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QuantConnect & Interactive Brokers API

Hi, 

I have developed an algo in QC and have spent that last few months fine tuning and backtesting. I am at the point where I would like to begin paper trading the strategy through Interactive Brokers. The algo trades futures and requires tick data for Es-mini. The algo also uses the QC500 universe. This leads to two issues. First, IB does not support the QC Universe selction model. Is this correct.?How would I resolve this issue? I use the QC500 to create a version of the Advance-Decline Index. My thought was to create a document, store it it DropBox, and for the algo to pull the stocks that are currently in the QC500 to determine the Advance Decline using IB data. Is there any other way to resolve issue? 

The second issue I have is the use of IB data. For back testing all my data sources were from QC. Now I must rely on IB data. Do I need to redo the entire algo to pull IB data instead of QC? This seems like it would be quite difficult to change all the data imports to IB code. Finally, IB send tick data once every 15 seconds and does not provide a continuous stream. Would it be easier if I were to just use an external data source and trade using the IB Gateway with the FIX CTCI? 

 

I am a bit overwhelmed at this point as I expected an easier transition from QC to IB for paper trading. Any assistance is greatly appreciated and if there are any developers who are familiar with this process I would be open to outsourcing this job. TIA

 

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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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