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Framework models that works in cash mode?

Anytime I try to run a framework in cash mode I get an error. Are there any example module combinations that work in cash mode?

Thanks,

A cash poor quant

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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.


Hi Sean,

There are no current examples right now. The restriction on Cash trading is done on our end, and only specifically for Framework Algorithms, which you can see here. Cash modeling poses several unique problems with respect to the algorithm framework. One constant issue is that our primary cash brokerage, GDAX, doesn't support the concept of virtual positions (this is GDAX specific since they don't support margin trading, but we've applied the restriction across all brokerages). Another issue is the very concept of a virtual position. Cash Account support for Framework Algorithms is something we're looking into but we can't provide a timeline of when this might be implemented. In the meantime, you can mimic using a cash account in backtesting by setting security leverage to 1.

self.Securities[symbol].SetLeverage(1)

 

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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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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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