Category: Company News

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!


$1 Per Trade, It’s a Quant Revolution

We’re proud to announce live trading with Tradier Brokerage is now public!

In a special offer to QuantConnect users, Tradier Brokerage is offering a limited release of 100 accounts with a flat fee of $1 per trade* with the promo code Quant1. Fees this low on a retail-accessible platform are unparalleled.

Robust Modern API

In our experience Tradier Brokerage has a robust, stateful API with rapid millisecond turn around on order fills giving your algorithm powerful execution. The connection is available in our open source algorithmic trading platform, LEAN.

$1 Per Trade Unlocks Powerful Strategies

Have you ever wanted to explore more active execution strategies? Or trade on sub-$2 shares but been worried fees will eat up your gains? Fees this low can unlock strategies and ideas previously not possible.

Low Account Minimums

To open an account is incredibly simple and only requires a $1,000 account minimum! This dramatically lowers the barrier to launching your live algorithmic trading strategy.

Free Live Trading

If you open and fund an account with Tradier Brokerage you’ll be provided with free live trading on QuantConnect! This gives you all the power of a dedicated 512MB VPS, mobile friendly algorithm command center and SMS notification support for only $1 per trade! This offer is open to all existing QuantConnect clients as well.

Open a Tradier Brokerage Account to Launch your Algorithmic Trading!

Use Promo Code “Quant1” To Open An Account Today
Start your Algorithmic Trading!


QuantConnect in combination with Tradier Brokerage $1/trading truly democratizes algorithmic trading. We’re excited about this offer and would love to hear your feedback.


November 2016: The $1 trading offerexpired in November 2015 and the Tradier brokerage integration was removedpending the Tradier implementation of a socket based API for improved stability.

Your Ideal Algorithmic Trading Platform

Would you like a copy of the QuantConnect source code; so you can code, backtest and trade locally from your computer?

You could design and debug strategies from your laptop in Visual Studio, using a local data-source, and then when you’re ready simply deploy it to the cloud to backtest on our entire tick-level data library?

You could seamlessly utilize our cloud based optimization to backtest massively in parallel and test your strategy for parameter sensitivity, in minutes

With the platform open-sourced, you could trade locally from your own servers, or send the algorithm to QuantConnect to live trade from our beautiful HTML5 interface when you’re away from your desk…

Dedicated live trading server running your strategies with HTML interface

Dedicated live trading server running your strategies with HTML interface

And by working locally you can guarantee your proprietary data is safe, and maintain complete strategy privacy.

We think this would be a perfect algorithmic trading platform and we want to make it happen!

We’re launching a quant-crowd-funding campaign!

When we reach 100 hobbyist subscriptions we’ve committed to open sourcing the QuantConnect LEAN Algorithmic Trading Engine! We want 100 fans, believers, passionate quants who will form the core pioneers of the QuantConnect platform.

With your help we will lead the future of algorithmic trading.

Pioneers will be forever remembered on our supporters page, in addition to receiving a dedicated live trading server for running your strategies! (1 CPU / 512MB RAM / 20GB HD / 1TB Data Transfer).

We’re just scraping the surface of what is possible with QuantConnect! We’re excited to be adding powerful new features, and making the engine faster and more robust each day. For the first 100 Pioneers you’ll get a lifetime, $10/mo hobbyist subscription. Once you upgrade we’ll apply the discount but it is for a limit of the first 100 users!

In the next few months we plan to offer:

  • Cloud Optimizations
    Massively parallel cloud backtesting, optimize parameters to reduce algorithm sensitivity in minutes across our cloud. Run monte carlo simulations and view strategy sensitivity curves.
  • More Asset Types and Data Import Assistance
    We’re starting futures and options asset support, along with a tool to easily import external data to design robust profitable algorithms!
  • Better Browser Coding
    We’re working on an object tree inspector and true C# auto-complete, combined with project folders so you can easily build complex strategies!
  • Universe Selection and Fundamental Data
    Fundamental data powered by Morning Star so you can select a universe of companies by index, earnings and other key fundamentals!

Upgrade today and help us build the best algorithmic trading platform in the world. Sustainable, independent and community driven.


History of Non-Market Data Correlations

Over the course of the history of the stock market, quantitative observers have built up a comprehensive database of non-market data correlations. From solar flares to hurricane cycles, biota growth and New York City temperature. Figures like Consumer Sentiment data and other broadly distributed survey data have been used by market participants when deciding market purchases as well as by economists to predict metrics. Investor interest has grown massively around Twitter Sentiment data, crowd sourced estimates data like Estimize, which integrates its data with QuantConnect, and other unconventional, seemingly unrelated market data. All of which are being used to build stock trading algorithms based on correlations. We decided to write a post with an overview of different types of non-market data used to predict security prices.

Calendar/Time Data’s Influence on Trading

For hundreds of years speculators have placed seasons, months, days and hours as either to blame or be praises for their seemingly superstitious distribution of market returns. A well known and often repeated line is the classic Wall Street saying, “Sell in May and Go Away”. Surprisingly, the strategy would have performed mightily since 1950 in the US as the chart below indicates.1 Other models have based trading on avoiding the recurring October declines or  “October Surprise”, as well as tax loss selling based models which happen at the end of the fiscal year (last week of December). 1 Continue reading

QuantConnect Annouces FX, US Equity Tick Data and a Capital Raise

How do traders and investors who “sell in May and go away” spend their summers?

If you are a quantitative trader looking forward to spending the sunny months indoors backtesting trading strategies, then QuantConnect has some very good news for you: the company just announced that it now provides backtesters with five years worth of foreign exchange tick data and U.S. equity tick data going back to 1998. For free.

“This has never been done before,” said QuantConnect CEO Jared Broad in a telephone conversation. The data comes courtesy of two new partnerships: U.S. data provider is providing the equity data, while FXCM, the largest retail FX broker in the United States, is making available the forex data.

Clean, extensive U.S. equity tick data is a precious enough commodity for most quants. But access to forex tick data can be almost impossible for the average, non-professional trader to come by.

What’s next on the data front for QuantConnect? The company is currently looking for quality futures data sources, ideally with trade execution. In addition to helping QuantConnect serve an even broader trading and investing public, futures data would also help attract those working in commodity-sensitive industries such as transportation and agriculture to the platform, said Broad.

QuantConnect’s data announcements come on the heels of the company’s recently closed funding round. The actual amount of the financing remains undisclosed. Broad said that the funding came from angel investors with backgrounds in quantitative trading and investing, and that the funds will contribute toward operations.

QuantConnect demoed their technology as part of the FinovateEurope show in London earlier this year. Watch the company’s presentation here.

Intersection Between Quant and Technology

Deutsche Bank Mention

Deutsche Bank had a few nice words to say about QuantConnect in their recent news letter:

“Recently we came across an interesting company called QuantConnect that perfectly embodies the intersection between quant and technology. QuantConnect is a startup that is trying to “democratize” quant investing. Most of us, who have spent too many late nights trying to fix a recalcitrant server or debug a crashed SQL script, know that the biggest barrier to entry in quant is the IT infrastructure required to maintain a robust back-testing and production environment. QuantConnect overcomes this by offering a cloud-based platform that is pre-loaded with the data and back-testing capability that is needed to test strategies. However, the really cool feature is that once you are happy with your back-tested strategy, you can actually turn it on live, and even connect it directly to your brokerage account to trade it in real time.” - Deutsche Bank Quantitative Strategy Team

Thanks guys!

 Scheduled Upgrade

We’re rolling out a scheduled upgrade tonight, hopefully there will be no disruption and services will resume as normal 9am 4th April. If you have any questions please feel free to reach out to Jared at There will be breaking API changes! These will be detailed in a following post.


Startup Offers Quant Trading for Little Guys

Originally on Hedge Fund Alert, By James W. Prado Roberts.

A new technology shop wants to bring quantitative investing to the masses.

QuantConnect is rolling out a cloud-based service that gives aspiring quant managers the tools to design and execute trading strategies and back-test their programs with historical market data. The offering promises to remove a big hurdle for many quant traders — namely, the high cost of accessing years of market data and the computing power needed to crunch the numbers. QuantConnect is offering the technology free of charge.

The New York firm has been beta-testing the service for the past year with 20-30 programmers, including computer engineers already employed at financial firms and graduate students pursuing careers in quantitative-investment management. In recent months, it has signed up nearly 600 prospective clients at conferences such as TechCrunch in San Francisco and Finovate in London — among them, dozens of Facebook and Google staffers. On March 14, QuantConnect alerted those individuals that they could begin using the service anytime. The firm also is working with the organizers of the Battle-Fin quant-trading tournament to support contestants.

In the near term, QuantConnect hopes to make money by helping clients set up trading accounts with Interactive Brokers. QuantConnect plans to charge $100 a month for access to the accounts. Down the road, the firm envisions a number of others businesses, including a hedge fund built around the strongest managers. Other possibilities include packaging the top algorithms as an exchange-traded fund and marketing individual strategies to retail investors via online brokerages.

First, however, the firm needs to raise additional capital. It has been running on $60,000 of seed money, and wants to raise another $500,000 to $1 million.

QuantConnect is accessible to investors who use the C# programming language. Programmers can design and back-test their strategies for free. They’ll only be charged when they set up trading accounts. Users currently have access to 14 years of market tick data on a basket of U.S. stocks. The firm plans to significantly expand the availability of historical data over time.

“The reason we are putting it out for free is there are huge barriers to entry into quant trading,” said Jared Broad, who co-founded the firm in 2011 with Shai Rosen. “We can break open the quant market — any engineer can try this, even if they don’t have capital to play with.”

At least one other technology shop, is working on a similar offering. The Boston firm is backed by high-frequency market maker Getco and venture-capital investor Spark Capital.

QuantConnect’s data resides on storage leased from With instant access to the vast capacity, a simulation based on the 30 stocks in the Dow Jones Industrial Average could be run in a few minutes, versus a day or two on a desktop computer.

Broad, himself a programmatic trader, co-founded Rosen previously was chief executive of Option TI.

- James W. Prado Roberts, Hedge Fund Alert


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