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Daily/Weekly/Monthly Trading

Hi,

Firstly, my apologies, I've not read all the documentation so it may be in there somewhere.

I have a number of questions and have made a brain dump here:

What happens with the algo at close of business and start of business? Is it kept running over night or restarted daily? Are open orders kept open or closed daily? If closed, how do I write a daily/weekly/monthly algo? Have you an sample algo to do this?

Thanks,
Andrew
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Ok, I've read most of the documentation and haven't found any answers to my questions. Has anyone the answers?

Thanks in advance,
Andrew
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Hey Andrew! Sorry for the delay this questions slipped past my inbox yesterday :)

What happens with the algo at close of business and start of business?
- The algorithm is suspended over night, and continues when the first bar of market data arrives.

Is it kept running over night or restarted daily?
- The variables are all preserved. For the algorithm its literally like time jumps forward.

Are open orders kept open or closed daily?
- We have only GTC (good till cancelled) orders at the moment - so if a limit order they'll stay open until they are filled. We'll add self-closing orders soon.

To write a daily/weekly algorithm at the moment you'd need to consolidate minute bars into days, or import your own data into an algorithm (e.g. from yahoo). I've attached an example here of daily bars. Its not *exactly* what you'd expect since its firing the -end of day at 930am the next day-. If you adjusted the TimeSpan consolidator it could be made to fire at 3.59pm.
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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.


This seems promising Jared however, is it your plan to change how this works in future? (I don't what you to!) so that you close all orders every night? This way you'd generate more revenue from people having re-open positions the next day.

I can understand if you do but I'd be dead set against it has it make the commission charges too excessive for us!!

I'll have a look at the code. Thanks

Regards,
Andrew
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No it will remain like this of course :) Most people want GTC -- the orders stay there until you cancel them and positions stay open until you close them. We built QC from day-1 with the idea to make you successful in trading, I don't want you swamped with fees :)
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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.


Thank you, thank you, thank you!! Just what I wanted to hear.

Last question, is there/will there be any limit to your capital in your account. What I mean is Quantopian limit you to 1,000,000.00 USD. Do you have any upper limits?

-Andrew
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No limits! In fact more the better to help us negotiate revenues with the brokerage. We just ask live trading users have a subscription to cover server costs. We give each live trading user a dedicated server
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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.


Superb! I'm definitely moving to QuantConnect now!! Beats having to build and manage a service myself!

Thanks again!
Andrew
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Thanks @Andrew :) That's what we like to hear!
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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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