense to me
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