feature-f8-prev-volume

You can filter illiquid stocks by applying a minimum yesterday traded volume threshold during your daily universe scanning workflow. This excludes low-liquidity candidates to ensure smoother execution and reliable market microstructure conditions.

Yesterday volume threshold filtering is a liquidity filtering technique that removes stocks failing to meet a minimum previous-day traded volume. It prevents selecting candidates that may suffer from execution risk and poor market microstructure.

To configure daily volume filtering, set the YAML-driven fields f8_enabled to true and daily_volume_min to your desired minimum previous-day traded lots. This activates the liquidity constraints during universe scanning.

Yes, daily volume liquidity filtering integrates with your specified broker universe and engine configuration. It reads the YAML-driven constraints and acts on them during candidate selection and optional engine-side guarding.

Volume thresholding prevents execution risk by excluding low-liquidity stocks that are hard to buy at desired prices or exit smoothly. It strategically refines your trading universe to match different market regimes and strategies.

Yesterday volume filtering may not suit strategies targeting illiquid or low-float stocks specifically. Since it strictly excludes candidates below the daily_volume_min threshold, it will remove any stocks failing the previous day's volume criteria.