Author: Jared Broad (page 1 of 5)

Tracking and Managing Orders

Tracking and managing orders is an important part of an algorithmic trading strategy. Intelligent order management encourages discipline and a deep understanding of your algorithm. Through the QuantConnect API you can get order fields, update their values and cancel pending orders. This can be useful for lowering trading costs and improving order fills.

When you place a trade you receive an OrderTicket for you to access the order. This allows you to safely (asynchronously) update and cancel the order while in live trading. In live trading you cannot assume order updates are processed successfully as the brokerage may have already filled the trade.

You can place several types of orders including:

Supported Order Types
Market Order MarketOrder("SPY", 100);
Limit Order var ticket = LimitOrder("SPY", 100, 100.10m);
Stop Market Order var ticket = StopMarketOrder("SPY", 100, 100.10m);
Stop Limit Order var ticket = StopLimitOrder("SPY", 100, 100.12m, 99.5m);
Market On Open Order var ticket = MarketOnOpen("SPY", 100);
Market On Close Order var ticket = MarketOnClose("SPY", 100);

 

Once you have an order ticket you can use it to get order fields:

var currentStopPrice = _ticket.Get(OrderField.StopPrice);

Or update the order fields (LimitPrice, StopPrice, Tag or Quantity):

_ticket.Update(new UpdateOrderFields
{
    LimitPrice = newLongLimit,
    Tag = "Update #" + (longOrder.UpdateRequests.Count + 1)
});

You can also cancel your order if required:

_ticket.Cancel();

In the video below we demonstrate putting it all together to create a moving take-profit order which gradually decreases its profit target as time passes.

Scheduled Events

Scheduled events allow you to trigger code blocks for execution at specific times according to rules you set. This feature helps coordinate your algorithm activities and perform analysis at regular intervals; while letting the trading engine take care of market holidays.

The scheduling is set with two rules: the DateRules and TimeRules classes. The schedule manager takes one of each and executes an action code block:

Schedule.On(DateRules.On(2013, 10, 7), TimeRules.At(13, 0), () => 
{
         Debug("Specific Time: Fired at : " + Time);
});

The date rules can be specified as below:

Scheduled Events Date Rules
DateRules.On(2013, 10, 7) On a specific date
DateRules.EveryDay("SPY") Every trading day for SPY
DateRules.Every(DayOfWeek.Monday, ...) On specific days of week
DateRules.EveryDay() Every day
DateRules.MonthStart("SPY") SPY trading start of each month

The time rules trigger specify when on the day the event should be triggered. They can be specified as below:

Scheduled Events Time Rules
TimeRules.At(13, 0) At a specific time, 1:00pm
TimeRules.AfterMarketOpen("SPY", 10) Run 10 minutes after market open for SPY
TimeRules.BeforeMarketClose("SPY", 10) Run 10 minutes before market close for SPY
TimeRules.Every(TimeSpan.FromMinutes(10)) Every 10 minutes during day specified

For a demonstration see the tutorial video below:

Desktop Charting with LEAN

With a few configuration changes you can get desktop charting in LEAN with a HTML5 interface very similar to the one you see in QuantConnect.com. This gives you better visual feedback on your strategy and allows you to improve faster. This tutorial guides you through configuring a desktop charting environment with LEAN.

Local charting (and all local backtesting) requires you to have your own source of data. We provide a way to download FX and CFD data through our API. To get started make sure you have your data in your data folder. By default this is the /Data/ directory relative to your LEAN installation.

Two configuration changes are required for desktop charting to work:

  1. Change the “environment” field to use “backtesting-desktop”. This instructs LEAN to use the configuration settings block at the bottom of the config file.
      "environment": "backtesting-desktop",
  2. Insert your API token and user id into configuration file. This is required for chart streaming.
      // To get your api access token go to quantconnect.com/account
      "job-user-id": "....",
      "api-access-token": "...........",

With those changes in place you can simply run the project and your backtesting chart will appear in a few seconds. For live trading; use the”live-desktop” configuration environment.

If you get the run-time exception “The port configured in config.json is either being used or blocked by a firewall”- This normally means you’ve left the user interface open (you should close it between each run). It can also be because another program is sharing that port. You can fix this by changing the port LEAN transmits the data with the "desktop-http-port" setting.

In the tutorial video below we demonstrate this feature on LEAN:

Collaborating in QuantConnect

Collaborating is a powerful feature of QuantConnect which allows up to 10 team members to work on a project at the same time. This can be useful when a team of specialists collaborates to build a great strategy.

The project creator holds the master copy of the project and can add team members and control the project permissions. To add a team member you just click the “Share” button in the project tab and search for the user by name or email address. Once the user is added you can control their permissions or remove them from the project.

Collaboration allows setting permissions on user by user level

Changes to shared projects are instantly shared between the collaborators and can be see by the colorful cursor representing the other team members.

Consolidating Data to Build Bars

Consolidators are used to combine data together from finer resolutions into larger ones. This can be useful for indicators with specific data requirements or to perform long term analysis in conjunction with short term signals.

Consolidators should be constructed and setup in your Initialize() method; this ensures they are only initialized once. There are three key steps to create and register a consolidator:

  1. Create the consolidator object.
  2. Bind an event handler to handle the new bars.
  3. Register it with the subscription manager to start receiving data.
public class ConsolidatorDemoAlgorithm : QCAlgorithm
{
	public override void Initialize() 
	{
		// backtest parameters
		SetStartDate(2016, 1, 1);         
		SetEndDate(DateTime.Now);
		
		// cash allocation
		SetCash(25000);
		
		//assets or universe selection
		AddEquity("SPY", Resolution.Minute);
		
		//create a consolidator object; for tradebars; for a timespan of 30 minutes
		var thirtyMinutes = new TradeBarConsolidator(TimeSpan.FromMinutes(30));

		//bind event handler to data consolidated event.
		thirtyMinutes.DataConsolidated += OnHalfHour;
		
		//register the consolidator for data.
		SubscriptionManager.AddConsolidator("SPY", thirtyMinutes);
	}
	
	//event handler for data!
	public void OnHalfHour(object sender, TradeBar bar) {
		Debug(Time.ToString("u") + " " + bar);
	}
	
	public override void OnData(Slice data) 
	{ }
}

The LEAN API also has other consolidator types to handle working with Ticks and RenkoBars:

// From tick data sources            
var tickConsolidator = new TickConsolidator(TimeSpan.FromMinutes(30)); 

//from renko bars
var renkoConsolidator = new RenkoConsolidator(TimeSpan.FromMinutes(30)); 

There are two key points to remember:

  1. Request a smaller resolution than what you want to produce.
  2. In backtesting we only know the bar is ready on the next data point; so it may appear like daily bars are triggered at odd times. In live trading they are scanned to be triggered every second at a minimum.

The raw data of QuantConnect is provided in Tick, Minute, Second, Hour or Daily bars. Using these building blocks you can combine data together to get any other resolution of data required.

Introducing The Co-Pilot: Your Coding Companion

We’re happy to announce the release of the Co-Pilot; a rich automated documentation generator built to give you relevant hints while you’re building your strategy. With deep API’s it is impossible to memorize all the methods available; and time consuming to constantly search the documentation. As a coding companion, the co-pilot can inspect the types you’re working on and provide the properties that are available.

The methods of the API are shown by the tables of code blocks, and detailed properties of the working variables are also available. We generate documentation from the reference text but also from the code API. These different documentation types are noted by the icons next to the results.

There are multiple documentation result types; text and code results.

How do I use the API File Provider?

Ensuring a high data quality is one of the hardest parts of setting reliable backtesting. There are many challenges to ensuring your data is in the right format, free of errors or omissions and historically accurate. We’ve tried to address this for you by opening the LEAN Data Library and letting you download our data. LEAN data is organized into millions of tiny files which can be difficult to put into place manually; but using the API File Provider we provide a way for you to automatically install this into your LEAN project.

Currently we provide forex and cfd data for each of the major vendors we support in tick, second, minute, hour and daily resolution. To request data; go to your data library and specify what you’d like to download.

Data library collection for FXCM EURUSD data

Each data file has a unique URL to download thedata for the day which will get a LEAN formatted CSV zip. By using the API File Downloader we check if you have the filein your data-folder; and if not we attempt to download it from the API. This assumes you have already added the data to your repository through the web interface.

This requires 2 key changes to the config.json file in the QuantConnect.Lean.Launcher Project:

  1. Insert your job-user-id and api-access-token into the relevant config fields. You can find these on your Account page.
  2. Update the data-provider configuration to refer to the APIDataProvider class. This is called QuantConnect.Lean.Engine.DataFeeds.ApiDataProvider.

Check out the video below where we guide you step by step through how to use the API Data Provider.

Free Streaming Live Data with IEX – LEAN Release Notes v2.3.0.3

This releaseadds the IEXDataQueueHandler allowing LEAN users to stream free US equity trades to their strategy; along with numerous bug fixes to the OANDA and FXCM brokerage implementations. Additional regression algorithms were added to automate testing of daily data algorithms. The Interactive Brokersconnection logic was also made more intelligent to fail quickly when thereis an existing TWS connection open.There were no breaking changes in regression tests or the API of LEAN.

Download this release from GitHub.

Features

  • Added IEX IDataQueueHandler for a free live US equity datafeed.
  • Added DailyBasicTemplate regression test algorithm.
  • Dramatically speed up Interactive Brokers connection speed.
  • Scan IBController logs for connection failures and handle them in LEAN.
  • Added FilteredIdentity indicator to filter tick trades and quotes.
  • Created Lean.TryParsePath() to create symbols from a file path.
  • Added ApiFileProvider to download data directly from the API.
  • Upgrade Oanda HistoryProvider to return QuoteBars instead of TradeBars.

Bug Fixes

  • Fix duplicate sampling bug in daily data backtesting.
  • Remove time from daily sample points in backtesting.
  • Properly load existing short positions when launching Interactive Brokers algorithm.
  • Fix issue with indicators that require a quote subscription.
  • Check for valid symbols when getting OANDA or FXCM history request.
  • Ensure logs are only savedonce.

Notes

  • We upgraded LEAN to use JSON.NET v9.0.1. This library is used extensively through LEAN.

Thank you to the community contributors in this release buybackoff andJay-Jay-D!

About LEAN

LEAN aims to empower investors to invest with confidence by using cutting edge algorithmic trading technology. Through the power of open source we are building the world’s best algorithmic trading platform, capable of accurately modeling global markets to give you insight into your strategy. Your trading algorithms can be seamlessly deployed from backtesting into production with no changes or even moved between brokerages. The LEAN user community reaches over 29,000 quants from all over the world.

LEAN supports C#, F#, VB, Java and Python programming languages and can be used in Equity, Forex, CFD, Options and Futures markets. It currently supports live paper trading, or execution by Interactive Brokers, FXCM and Oanda Brokerage.

For more information join the LEAN Community on GitHub.

Generic Data Sourcing and Caching – Release Notes v2.3.0.2

This release adds a generic data sourcing feature along with abstraction of the data caching. This allows different configurations to be setup independent of physical files. In addition there were dozens ofbugs fixes in LEAN to improve its stability and consistency across backtesting and live trading. There were no breaking changes in regression tests or the API of LEAN.

Features

  • Added IDataProvider and IDataCacheProvider – a redesign of the bottom of the LEAN enumerator stack so the data sourcing and caching is pluggable. This helps track memory issues and abstract away the concept of data files.
  • Local desktop charting now supports custom charts.
  • Apply backtest control limits in backtest initialization.
  • Added handling for “INF” factor files where splits make adjusted pricing impossible.
  • Backtestingodd-hour scheduled events now behaves closerto live trading.
  • Added SystemDebug packet to distiguish between user debug and system debug messages.
  • Add start-date parameter to CoarseUniverseGenerator

Bug Fixes

  • Fixed issue double sampling and sampling when no data for daily data.
  • Fixed Linux log corruption from unicode characters.
  • Set IDataConsolidator period to fixing issueconsolidating ticks.
  • Changed GUI UserInterface project path to Debug from Release.
  • Fixed Forex and CFD assets not receiving ticks because they were added as tradedata.
  • Fixed issue where equity sampling timezone dependent on the host computer.
  • Fixed different timezones between custom and equity charts.
  • Fixed bug in finefundamental data selection not annoucingselected securities if they already existed.
  • Removed APIDataProvider temporarily as it doesn’t fit new IDataProvider pattern.
  • Fixed incorrectsecurity type when seeding a security.
  • Fixed incorrect bar type in Forex history requests (QuoteBar required).
  • Fixed bug in Interactive Brokers caching”No security definition found for this request”.
  • Added additional data file to fixdata not found error messages.
  • Fix crash in backtesting after an out of memoryerror.
  • Remove rate limiting on debug messaging in local LEAN.
  • Fix Interactive Brokers Brokerage “Pacing violation” error.
  • Ensured logs would be uploaded in the event of an initialization failure.
  • Fixed issue with CFD and OANDAdata where portfolio was always $0.
  • Remove hacky Environment.Exit solution to a temporary threading issue.

Notes

  • We have disabled options and futures price seeding to reduce logging noise.
  • History() methods without a T-type specified are not recommended as the return type is ambigous.

Thank you to the community contributors in this release –mushketyk, mchandschuh!

About LEAN

LEAN aims to empower investors to invest with confidence by using cutting edge algorithmic trading technology. Through the power of open source we are building the world’s best algorithmic trading platform, capable of accurately modeling global markets to give you insight into your strategy. Trading algorithms can be seamlessly deployed from backtesting into production with no changes or moved between brokerages. The LEAN user community reaches over 28,000 quants from all over the world.

LEAN supports C#, F#, VB, Java and Python programming languages and can be used in Equity, Forex, CFD, Options and Futures markets. It currently supports live paper trading, or execution by Interactive Brokers, FXCM and Oanda Brokerage.

For more information join the LEAN Community on GitHub.

Release Notes – LEAN v2.3.0.1

This release fixed minor bugs in LEAN to improve its stability and consistency across backtesting and live trading. There were no breaking changes in regression tests or the API of LEAN.

Features

  • Update AlgoSeek data converter to accept input file mask to only convert specific source files.
  • Added IsAssignable to detect assignment orders in backtesting*.
  • Added demonstration algorithm for consolidating futures data.
  • Simplified the basic template options algorithm to demonstrate other tickers.

Bug Fixes

  • Fixed race condition creating fill-forward subscriptions incorrectly resulting in different statistics.
  • Fixed bug in AlgoSeek options data converter when processing massive files.
  • Fixed issue where Interactive Brokers was not connected before making history requests.
  • Updated default history provider for OANDA and FXCM configurations to be the brokerage.
  • Fixed issue where CFD datatype defaulted to Quote; preventing algorithms from receiving data.
  • Fix issue in live trading where multiple threads accessing cashbook killed algorithms.
  • Upgraded FXCM account holdings logic to handle multiple positions of the same ticker.
  • Additional logging in scheduled event manager to help debugging time issues.
  • Refactored options exercise logic.

 

Thank you for the continuing bug reports and assistance from the community! A special shout out to h2o, Denny Caldwell and James Reily for helping us work through some issues!

* Note: Assignment events are not generated by IB in live trading. We are looking into heuristic ways to detect this but currently assignments are not handled in live trading.

About LEAN

LEAN aims to empower investors to invest with confidence by using cutting edge algorithmic trading technology. Through the power of open source we are building the world’s best algorithmic trading platform, capable of accurately modeling global markets to give you insight into your strategy. Trading algorithms can be seamlessly deployed from backtesting into production with no changes or moved between brokerages. The LEAN user community reaches over 28,000 quants from all over the world.

LEAN supports C#, F#, VB, Java and Python programming languages and can be used in Equity, Forex, CFD, Options and Futures markets. It currently supports live paper trading, or execution by Interactive Brokers, FXCM and Oanda Brokerage.

For more information join the LEAN Community on GitHub.

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