QUANTCONNECT COMMUNITY
i have written an algo and it only gives me profit when there is this tag on the orders.
when there is no tag it only gives me losses. is there a way to only use tradebar data on these tests ?
thank you, LM
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
QuantConnect™ 2024. All Rights Reserved
|
|
Share New Research 
Varad Kabade
Hi Luis roldan,
The default fill model uses L1 data (bid and ask) to fill the orders. It will give you more realistic fills since orders are filled at the bid or ask in real live trading. If the L1 data is not available, the trade bar data is used instead and the message with "No quote information available" is attached to the order tag. QuantConnect doesn't have L1 data prior to July 2008 (trade bar data is available for the whole period), so all your market orders will have this message. During this period, the algorithm will have better performance because it doesn't account for bid/ask spread.
Best,
Varad Kabade
Luis roldan
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
To unlock posting to the community forums please complete at least 30% of Boot Camp.
You can continue your Boot Camp training progress from the terminal. We hope to see you in the community soon!