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Non-US Futures Backtest and Live Trading in InteractiveBrokers

Hi, 

I'm new to QC and had a basic question. As far as I understand, QC (in addition to backtesting capabilities of course) does support live futures trading via IB subscription, however this is limited to US only. Is that correct?

If yes, I wanted to run a stategy say with major equity indices listed outside the US, what are my options for backtesting and live-trading?

Thanks,

AV

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Hi AshkanV ,

This is correct.
Unfortunately, QuantConnect/Lean doesn't support Non-US Futures.

The only option is to implement this feature in Lean and run it locally. It is not a trivial task, especially if those assets' quote currency and the account is not in US dollar.

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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.


Thanks for th reply Alexandre. A couple of questions:

  1. Does this mean assuming I'm able to implement this in LEAN, to be able to run the algo live, I would have to deploy and run LEAN on my own server/VPS (i.e. there won't be a possibility to use QC co-lo servers)?
  2. As I said I'm quite new to QC/LEAN (I just cloned LEAN locally and played a bit around in VS), so I was wondering if you had any suggestions on how and where to start? Any examples, or other resources that might send me in the right direction would be greatly appreciated, For now I can probably focus on USD contracts (and my account is USD), if that's easier.

 

 

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Hi AshkanV ,

  1. In principle, you will have to deploy and run your version of Lean in your won server/VPS, QuantConnect only runs master Lean in its servers.
  2. In this closed pull request, you can learn the basic steps to add a Future's in Lean:
    Add 4 Micro E-Mini Futures for Indices #3818
    After this part is done, we can look into how Non-US futures are represented in IB API.
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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.


Thanks for the tips, I'm working on another strategy to understand the Lean code base and will come back to this topic after. 

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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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