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News About QuantConnect

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.

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.

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.

Options and Futures Trading on QuantConnect

We are very excited to announce the beta launch of options and futures trading on QuantConnect! Through the open-source platform LEAN, algorithmic trading has never been so accessible to investors.

The new asset classes tie into our existing offering of Equities, FOREX and CFD products bringing us to a total of five asset classes. We can now simultaneously trade multiple asset classes when used with a supporting brokerage. You write strategies in C#, Python and F#.

Options and futures are highly requested features from the community so we are happy to be shipping this feature. Like our other asset classes, all data is event driven manner to avoid look ahead bias.

Starting today you can also live trade your options and futures strategies on Interactive Brokers! (An accompanying options data subscription from Interactive Brokers required). If you’re an options/futures wizz get in touch!

Data and Period Available

Option data is available at minute resolution from January 2014-December 2016. Because of its sheer size we’re processing dates in reverse order backwards through time. When processing is complete the library will start January 2007. The data is survivorship bias free, and delivered as trades, quotes and open interest information. We cover all symbols in the OPRA feed. You can see a full example of an option algorithm in the BasicTemplateOptionsFilterUniverseAlgorithm.cs.

//Add Option Base 
var option = AddOption("SPY");

//Filter down to what we want.
option.SetFilter(universe => 
		from symbol in universe
		      .WeeklysOnly().Expiration(TimeSpan.Zero, TimeSpan.FromDays(10))
		where symbol.ID.OptionRight != OptionRight.Put
		select symbol);

// Search option chain:
if (slice.OptionChains.TryGetValue(OptionSymbol, out chain))
{
	// find the second call strike under market price expiring today
	var contract = (
		from optionContract in chain.OrderByDescending(x => x.Strike)
		where optionContract.Right == OptionRight.Call
		where optionContract.Expiry == Time.Date
		where optionContract.Strike < chain.Underlying.Price
		select optionContract
		).Skip(2).FirstOrDefault();

	if (contract != null)
	{
		MarketOrder(contract.Symbol, 1);
	}
}

Futures trading is available in tick, second and minute resolutions from January 2009 – December 2016. Our futures library covers all symbols from CME, NYMEX, CBOT and COMEX exchanges. You can see an example of a future algorithm in the BasicTemplateFutureAlgorithm.cs.

//Add Future Contract
var futureGold = AddFuture(Futures.Metals.Gold);

// What contracts do you want?
futureGold.SetFilter(TimeSpan.Zero, TimeSpan.FromDays(182)); 

// Search future chain for specific contracts to trade.
foreach(var chain in slice.FutureChains) 
{
	// find the front contract expiring no earlier than in 90 days
	var contract = (
		from futuresContract in chain.Value.OrderBy(x => x.Expiry)
		where futuresContract.Expiry > Time.Date.AddDays(90)
		select futuresContract
		).FirstOrDefault();

	// if found, trade it
	if (contract != null)
	{
		MarketOrder(contract.Symbol, 1);
	}
}

Options and futures trading also introduces the concept of QuoteBars to QuantConnect – a representation of the quote movements over time. QuoteBars have a Bid (OHLC) and Ask (OHLC) Bar. This allows us to better model spread for low volume assets such as option contracts. QuoteBars are limited to Options and Futures now, but will be extended to FX and CFD soon.

Data Provider

We’d like to give a special thank you to our data provider AlgoSeek. AlgoSeek shares the QuantConnect vision and has generously sponsored data for the QuantConnect community. You can download more data for LEAN from https://www.algoseek.com.

AlgoSeek is a leading provider of historical intraday US market data to banks, hedge funds, academia and individuals worldwide.

Our Answer to NYSE Eliminating Stop Orders

From February 26th investors will no longer be able to use Stop or Good Till Cancelled order types on the NYSE, according to a recent press release from Reuters.

Typically Stop Market orders are used to place a market order when the stock exceeds a trigger price. On August 24th, 2015 many investors had their positions stopped out far below the stop prices they had entered. This is a known behavior of stop orders which cannot guarantee a certain execution price.

The difference between the market price, and the fill price is called slippage. In QuantConnect you can model slippage using our TransactionModel class. It would be wise to create a fill model which predicts a greater slippage in volatile market conditions. Most of the time this slippage is assumed to be negative (you execute at a price worse than expected), but occasionally you can even receive positive slippage (a better price than you expected).

To set a custom slippage model in QuantConnect you can use the code below:

 //$2 per trade transaction model, with custom slippage.
Securities["AAPL"].TransactionModel = new MyTransactionModel(2.00m);
public class MyTransactionModel : ConstantFeeTransactionModel { 
    public override decimal GetSlippageApproximation(Security security, Order order) {
        // If volatile, return high value for slippage.
    }
}

To prevent negative slippage with Stop orders investors should use a Stop Limit order which places a limit order when the market exceeds the trigger price. Stop Limit orders are not guaranteed to be filled but they do ensure you get your expected fill price or better.

To submit a Stop Limit order with QuantConnect you can use the code below:

var newStopLimitOrderTicket = StopLimitOrder("IBM", 10, stopPrice, limitPrice);

At QuantConnect we will continue supporting Stop, Stop Limit and GTC Orders across all our supported brokerages using software techniques. This will ensure your algorithm can continue as expected with no interruptions. We believe you are sophisticated enough to harnesspowerful types and we won’t artificially restrict the tools in your arsenal!

Happy Coding!

 

Thank you for supporting $1 trading

We’re incredibly grateful to have the loyal support and attention of so many highly intelligent and passionate users. Every day we met incredible new people from all over the world, designing sophisticated strategies and it humbles us. Thank you for making QuantConnect awesome!

We have been blown away by the response in the last few weeks.Since launching the $1 Per Trade offer we’ve seen a 300% increase in all our user engagement signals: traffic, coding and backtesting.

Thank you for your trust and time!You have our promise we will continue working day and night to make QuantConnect better for you.

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