Back

Live Trading Limitations?

I'm just finishing opening an account with IB in Canada, and I subscribed to QuantConnect since I can't use Tradier as a non-US resident. Besides the active community responses, one of the things that drove me to QC over Quantopian was seeing the following on the Quantopian website: https://www.quantopian.com/help#overview-livetrading

So that leads to the following questions:
* How does QC store your IB login?
* Does QC make this easier or suggest it anywhere? Quantopian: "We strongly recommend that you run your algorithm against IB's paper trading mode before running it against a real money account. IB paper trading is a good test to help find lingering bugs. Once you're satisfied with the paper trading performance, you should stop the live algorithm and re-launch it against your real money IB account."
* Are there any known issues with IB integration? E.g. always defaulting to smart routing with no way to pick IEX, for example?
* Are there any known issues with live trading, as mentioned on Quantopian's page? I assume with a dedicated VM there might be more leeway to fix issues, but at the same time, as a paranoid sysadmin myself, I'm wishing I could SSH myself and set my own alerts or monitoring software. :)
* Is there a mailing list I could subscribe to for breaking changes or release notes? As mentioned earlier (July 19th maybe) a new release ended up changing the functionality of code. These things happen, and as a programmer, I get it. But aside from monitoring every single GitHub commit and wondering when the code gets pushed live, is there any advice or update list you might have? Alternatively, could we opt in to a mode that runs the latest code with paper money first (e.g. a different IB account) or manually deploy new code? I know, nothing's perfect, and fixing bugs faster by getting new code out there is better, but I wonder if you've any thoughts on this? The same problems -- shipping bugs or different behaviour and needing to test it -- is why paper trading mode is recommended by Quantopian. I wonder if maybe this could be made easier here, if it isn't already.
* Which leads me to my last idea -- automatic testing of algorithms on new code releases or algorithm changes. Is that something that could be done with new releases? I know it's not perfect, but maybe it would highlight differences in behaviour before users notice them. Again, I'm typing out of ignorance here, having never used QC nor even IB at this point, but it's always nice to get signals on outcomes before acting ;-)
* SMS and Email in algo is nice, but (a) I really want push notifications to my phone, would I be able to do so in a separate thread, e.g. async https?) and (b) I second the request for a status page or additional info on how my instance is running, etc. The big advantage to QuantConnect running things is ease-of-deployment, great data and automatic updates. The downside is less control over QA, fewer alerts and automatic updates ;-)
* And finally, what are "points" in the Community Leaders section, and why aren't community algorithms highlighted more? It'd be fantastic to have a small library of community algorithms recommended to me to get started with, particularly those that may not offer the most returns (or any) but which can be trusted with your money in a live environment. E.g. rebalancing ones, less HFT ones. My initial thought was to simply automate pulling out or rebalancing a basket of ETFs as a couch potato and help me track their performance over time. But I'm not sure how easy it might be to incorporate 200-day rolling averages, for instance, as it sounds like back data isn't being used yet when doing a fresh live trading deploy?

Thanks,
Louis.

P.S. Will I get subscribed to notifications for this discussion? It doesn't say so anywhere in the interface, nor allow me to opt out of these if the topic were to get very busy...
P.P.S. What, no list formatting? ;-)
Update Backtest








Welcome @ Louis! :) Thanks for supporting the mission! There's quite a few questions I'll address them below:

* How does QC store your IB login?
> We store it in memory only, on the machine running your algorithm. Its never saved to DB or disk.

* Does QC suggest paper trading anywhere?
> I think paper trading before going live is good common sense. The paper trading option is displayed when you select your brokerage when you're deploying an algorithm

* Are there any known issues with IB integration?
> There are no known issues. We default to SMART routing, if you'd like additional routing options we can add them just please submit an issue on GitHub.

* Are there any known issues with live trading?
> There are no known issues :) Live trading is top priority for us, so anytime there's a live issue we stop what we're doing and fix it first before continuing. "Bugs before Features" is a mantra we follow.
> Unfortunately you can'y login to the dedicated VM at the moment, but its something we're considering :)

* Is there a mailing list I could subscribe to for breaking changes or release notes?
> When you deploy a live algorithm, its version is locked until you do a new deploy. You can't do a new deploy without compiling first which detects any differences in API. We don't change the API much at all -- in the three years running we've changed it 3 times.
> The best mailing list would be to follow the github repo, or the Google group, or the forums here.

* Automatic testing of algorithms on new code releases or algorithm changes.
> This is just running a backtest! :) The engine is identical from backtesting to live mode.

* SMS, Email, Push in Algo is nice
> We have Notify.Web("url", "data"); which you could use to create web hooks to your phone. The async processing of the request is automatically done for you. What additional alerts would you like to receive?

* And finally, what are "points" in the Community Leaders section
> Points are given when users clone shared algorithms, on comments and discussion posts. Its a measure of contribution to the community :) We show a highlight of recent community algorithms in the "Recent" feed in the IDE.

You are automatically subscribed to updates for your discussions :) Pressing "Star" at the top of the page will subscribe you to updates for discussions you haven't commented on.

We totally need list formatting!

Generally we aim to be 10x better than any competitor - data, speed, design, asset support, brokerages. In every way we'll be 10x better. Including instantly redeploying an algorithm and high resolution data intraday and FX algorithms.
2

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.


I would like to add a question to the list as another Canadian looking to make the switch from Quantopian. 

Are there any QuantConnect imposed restrictions on any type of account with IB? For instance i would like to code and live trade an algorithm in a TFSA or RRSP account. These accounts at IB are required to have a base currency of Canadian dollars, but there is no restriction to trade in and hold USD. This was a problem with Quantopian because they impose a USD only base currency requirement... 

Please comment on any specific account restrictions to trading with QuantConnect. 

 

Thanks

0

Any answer to this? @VMEUP one way I got across this was to open a non registered FIRST with base currency USD and then TFSA/RRSP can be done in USD base as well. If you open registered accounts first, they will not allow you. I had to do this to trade on Quantopian

0

We have earmarked the feature to allow trading on other currencies and its sketched out but not started yet. Our base currency is a variable in LEAN; but even with it like that its a substantial amount of work to test throughly to ensure the brokerage currency is supported. We're in a bug fixing / stability focus mode at the moment but will resume feature development in a few weeks. 

0

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.


That's interesting Sam. I will give that a try.



As I understand it (and I think Jared Broad has indicated as well), the

same issue is present within Quant Connect as well. Sounds like they are

working on it though.



My brother is currently coding a system that we will be able to use for

ourselves through the IB API. In the meantime I will try to connect my RRSP

through Q since I already have a margin about trading with them.



Thanks for the advice.
0

Update Backtest





0

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.


Loading...

This discussion is closed