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Features we'd love to see in QuantConnect

I created this thread so we can all post and comment on the features we'd like to have and use on QuantConnect.
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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.


Live trading. At least IB for the time being.
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Thank you @Suminda, we're working on the live trading now and its not too far away. But for now every month we'll have more trading capital to manage so you can design strategies for Battle-Fin -

Soon we're also going to open source parts of the infrastructure so you can trade locally.
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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.


Look at functionality of these products:

http://www.deltixlab.com/storage/CombinedProductSheets.pdf

http://smartquant.com/presentation/OpenQuantProducts.pdf
http://smartquant.com/presentation/SmartQuantAlgoTradingInfrastructure.pdf

http://www.iqbroker.com/

And of course traditional retail platforms like Ninja Trader, Trade Station, etc.
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You must find a way to easily integrate linear algebra / matrix algebra to your code. Perhaps by integrating an open source linear algebra package.
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Add functionality to organise trading competitions among friends or public using paper or real money like in Investopedia
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Easy plugin based custom performance calculation to be included in the performance report.
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Meta Numerics
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Also see http://www.mathdotnet.com/. This is more functional.
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I got a brilliant idea. You can expose the ability to get an IQueryable (May be IEnumerator is just enough) for bars and ticks on instruments you want to listen to.

This will enable uses to code using LINQ and Lamdas this will make this system much powerful and can write short and productive code as in some competitor systems. The IQuery object will be a moving window (user definable as a time interval and / or number of elements) on the particular instruments Bars or ticks. Also you should be able listen to different Bar length ticks on the instrument which is not possible now.

Add another method just after initializing to call this set up. If the algo chooses to it can listen to the current methods also.

I do not think this functionality is had to add also.

MoveNext only should return false when the algo is stopped only and block until new data becomes available.

Also this link might be some help: http://slinq.codeplex.com/; http://clinq.codeplex.com/ (not maintained but you can get some ideas)
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Also adding the ability to get a Price vector for Meta Numerics and Math.Net will be helpful. Also the historic co-variance matrix of the instruments in our universe and a TimeSeries object of price vectors which can be used in Meta Numerics and Math.net. Do not try to add too much functionality as might want to use GARCH or other models. Make this LINQ and Lamda friendly and the uses can do what they want.
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Cool @Suminda, you can probably do the IEnumerable now - just make your own class extending a Collection, and store the data in a common array across events?


public QueryCollection : Dictionary> {
//
Public Add();
Public Query();
}
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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.


Most of the iterators throw an exception if the data structure is modified. It will also not block until the next bar / tick is available. So inheriting a existing collection may not work. The query will finish after going through the existing data and stop after the last element. In this case there is not last element until the strategy is stopped.

Also the computation is data pushed. When new data becomes available calculations are done a trade is made. The container much push the data.
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Love this concept, guys! I'm eager to see what this becomes and am happy to help out any way I can. The most important feature I would need to have to use Quantconnect for my trading is access to futures & forex data.

Also, consider building in some release blocking functionality. Intraday backtest results can get really hairy if you include releases like FOMC, NFP, DOE, EIA, etc. so having the ability to get flat and not trade X minutes on either side of these releases would more accurately reflect the way the algo would actually be run.
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Thanks @Jeremy, nice idea. We're working on building our data library and hope to add FX, futures soon. Its just a matter of finding the right data partners.

We will open up the news API soon so you can code these events into your algorithms :)

For now you can use:
Liquidate();
to clear out all holdings.
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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.


I think it may be a good idea to download the trade data from the simulation result as a .csv file.
Also the chart???
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Elementary question. Is it possible to delete one of my existing strategies. I am unsure whether you can actually can do this.
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Hey @Joyanta, no worries. If you can't find it that means we've designed it wrong :) The trades can be downloaded with the small "save" icon in the top-right of the trades tab,

You can delete projects when you open/create a new project, in the window there is a rename & delete option.
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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.


yeah found the "save" icon.

Not sure of the delete of a project... sorry. May be in the dash board you can put a radio button type of control for deletion for example. Not sure if any one else is also having this issue.
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Yep good idea. We're doing a major overhaul of the dashboard shortly, it will look great ;)
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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.


cool
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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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