The ORB Strategy
LiquidONE executes a strict Opening Range Breakout (ORB) strategy. This page details the quantitative rules that govern every entry and exit, and the news blackout described below.
Anatomy of the Trade
1. The Opening Range
The engine marks the highest high and the lowest low of the first N minutes of the session (15 minutes by default, configurable 5-60). This establishes the "range". If this range is extremely tight or unusually wide (outside a configurable multiplier of a normal session, 0.2x to 3x by default), the bot skips trading that instrument for the session to avoid chop or outlier volatility.
2. The Breakout (Entry)
A trade triggers the moment price breaks the Opening Range.
- Long Entry: price trades above the OR High.
- Short Entry: price trades below the OR Low.
At most one trade is taken per instrument per day, matching what the Validation Lab backtests.
3. Risk and Target
The engine checks every open position on every tick and closes it at market the instant price reaches the stop or target. Stops and targets are engine-managed, not broker-native bracket orders: they depend on the engine running, not on an order resting at the broker.
- Stop Loss: A configurable percentage from entry, 0.75% by default.
- Take Profit: Defaults to a 1.8R (Reward-to-Risk) target.
4. The Evidence Loop
Over time, LiquidONE tracks the performance of the ORB strategy across different timeframes, volatility buckets, and market regimes. The engine can propose small optimizations (like tweaking the range health filter) based on statistically significant historical evidence.
News Blackouts
Live
Non-Farm Payrolls and FOMC rate decisions are gated against a verified release calendar checked into the engine, not a live scrape of a third-party site:
- Pre-news filter: new entries are blocked from 15 minutes before an NFP or FOMC release through 15 minutes after.
- Top-tier flatten: open positions are flattened starting 5 minutes before the release, through the same post-release window, to avoid slippage.
CPI and other releases are not covered yet: no verified date table has been built for them. Keep using each strategy's own stop and daily-loss limits to control risk around those.