Hey there!

Yesterday we launched a cool new feature called Live Reconciliation. Sometimes there can be minor issues in code which cause slightly different behavior between live-trading and backtesting. We built live-reconciliation to help identify those issues.


Each time you go live-trading we will run a backtest with the same code as was deployed live. We gather these backtest equity curves together and have added them as a light-gray line on your equity chart. This represents how your code performed in a backtest over the same period. 

We are calculating a score representing the error-rate between these curves which should give you an idea of the error rate. The score is based on the "dynamic time warp" between the curves and will be the average daily percent error. Soon we'll display this score on the charts to help you understand the error rate, and have a notebook publishing this research.  

There is one known issue: if you've got existing holdings in your live account, and it's not modeled into your backtests; there is no way for the live-algorithm to reconcile that backtest. It assumes starting from no holdings on each deployment. If it impacts many people we may look into parsing the logs to start reconciliation backtests with the live holdings. 

Live reconciliation is one step closer to having our backtests perfectly model live trading. We hope as QuantConnect's platform approaches perfection our backtests will be so accurate you could completely trust backtest results! =)


Team @ QC