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I'm getting my feet wet with a simple equity strategy. So it seems incredibly easy to get Quant Connect to start trading an IB account, which is great. However my strategy is sensitive to transaction costs, of course. In my backtesting I am using self.SetHoldings to allocate shares to my portfolio. How will translate into live trading? Will that be market orders?
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David Eldringhoff
yes those are market orders. Depending on the volume it might not be a problem. I'm doing the same thing. At some point id like to attempt a limit order code with verification of order completion and reordering if it doesnt go through but the market orders are working just fine for me right now. I do lose quite a bit in on of the ETFs in my portfolio because it has like 500,000 shares of vol a day so there is a decent amount of spread during the day.
Tim De Lise
Hi David, Thanks for help David. Yes it seems your strategy would benefit from a more sophisticated execution strategy. Of course the best way to be able to do that you need bid/ask data, ut as well potentially can use last price data. You can then decide to put a limit order at some "location" in the spread. If your stragey is trading every day this will make a big difference in your P&L.
Tim De Lise
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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