Paper trading with interactive brokers
I agree that you do a great job of listening But what is the response to Grant's question for those of us who have not seen it before, and have not seen your answer before? I asked a similar question here https: My experience - and I suspect Grant's - is that in my I. I would expect this from a system that potentially puts my money at risk. Any discussion within Quantopian and with Interactive Brokers of setting up a true test instance, that is walled-off from your production instance?
Eventually, it seems, you're gonna need one, so that you don't put users real money at risk with upgrades. Within the IT world, this is the best practice, as I see it. I do agree that we need to build more test mechanisms into our system. We'll get there in the long run.
While we build out our platform there will continue to be sharp edges that our customers need to be aware of. For instance, we still have a number of single points of failure in our platform. As we mature, we will become more robust and one by one remove those failure points. Rome was not built in a day, nor was a fully redundant trading platform. As a side - I don't think you need any special IB test instance.
IB paper trading is exactly what you need. If you can run your algo against IB paper, then you can do it in real money. Here's the way we are managing the testing problem for now. First, we make sure we "fail safe. That prevents trades from being placed that are unexpected. Linked to "fail safe" is "prompt notification.
For some strategies, that's not a good set of operational parameters. For others, it works just fine. If you are running an algo that rebalances weekly, you don't mind if you get an outage here or there. If you are going in and out of the market every minute, then you need our platform to mature more before you invest with us. Over time we'll get more robust and we'll start being able to guarantee uptimes. Guaranteed uptimes will certainly include more robust testing methods.
Part of the problem as I see it is that there's a high "hurdle" to the business model. The expected value of a catastrophic loss of capital due to bugs and upgrade risk is larger than any reasonable beta-testing rebate. In that sense, an algo-platform-as-a-service doesn't lend itself to the "build fast, break things" startup model, since rational user uptake will be nil until the financial and operational risk control systems are in place.
In a way, the risk control IS the business opportunity, since it's what everyone hates to build, but is also exactly what is so vital to avoid terminal drawdowns. On the operational side, fully versioned rollback-able environments, instance boot-up unit tests and algo regression tests, connectivity guarantees and failover plans what happens when EC2 goes down? On the financial risk side, position limits, risk limits, monte-carlo simulation for VAR limits across multiple algos, etc etc.
None of this is the sexy code, nobody that I know likes doing it, it's extremely important, and therefore it is what people might pay to outsource. Finding profitable alpha models is very hard, but to be honest, Quantopian's platform is not good for that anyway.
There aren't any big barriers to entry or exit there. The pain points which can be solved for added value and vendor lockin potential are further up the stack. I guess my next question is whether Quantopian, its parent, or its subsidiary, is a registered Broker-Dealer or not. I'm not trying to create fear-uncertainty-doubt, but rather to highlight a standard approach to beating down the risk.
With regard to "I hope that answered the question" you have not directly, but that is o. Reading between the lines, obviously you are aware of the walled-off test instance approach and chose not to implement it, but might in the future. As these things go, sometimes there are spin-off insights, such as Simon's. The over-arching problem from a user standpoint is "What will I get for the risk? Personally, I concluded that there is more downside risk than upside benefit to being an early-adopter of Quantopian-Interactive Broker real-money trading aside from my total lack of trading experience and probably five other valid reasons.
On the flip side, not being a BD severely limits Quantopian's ability to charge on a transactional basis. I agree with Anony's sentiment regarding eating your own dog food hey, if I can't figure out algorithmic trading, at least I can learn some slang. Perhaps this is already happening, but not publicly, since I did see somewhere a comment by Jess Stauth that the algorithm posted by Dan above has been running live on Interactive Brokers but perhaps only paper trading.
In some sense, Quantopian wants to have its cake and eat it too, by getting lots of free testing help and community involvement, but keep other aspects of its efforts and business plan private. One of the challenges for users is that we don't have context. What do you need to do and when? ICYMI check out our latest blog post http: Here is that algo's performance on a real money account updated through market close today:. I'm curious what Quantopian can do for the student market?
Granted, backtesting things is great and even just having access to this data is a huge privilege, but when it comes to transitioning from the "laboratory" to the actual market, students are often inhibited by exceedingly low account balances. Would Quantopian ever be interested in doing anything with student discounts or the like?
I would hate to see this forum become too focused on its heavy hitters and lose the educational value that I have gleaned from it. I don't necessarily have any short-term fears of that happening, but I would be interested in seeing what could be done to help students and other people with limited capital. I know IB has some minimum account balances and the like, and I understand the limits that puts on Quantopian, but how could this challenge be addressed?
I apologize if this question seems outside the scope of this thread, but it seems relevent and doesn't seem to have been discussed here yet. Does the Quantopian dashboard include all of the user costs associated with the trading? Or would accounting for costs need to be done separately from the algorithm dashboard? What am I missing? I think that all works out, but if you find it doesn't let me know!
I just checked the current numbers and can get it within a dollar or two - so it looks to be accounting for things the way I expect. Jessica, Peter's observation is spot on. The return should be measured on the portfolio value including the cash buffer, not just the amount invested. Thus it would be approximately 2. I'm happy with your numbers but I think 'Return' should be displayed to one decimal place as '2.
Made some changes to allow for variable weighting of the portfolio to be rebalanced. I chose the weights arbitrarily, so I'd suggest researching a bit and assigning your own weighting. Hello All, How long does it take for paper trading beta application to be approved?
I submitted my form days ago but have not heard back yet. Thanks for submitting the form and you are now all set to begin live trading! I have sent you an email to follow-up. Not sure if this is a good place to ask this question. In the example live trading algo, I am wondering if anyone is able to clarify why context.
Additionally, I am having trouble understanding when this if statement would ever not be true. On the weights, my guess is that it has to do with rounding in Python and the desire to keep the sum less than or equal to 1, rather than a tad over 1.
Tim- I don't think that is the case as there is a separate function handling commissions in line Abraham- Even with 1 instead of. Good point - I didn't realize that function was only being used for backtests at first glance.
I guess it is intended to be more of a demonstration that live trading is possible. In order to rebalance less often you can modify the rebalance parameter to something like:. That makes sense, better safe than sorry. I'm having trouble finding your example of modifying the rebalance parameter, do you think that you could include a link? Sure thing Colin - this example was posted earlier above and maybe in a separate post as well but might have been edited, so here it is again.
See the section below, you can edit the context. This is a different strategy that makes allocations across a diversified portfolio of asset classes US and developed ex-US stocks, bonds, real estate, and commodities.
We initialize the last and next rebalance date variables as 'None', and also set a trading window of 10am to 3pm the strategy will only try to rebalance in that window and once a rebalance has occurred the last and next rebalance date variables are updated. Thanks for the response. I realized where I was getting confused- had trouble finding where context.
It would be pretty cool if there was version control on algorithms- do you guys have any plans to implement this in the future? I created another IB account which is hooked up to my original live trading account and moved a few thousand bucks in there to test with. Both accounts are accessed using the same username. I added the new live test account to Quantopian but did not add my main account to Q.
This should work yes? Q wont accidentally hook into my main account hopefully? If this algo went live on that account how would it trade? If you don't give Quantopian the account number of your main account, it can't access it. Quantopian doesn't enforce any limits; you would be able to trade whatever IB lets you trade. Alisa, Thanks for your response. If I were to start live trading with one IB account and decide few months later to switch my IB account say move from individual account to IRA account will I still be able to keep my one free lifetime algorithm?
In the future, when we begin charging for the live trading service, you will not have to pay to live trade one algorithm. This can be any algorithm. You can start it, stop it, change it, swap it out etc. You will have one slot for a live trading algorithm with no fees. You will receive this promotion if you deploy a live trading algorithm by March 31, I have deployed live trading algorithm. Looking forward to working with your platform.
Thanks and this is awesome! Live Algorithm Settings Status: Broker Login Needed Started Trading: Also, how do I log out of my IB account from the Quantopian interface?
Like when I want to access Trader Workstation directly to reset some account parameters, or to monitor what's going on? If you log into your live trading dashboard before market open ie 9: Once the market is open, you will need to refresh your browser to see the updated status and positions.
Regarding your question about logging into IB and Quantopian simultaneously, see my answer in this thread. The short answer is that IB only allows one connection per account. To prevent this you can setup a second login for free! For more information, take a look at our live trading FAQ. It seems the browser display real-time stats or near real-time. Why would the "market closed" area not be able to self-refresh?
I agree, the browser should refresh upon market open, but it's a feature that we haven't built yet. We're working hard to get the infrastructure up and running for live trading. This is one of the enhancements left on our to-do list: Sorry, something went wrong. Try again or contact us by sending feedback. How Much Does This Cost? We think that live trading on Quantopian is going to change the way you trade forever. Quantopian lets you test before you invest. Your investment strategy can be vetted before committing any money.
Quantopian helps you make decisions based on data and execute those decisions without emotion. Quantopian helps you focus on the big picture and create new ideas, instead of operating a manual, tedious system.
You can paper trade it today: There was an error loading this backtest. Backtest from to with initial capital. Returns 1 Month 3 Month 6 Month 12 Month. Alpha 1 Month 3 Month 6 Month 12 Month. Beta 1 Month 3 Month 6 Month 12 Month. Sharpe 1 Month 3 Month 6 Month 12 Month. Sortino 1 Month 3 Month 6 Month 12 Month. Volatility 1 Month 3 Month 6 Month 12 Month. This backtest was created using an older version of the backtester.
Please re-run this backtest to see results using the latest backtester. Learn more about the recent changes. There was a runtime error. Sorry for the inconvenience. Try using the built-in debugger to analyze your code. If you would like help, send us an email. Hello Dan, Please elaborate on the "lifetime free subscription". Thanks Dan, I'm still getting up the steep learning curve, and even though you are offering a "lifetime free subscription" to launch a real-money algorithm, the Interactive Brokers costs and account minimums are non-zero.
So, to lock in your offer of unknown value , it appears I'd need: Or have I missed something? So much for automation keeping costs in check Thanks Peter, On https: Hi Abraham, A number of your questions look like they are from the legal terms of service, so I'll leave those for Dan to get back to you on - I know he did a lot of work on this and should be able to answer your questions in more detail than I could.
Hi Jess, I see that a survey was sent out but I cannot sign the agreement before I get responses to the legal terms of service and therefore cannot respond to the survey. Running through your questions: I hope that helps. Hi Dan, Regarding real money trading, can we integrate Quantopian with other than IB and trade with real money in live market? Hi Shaun, Thanks for your interest.
To launch an algorithm to your IB demo account and see how that works follow these steps: You'll see two options: Hi Jessica, I clicked live trade algorithm, broker, and then see a message indicating no accounts found even though I have already added the account. Hi All, I was able to implement the algorithm in my interactive broker account today.
Alternatively, is it best to just modify the algorithm to use scaled weights: Hi Joe, Good idea. Hello David, Details here http: Is there any way to apply constraints to the system, on the IB side?
What sort of notifications and records will be generated by Quantopian and IB? How will I access them? Or is it fully automated i. Is there a mode that would allow manual review and confirmation of trades?
I've noticed that some of the Quantopian staff have started using the term "systematic investing" versus quantitative trading e. Is there a contact available at IB to get their perspective on Quantopian? Could we get some feedback here from them? Overall, my sense is that the barrier to entry is still very high for trading, both from the standpoint of the capital that is required, and also the technical expertise and time commitment hurdles.
I'm not familiar enough with IBs systems to give a definitive answer. Clearly, if you have a non-margin account, you're not going to go short. I am not aware if IB permits you to lock yourself to a specified set of securities.
I can't speak for IB, but it's your brokerage account - they'll do what they usually do, including regular statements. For Quantopian, you'll get the reports you see in the live algo dashboard. We may put in a manual review method in the future. We continue to test language to describe what Quantopian does, and what Quantopian does continues to evolve. Algorithmic, systematic, quantitative, automated, trading, investing.
Quantopian does support trading frequencies of dozens of trades per day, and it supports much lower rates too. Quantopian certainly can be used to manage a retirement portfolio. I hope we see a lot of that. Vanguard is an interesting company to compare us to. Vanguard's leading products in my mind are passive investments. I think you'd want to compare us to their actively managed products to make a better comparison.
If you are looking to open an IB account, we have someone we can refer you to. When something is new and unexplored, it can be daunting. I encourage you to take a few more steps if you want to learn more. Do paper trading on Quantopian. Open an IB account, get an IB paper trading account, and start trading that. We won't charge you for it during the beta, and you'll be able to see exactly how it works.
I think that will go a long way towards settling your understanding of how it works. There is no way to replace the experience of doing it yourself. Thanks Dan, I'll stick with tinkering around on Quantopian for awhile, until I see some photos of all of the customers' yachts. I can't tell if you're kidding or not!
Paper trading counts as tinkering, yes? There's no money on the line. Give it a try. If you start seeing pictures of yachts, that's when you should get suspicious. We're not a get-rich-quick scheme. We're a platform for algorithmic investing. Sorry Dan, Got carried away with the hyperbole. By the way, I very much enjoy the ethos of Quantopian, so keep up the good work!
Peter, thanks for the info. Hello David, I'm still in the process of applying for an IB account. Anony, Another angle on this is how much annual revenue does Quantopian need to generate? Hi Abraham, We wanted an identical execution environment at every step of the platform. Hello Abraham, I'm not sure that we're talking about the same thing yet.
So all that said, does that clarify for you how live trading works? Hello Anony, Would there be an example we could run on Quantopian to illustrate your claim "I'm convinced Quantopian is geared toward multi-day trades"?
Abraham, Take a chill pill. Hi Grant, We read every comment posted by our users, and we carefully consider all of them. Hello Abraham, I asked a similar question here https: I hope that answered the question.
Thanks Dan, I'm not trying to create fear-uncertainty-doubt, but rather to highlight a standard approach to beating down the risk. Here is that algo's performance on a real money account updated through market close today: Hello Jess, Thank you.
So the return is 2. Hi Jess, What is the accounting for commissions? The anticipated Quantopian monthly algo charge? Or at least it should be clear what the base unit is on which the return is measured against. Hello Jess, I'm happy with your numbers but I think 'Return' should be displayed to one decimal place as '2. Hi Dev, Thanks for submitting the form and you are now all set to begin live trading!
Perhaps also to leave enough money to cover fees? In order to rebalance less often you can modify the rebalance parameter to something like: Sure thing Colin - this example was posted earlier above and maybe in a separate post as well but might have been edited, so here it is again See the section below, you can edit the context.
Initialize context variables the define rebalance logic: Hope this is useful and please let me know if you have additional questions! I have a few questions regarding live trading this algo: That seems like a prudent strategy. Thanks for the reply, That clears things up.
So am I correct in assuming that this line context. Beau, yes that's correct. Running a cloned algo in my IB simulator account. Hi Abe, If you log into your live trading dashboard before market open ie 9: Hi Alisa, It seems the browser display real-time stats or near real-time.
Open topic with navigation. When you use a paper trading account, you have limited access to Account Management functions. With a paper trading account, you are limited to the following Account Management menus and functions:.
Password lets you change your paper trading account password by logging into Account Management with your paper trading account. All paper trading accounts start with 1,, USD of paper trading equity. To reset your paper trading account. WebTrader opens in a new browser window. Login with your account username and password. The Paper Trading Activity Statements page lets you view and print daily statements for your paper trading account, and download trade information to Microsoft Word and Microsoft Excel.
Daily statements cover the last 45 days. To view and print paper trading activity statements.