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TLDR:
Where can one find documentation and/or guidance on hacking a local LEAN instance to execute SPX trades?
Detail:
My top performing strategies are SPX option strategies, that I trade manually.
We don’t have SPX data on the platform so I can’t backtest my strategies, but I know they work so I’d like to automate them. Specifically, I’d like to write their logic in QuantConnect / LEAN, and deploy it to trade SPX options on IB (or Tradier or TD Ameritrade).
We can’t do this with QuantConnect in the cloud because the IB-API won't understand the ‘SPX’ ticker. However, per a comment from Jared some years back, it might be possible to trade SPX from a local instance, with some hacking.
Assuming so, where can one find documentation and/or guidance on hacking a local LEAN instance to execute SPX trades?
Derek Melchin
Hi Ikezi,
To accomplish this, the InteractiveBrokersBrokerage needs to be adjusted. We recommend reviewing our Brokerage Development Guide for assistance.
Best,
Derek Melchin
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.
.ekz.
Thank you Derek.
This is the sort of nudge / guidance I was hoping for. I'll check it out.
.ekz.
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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