Hi, I'm new here.
I have a few of questions:
1) Is is possible to create and backtest market making strategy with limit orders here? If so do you have an example strategy in c#?
2) Can I do trading decisions on tick data? or at least 1 second intervals?
3) Do you provide access to Level 2 order books?
4) Can I use my own .net dlls with this?
Thank you,
Rob the Quant
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.
1) You can place the limit order with LimitOrder(symbol, quantity, limitPrice). Please see this C# example
2) You can use the tick data with AddEquity(symbol, Resolution.Tick). In OnData(Slice data), ticks = data[symbol] will give you a list of tick objects. Each object has property Price. If you use Tick resolution, OnData() is still called every second. Trading decisions are based on the second time interval.
3) We provide trade data for equity and quote data for options, futures, and forex. No order book data available at this time. You can check all the available data in the data explorer
4) No, we only support the libraries noted in the Docker Lean Foundation.
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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