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I'm doing some homework on the Overnight Anomaly (https://quantpedia.com/strategies/overnight-anomaly/). One thing I've noticed is that, whereas MarketOrders filled during the trading day seem to rely on Quotes to provide a bid/ask spread, MarketOnClose and MarketOnOpen orders seem to have no bid/ask spread.
The net result is that the strategy backtest seems to exclude the spread cost inherent in the Overnight strategy. Even though it's only ~$0.01 during market hours for SPY, over 252 trading days that adds up to ~60-70bps of drag in return, bringing the Sharpe ratio more in line with a simple SPY buy-and-hold.
Am I reading the backtest Order fill results properly that MarketOnOpen and MarketOnClose orders have no bid/ask? If so, does this model reality, or is it just a Quantconnect convention?
See attached a version of the Overnight Anomaly book that doesn't rely on MarketOnClose.
Michael Rand
Understood. I guess a cleaner way to ask the “does this model reality” part of the question is “Is there an implied bid/ask spread paid by MOO and MOC orders due to the way the auctions function”?
For example, if everyone were doing MOC Buys to execute the Overnight strategy, wouldn't the imbalance on the Buy side require the price to go up to clear the auction? Even though there isn't an NBBO to see the spread in, it seems implicit in the way the auction clears.
This is probably an overly simplistic view of things, and I guess if I wanted to estimate such an impact, I could create a CustomFee for MOC/MOO orders specifically to capture it.
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Derek Melchin
Hi everyone,
This is a known issue we are working to resolve. Sorry for the inconvenience and thank you for your patience.
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.
Kevin Du INVESTOR
Any update on this? I use mac and chrome the autocomplete doesn't work at all. I can't make any progress coding, especially I'm new.
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.
Derek Melchin
Hi Kevin,
This thread is in regards to autocomplete in our web IDE. Refer to this readme for guidance setting up autocomplete in a local environment. Please open a new thread for further assistance if autocomplete still doesn't work after following the readme.
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.
Laurent Crouzet
Kevin Du : it seems that autocomplete is eventually working again for me (Windows, using Chrome to connect to the web IDE)
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.
Kevin Du INVESTOR
It worked in my web enviornment too!
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.
Jared Broad
Yes we fixed this last week :), sorry for the hassle
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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