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I tried converting this ( https://github.com/alpacahq/example-scalping/blob/master/main.py ) python HFT scalping strategy into qunatconnect C#.
The algorithm idea ( https://github.com/alpacahq/example-scalping ) is to buy the stock upon the buy signal (20 minute moving average crossover) at limit buy and sell at a very low profit in limit sell. The buy order is canceled after 2 minutes if it does not fill, assuming the signal is not effective anymore. Sell is liquidated if it has not filled in 1 min.
My implementation does not get many buy signals at all, i think my simple moving average logic is not working correctly. Can anyone suggest why its not doing trades after 1st day?
Rulak
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