No. of Recommendations: 3
Greetings, just a couple quick notes, have not really looked at algo-catalog before.
One is that trading at open often gives a higher return, at least for small-cap momentum-type screens.
Nice to see the difference trading at open or close or at some average, like P123 does.
Looks like you have a feature to execute trades at IBKR. Do you use MOO orders?
I've done that a couple times, and it was a little sketchy, on the less liquid picks I had (liquidity filter around $1M daily dollar volume).
More often I've used the MIDPRICE algo near the open.
Curious about the expected execution quality and how you manage that.
