Alpha Streams Market

Thanks, Jared! I believe this is a step in the right direction.

Thanks for the update J. Big picture - this is massive innovation - and  the development of a next-generation platform for those who license and develop alike - keep up the great work! 

What will happen to strategies currently licensed and not running on single purpose accounts? 

Once they redeploy they will no longer have the option to limit the allocation the previous way. The next redeployment will require using the whole account. If this is your case I would recommend contacting your brokerage now to set up a subaccount user and password now and transferring an allocation to the new subaccount. I'm sorry I know it's a pain but it was just too risky doing it the other way.

I haven't attempted to license another alpha so if this is already mentioned somewhere in the process I apologize.  However, one thing to note is that many strategies likely exceed the pattern day trade limits that are imposed on accounts with less than $25,000.  If someone were to license an alpha for only one lot and have that alpha control their account trading it might cause issues if the account cannot make all of the necessary trades.  Perhaps the minimum allocation for strategies that make over 3 trades per week on average should be 3 lots?

No problem Stephen we're iterating pretty fast so there is not much written down yet. That is precisely what we're doing - except it's set by the author of the strategy in the Settings dialog. Canadian residents are not subject to PDT so we had a few complaints when we enforced 3-lots. We opted instead to let the author set the minimum and showing a warning for everyone else if we think its a fast-trading strategy. 

What does a lot mean? Does it mean 10K?

I am interested in licensing Bitcoin Momentum and Mean Reversion Algorithm. How do I figure out what instruments in trades? Does it trade the bitcoin futures? I thought alpha listing requires the publisher to list their universe but I did not see one listed for this particular alpha..

This alpha mention a price of three dollars per lot. I am wondering is this price one time or monthly or for certain duration? Again I did not see this specified anywhere on the Alpha listing page.

It would be great to have multiple algos to license as from the overview it is difficult to see how and what an algo is trading. How much spread does it have in what categories, how much allocations per ticker? I trade for instance per 2 or 4K, 10K over 50 tickers manually. However, the algo I subscribed does 20K over 8 stocks, and tries to trade after market closure which failed. Once the alpha is assigned it would help you can set the start and end date to do little more research if the algo would work if you would start using it at a particular time.

Secondly, 1 account for multiple algos would be a huge plus, as from European perspective, it took me 4 months to get a business account to avoid all the MFID2 stuff. I finally also got a LEI which is obligated for European non-retail traders. Big brothers in Europe :-). The alpa streams might trade something you do not have permissions to, knowing that in advance or during back testing would be a plus.

Regarding the subscription, I found that for some reason I needed to pick all server options although only a simple server would do to run the algo. This is a bug in the subscription page. So finally I had to check out a full seat instead of a smaller seat without notebooks and research stuff.

Next, I do not like the bidding system, in the end an algo might be more costly than a ETF or the performance risk if investors start (over)bidding. Practically, I would like to start with amount X and then the algo and the subscription does not take the total portfolio into account. If the algo is doing bad, you are paying too much for the subscription. If the algo is doing good, you need to increase the subscription all the time. If the surplus would be untouched (also in back testing), then the licensing could continue without that it stops as I am currently facing. It is not nice that the algo stops as it might not anticipate correct if it is turned on at a later moment. In particular, if you stop it or the license has a problem, it is impossible to see the last trades to correct manuallly or to have history, or run the algo to replay if it did run as is illustrated in the backtest or its performance.

Keep the good work going, hope this feedback helps, and I hope to retire soon :-).

Thank you for the questions Manoj Agarwala 
- I've updated the text to make it clearer; the reserve price was $3 per $10k allocation.
- Periods are monthly, correct. We are updating this now to allow 1M, 2M or 3M licensing.
- The instruments traded are lower down on the Alpha page as a pie chart.

Thanks for the feedback Quant Trader we're working on simplifying it now:
 - A single account is the plan! We are designing it now but it's a complex project so ETA 2-3mo.
 - Servers will be included in the licensing code so you don't need to manage them.
 - Licenses will look more like subscriptions with a maximum subscription cost (bid).
 - We cannot charge based on performance due to US regulation so it will need to be a fixed subscription. 
 - We're keeping the auction system to provide the best place for quants to monetize their alpha; despite potential higher costs for investors. An ETF beta follower is not comparable with an alpha-producing strategy. 

The auctions will now also only run monthly to provide some more stability to investors and make it feel more like a subscription. These new changes should be about 3-4 days away. 

I'm still very curious how the capacity is being calculated.  I've read in the past that if your trades are under like 5% of the daily dollar volume you're not really going to make any waves.  I'd like to see how the calculation compares to that arbitrary benchmark.  

Stephen Hyer : 5% of the daily volume is pretty huge, actually. Let's think of Jarnuary 21st of 2008, the day that the Societe Generale liquidated what they could of their huge exposure of about 50 billions € previously taken by Kerviel, which leads to:
https://www.onthisday.com/date/2008/january/21
and:

https://www.theguardian.com/business/2008/jan/22/marketturmoil.equities

Agreed, there were other bad news, bad mood, maybe some people saw that there was "something to profit from"... the US markets were closed because of the bank holiday, which probably increased a lot the volatility of this day, and the issue that Societe Generale had: they were compelled NOT TO trade more than 10% of the daily volume of futures (CAC40 and DAX30 if I remmember well)... but the exposure of selling about only 20 billions by Societe Generale on the future markets were enough to ignitiate one of the biggest sell-off at that time (agreed, the sell-off of October 2008 would be MUCH MORE VIOLENT only 9 months later, but at that time, the 21rd of January 2008 was really something!)

Still, as you, I would be very interested in knowing more about the capacity calculations of QC.
 

The full source of the capacity estimate is here. TLDR:

• Sum of 2-20% of the volume in the 10-60minutes after a trade happens. Minute data uses 20% of trailing 1-60min bars and daily data 2%. 
• Averaged by the number of trades in the period to penalize fast traders. 
• Scaled up by smallest capacity asset max(fraction of holdings, sale volume) in the period monitored. 
• 3-EMA on the capacity to smooth it out.

In the case of multiple alphas, how would QC manage clashes in terms of trading the same equity (in the same account)?

Also, it is possible to get a list of symbols traded by a specific licensed alpha? So that I can safely deploy my own algorithm in the same account (but exclude those symbols) to prevent issues. This would be a good option in the meantime while a QC team develops a more sophisticated system.

Hi Seersquant,

When trading multiple alphas, each alpha is allocation a portion of the overall portfolio.

To get a list of the most traded assets by an alpha, visit the Alpha's page in the Alpha Market. To get a list of all the securities, we can either:

• Use the GetHoldings method.
• Backtest the alpha and check out the orders.

Note that SDK credentials are required for this. Please contact support@quantconnect.com for more details.

Best,
Derek Melchin

Hello, 

I take this discussion to ask some questions about Alpha Market.

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1- Is the calculation of the metrics in the apha market done using the full backtest and the live period?I think that some strategies are calculated trailing, which ones and how?

2- What is the Score formula? PSR, Sharpe and Capacity ... but how?
3- There is a column that is "Traded Assets" but it is "0" in total, what is it?

4- The bidders is the number of different investors in the alpha?("License Holders" or "OrderBook Bidders" for the next)

5- Which are the benchmarks to calculate the information ratio in the different assets (forex, cfds, crypto, equities)?

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6- Is there a site where I can see what someone who buys a license sees?
I do not understand the process, I do not know if you receive the insights as a message in your dashboard or if you operate them in your account automatically or if perhaps you can do both. I don't understand that an alpha has 400 live insights and 0 trades per day, aren't stats trading orders? it would be interesting to see it as a license buyer to know how is.
7- How do you control the real allocation of license buyers?

8- Sometimes some metrics are missing or do not match those of the report, a "-" appears or decimals are missing, why?

9- In the alpha market I see "Sharpe" and in the report I see "Live Sharpe Ratio", can you explain how it is calculated?
I think a section is needed in the documentation where the calculation of all the metrics QC uses (like the capacity calculation that Jared explained above, PSR or DTW but all together ).

10- I understand that the Reserve Price is the minimum that can be bid for a license and from that price it would increase through auction, but first the capacity should be exhausted, right? Or if someone exceeds the offer of the other bidders even though the capacity has not been finished, all of they must raise to continue?

11- On the page to license alphas, Order Book contains the bids for the next auction and License holders contains the current bidders who have the license? If the holders have a license for several months, will they appear in the Order Book?

12-Why is the name of the creator of an alpha hidden in the market? it would be interesting if you like someone's work in the community to be able to see their alphas.

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13- Will I always be able to send alphas to Alpha Market with the Classic Algorithms format or do you intend to withdraw them at some point? Is there any kind of penalty for not using the algorithmic framework?

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14- In the fund projects page I see funds requesting licenses for futures but that is not possible, what happens then?Where it says licensed AUM is what they already have licensed in QC or what they want to license for that requested project. 

15-There is some site with statistics of the funds that work with QC even if they were anonymous?, total AUM, average AUM in QC, number of funds, geographical origin ... it would be motivating to know these data.

Thanks!

Another question
Why are there strategies with negative performance throughout its history? How did they pass the inlet filter?

Example:

https://i.imgur.com/6d8olv1.png

- "Live" are calendar days or trading days?

Hi J Viq,

#1 - The Key Statistics displayed in an alpha listing are reflective of the live trading performance. To see how they are calculated, refer to the source code here.

#2 -

#3 - We've reported this to the UX team to resolve.

#4 - Bidders: The number of open active offers to license the alpha from other investors

#5 - The benchmark is SPY.

#6 - Once licensors  buy the Alpha Streams bundle, they get access to the SDK. The view is basically the same as a normal live project (Holdings | Orders | Insights | Logs tabs) but the code is hidden.

#7 - Please clarify this question.

#8 - Thanks for reporting this. We've made a GitHub Issue to have this resolved. Subscribe to our progress here.

#9 - The "Sharpe" is equal to the "Live Sharpe Ratio". The name has just been shortened to fit in the table that's displayed in the alpha market.  We are in the process of updating our documentation. We appreciate the feedback and patience.

#10 - Correct, the capacity must be exhausted before price will increase. The bid users provided is the maximum price an investor is willing to pay. If another investor outbids you, we will email you an option to continue licensing the strategy.

#11 - Yes

#12 - This is done to protect the privacy of the author.

#13 - Alphas in the market are not required to use the framework designed. However, the algorithm must emit insights. Refer to our documentation here.

#14 - We are actively working on this and hope to enable futures and options support soon. The "Licensed AUM" is the amount the fund currently licenses from the Alpha Market.

#15 - This is not currently available.

#16 - We have had a different criteria that allowed negative performance. With PSR>80 criterion, it is no longer possible.

#17 - Calendar days

#18 - All assets must be tradable by the same brokerage. Since IB cannot trade crypto nor crypto brokerages can trade SPY, it's not possible.

Best,
Derek Melchin