Backstory:
I've been on a bit of a multi-year journey here to launch an algo-managed registered investment adviser built on Quant Connect. The intent was to use FA Groups to manage pools of client accounts with different algorithms based on risk-tolerance/goals. However, when we actually completed the integration and attempted to push it to live, we found the QC doesn't really have the ability to manage more than 1 group in an FA account. What ends up happening is it detects the equity for every client account of the IA, not just what is in that group, and then sizes/places trades as if it was using the equity of every client the IA has instead of just the particular group it is supposed to be tied to. This would essentially end up making trades in a group with more equity than exists in that group (AKA bad). It makes the IBRK adviser/group integration/feature kind of nonfunctional in a practical sense. So, I'm looking for a work around that doesn't involve having to setup 5 IA accounts with different data subscriptions and 5 different IBKR DAM api integrations for onboarding.
Question:
There does appear to be a way to pull a list of accounts in an FA group and their equity over the TWS API. Is this on the roadmap anywhere to complete the FA Group integration with IBKR? If not, is QC using IB Gateway under the hood? Could we build a work around where we hit the IBGateway API from within the algo to pull group info and work around this?
Mia Alissi
To address Aaron's concerns about managing multiple FA groups in QuantConnect using the IB Gateway API, here are some insights and potential steps:
Current Integration: QuantConnect currently supports FA group orders through the
InteractiveBrokersOrderProperties
class. This allows setting properties such asfa_group
,fa_method
, andaccount
to manage trades for specific FA groups. However, the platform aggregates positions across all account groups, which can lead to the issue Aaron described.IB Gateway API: QuantConnect does not natively support pulling specific FA group equity data directly from the IB Gateway API. However, you can potentially implement a workaround by integrating the IB Gateway API within your algorithm to fetch real-time account and equity data for each FA group.
Custom Integration Steps:
Properties and Methods:
fa_group
: Specifies the account group for the order.fa_method
: Defines the allocation method (e.g., EqualQuantity, NetLiq).account
: Sets the linked account for order submission.Considerations:
By implementing these steps, you can potentially overcome the current limitations and manage multiple FA groups effectively within QuantConnect. If further assistance is needed, consider reaching out to QuantConnect support or the community for additional guidance.
Sources: Financial Advisors - QuantConnect.com, Financial Advisors - QuantConnect.com, Interactive Brokers - QuantConnect.com, Financial Advisor Demo Algorithm
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.
Aaron Farrell
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.
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