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Few questions

1. What time is used in list of trades? And maybe there is easier way to export trade data along with instrument data? Actually I need this because I need to look more precisely where exactly system opens and closes trades.

2. What dll file should be uploaded [Project_Name]\QuantConnect.Algorithm\bin\Debug\QuantConnect.Algorithm.dll?
Update Backtest








12. May be a bit early, but in trading, which data will be used to trigger signal? Broker's or QC's?
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Hey Tadas!
10 - I'll look into it today, normally that no tradeable days error means there are no days between SetStartDate and SetEndDate (start > end).

11 - Sorry we did update the transaction model, but I hadn't updated Github yet -- I've posted it online now and here is a link to the latest template fill-model. The key difference is now we have "OrderEvent" type which allows you to model partial fills. We've made all the models assume complete order fills but live trading required partial trade fills :)

12 - We will use the brokerage data; live feeds from the exchanges are too expensive at the moment. In the long run I'd like to have our own consistent source and we have written the code for that, but its too expensive to deploy for now.

For your interest Tradier do allow company accounts, their main requirement is that it needs to be registered in the USA. The review each company request individually. You can contact them on service@tradierbrokerage.com
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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.


OK, big thanks for your efforts.

On 10, tried again and seems it works fine with same olf data range, don't know what it was. Also, Visual Studio with QC plugin crashes sending backtests and some other issues there too (not updating files or overwriting new ones to old in website, but I'm not sure, just some strange behavior).

On 12 it's good to know.
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Pleasure Tadas, I do this for fun! :) Apologies for the plugin, it is a super beta. We wrote it as more of a hack demonstration of the API. It can only replace all the files in a project at the moment but you're right we should only replace older files. If you think the plugin has potential I'd really welcome your help - its all open sourced.
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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.


Ah, no problems for me at all as I'm doing this also as I love that :)

I'd glad to help, but programming for me is hardest thing in my life. Often seems I can't do simplest things :) But, I'll see. Think others also should notice it ;)
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13. How do I use tick filtering in data filter? As, for example:

Tick dt = new Tick();
dt.Quantity == 100


don't seem to have any influence.
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13. Sorry about that it wasn't behaving as expected so I traced it through and there was a bug. I've attached a backtest with example of how the tick filter should work. I'll update the backend-engine later today with the patch and ping this thread. The filter below limits to ticks from NYSE ARCA exchange -- where the SPY is listed.
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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.


Thought it's simpler to implement. Mhm, cool, big thanks! :)
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And if used resolution is second (minute), not tick? Construct new "trade bars" from filtered ticks or there is better way?
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Correct to get filtered second bars you'd need to build them. Each time the OnData(tick) method is called it is 1 second of ticks, so you can build the (Ticks - Dictionary>) into a TradeBar and call the OnData(TradeBar) directly. Tick by their nature cannot fill forward like bars though.
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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.


My knowledge and understanding aren't enough here, would be great if you post an example.


public override void OnTick(Dictionary> data)
{
OnTradeBar(data[symbol][ticks[symbol].Count - 1]);
}


gives cannot convert to TradeBar error.
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No problem -- I adapted Gustavo's consolidator in the Code Snippet library on the left. It now consolidates a string-list of ticks into a string-tradebars list.

See Consolidator.cs for the joiner code, and the Main.cs for how its used.
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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.


Filter is up and running - sorry about the delay. The code above now only returns "P" tick's from the ARCA exchange! 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.


Great, let's see what can be done with it :)

P.S. There is some problem with backtesting as after message "sent to cloud" they just sit in the queue.
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Sorry about that I see them. We pushed a new build on the weekend with a few too many changes, I'm debugging now..
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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.


Fixed, the bug was when a filter was so strict no ticks/bars passed for a day it caused the data readers to crash. Its fixed in engine now to just skip the day. For your code you probably want to make sure the filter doesn't have a bug.
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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.


OK, scripts are not giving any errors, the only change made is override added to OnEndOfDay() since it worked, so I wrote some log at each step, on every tick, on every bar, trade, etc. Now errors are:

1) 2014-10-14T09:48:28-04:00 We could not find the requested data. This may be an invalid data request, failed download of custom data, or a public holiday. Skipping date (10/6/2014).
same for 7-10 and 13 days, used start date is 9/1 though

2) Log file URL gives AccessDenied (XML)
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Yeah I saw those errors -- its just the data hasn't been processed up to today yet, there's a little backlog in the tick updaters for the last week. It'll catch up later today,

The XML error is probably just copying and pasting the log URL incorrectly. I'll try and make this a link on the weekend :)
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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.


All console URL's are now clickable links -
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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.


Update Backtest





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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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