Net order buying strength within 30 minutes after opening
factor.formula
Net buy order strength within 30 minutes after opening:
Net entrustment buying increase:
in:
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Refers to the market order data released in real time by the exchange, including the buy order volume of buy 1 to buy 10 and the sell order volume of sell 1 to sell 10, as well as other relevant information. These data can reflect the buying and selling willingness of market participants at different price levels.
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It indicates the increase in buy orders for the i-th stock in the j-th minute of the n-th trading day. It is calculated by subtracting the sum of buy orders in the previous minute from the sum of buy orders in the current minute. It should be noted that the increment is at the minute level.
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It indicates the increase in the number of sell orders in the jth minute of the ith stock in the nth trading day. The calculation method is the sum of the sell orders in the current minute minus the sum of the sell orders in the previous minute. It should be noted that the increment is at the minute level.
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Although the market data contains multiple levels, the order data of the first buy and first sell levels are generally considered to be the most representative, and they can better reflect the most direct buying and selling power in the current market. Using data from more levels may dilute the effectiveness of the factor and reduce its stock selection ability. High-frequency trading strategies usually pay more attention to the most active level of data.
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They represent the data of the i-th stock at the j-th minute in the n-th trading day.
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Indicates the transaction volume at the jth minute of the nth trading day.
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The calculation time window of this factor is from 9:30 to 10:00 on trading days. This period is selected to capture the concentrated release of investor sentiment after the opening. The trading behavior during this period has a strong indicative effect on the stock price trend of the day.
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The time period parameter indicates the number of trading days for calculating the factor value. For example, T=20 (indicating 20 trading days) for monthly stock selection and T=5 (indicating 5 trading days) for weekly stock selection. This parameter is used to average the daily net buy order strength to reduce the interference caused by single-day fluctuations.
factor.explanation
The net buy order strength factor for the first 30 minutes of the opening is designed to characterize the comparison of buying and selling power in the market at the opening stage. It calculates the difference between the incremental buy order and the incremental sell order, and normalizes it with the transaction volume. The logic of this factor is that trading behavior during the opening period is usually regarded as a concentrated feedback of investors to the information after the previous day's closing. The increase in buying power indicates that the market has a stronger positive sentiment and willingness to buy the stock. High-intensity net buy orders usually indicate that stock prices may rise in the short term, otherwise they may fall. This factor is suitable for short-term strategies and intraday trading, and can provide investors with valuable trading signals.