Category: Execution Strategy (SIMULATE)
Uses session VWAP as dynamic support/resistance. Generates buy signals when price touches lower VWAP bands and sell signals at upper bands, with volume confirmation.
- Computes running VWAP from 1-minute K-line data using typical price.
- Calculates VWAP bands at ±N standard deviations (default 2σ).
- Generates signals:
- BUY: price touches lower band with volume confirmation
- SELL: price touches upper band with volume confirmation
- CLOSE: price returns to VWAP (take profit)
- Places SIMULATE orders on signal triggers.
python3 main.py # defaults to HK.00700, ±2σ bands
python3 main.py --stock HK.00700 --bands 1.5 --max-minutes 30- Running VWAP computation from tick data
- Standard deviation band calculation
- Signal generation with volume confirmation
- Session-based trading (resets daily)
- SIMULATE order placement with proper cleanup
| Flag | Default | Description |
|---|---|---|
--stock |
HK.00700 |
Stock ticker |
--bands |
2.0 |
Standard deviation band width |
--max-minutes |
30 |
Safety timeout |