I have seen a couple of posts of interest in a gap scanner and I am trying to make one myself.
I would like to scan most stocks on the NYSE and the NASDAQ, this is about 3,000 instruments. I would like to run the scanner at the open and find stocks that are gapping up 5% from yesterdays close, (maybe code a other criteria later). My main issue that I have is the large size of instruments, I first tried coding an indicator, (Open[0] > Close[1] * 1.05), that would create a signal and I could use the market analyzer to show if the signal was created or not, problem was ever with breaking the 3k instruments up into 5 groups the analyzer took 40+ min to load. I have found that If I write a strategy to enter a position if the signal is tripped and then use the strategy analyzer, I can sort by hypothetical positions entered, this a little faster but still 30+ min.
I need this to be done much faster. Being that I want the results within the first couple minutes of the open I don't think I can use daily time frame, this would make the scan extremely fast and is fine for end of day. But being the daily candle is not closed yet I can’t use that data, I am left with using intraday time frame, like 2min, because I don't want to wait 5 or 10min to start the scan with larger time frame, and now the scan has to run on a lot more candles, 195 of them on each instrument which makes the scan take so long.
All that said I am wondering if anyone has any input on how to speed this up. I have tried several other things but nothing with significant results.
Thank you as always for your input, Ryan
Comment