I am new here. So hope my question are good ones. Suspect someone has already asked them. or its already documented somewhere..
Intrabar Processing
am trying to make my bull call spread back test as real as possible. So it is getting long at 1000 lines. Also trying to make it so it can be run on my IB account live.
When running a back test on daily time frame. If a limit order, stop lost or take profit is hit. Is the even processed at the daily basis or at a lower time frame or tick level?
This is important when a price crosses two or more of the above on the same bar. was the order filled, before the take profit or stop list price hit or after. When an order is open is the take profit or stop loss hit first. If using intrabar data that is tick or lower time frame data the backtest is correct. Else the back test is wrong.
Also with option data what level of detail is there a open, high low and close for each option contract for each minute. When an limit order is submitted in the back test for an option contact.
Is lower timeframe data used?
Does the option contract data include open high low close and is this used when processing option orders or open position exit conditions?
Conditional Order
If I am doing multi leg option trades. QC does no support multi leg orders yet. Is it possible to have conditional orders. So the lower strike long call limit order is submitted and an attached conditional order on fill is attached for the upper strike short call limit order.
Presently my code submits the long order waits for the next On Data event 1 minute later. Check if the order is filled and if so submits the short call order. This way I do not end up in a Naked Short only position where the short got filled, but the long did not.
If I can do conditional orders this would simplify my code and reduce slippage.
VXX A
Is the VXX A underlying and option data being made available. It appears there is only VXX B. data as VXX.
The first series if VXX data that could be added with the symbol VXXA so it does to clash with the second series VXX formally VXX B.
I have an other strategy that I want to back test on VXX A data
Multiple feeds
.Is it posible to have two feeds of the same underlying. One adjusted and the other raw.. This way my position sizing is correct to the account size when trading assets with multiple splits. But the indicators are using the adjusted data for entries and exits.
World Trading Championship (WTC)
I had an idea. They could help QC get noticed. Add support for WTC brokers. This would allow us to enter the competition. If a WTC winner or place holder used QC. It would add to QC market awareness and drive more users to your platform. Personally I like the community is not to big and personal.
Pre Close Calculations
Is there a way to have the daily indicator calculate there values before the close on the data at that time. Say 5 or 15 minutes before the close. But use the actual close on all prior days..
Thank you every one for your help. Amazing community and support and QC team.
Derek Melchin
Hi Jackson,
In this case, daily. It matches the resolution of the security subscription.
To view all the factors that the fill models use, see Limit Orders.
Conditional orders aren't currently a built-in feature. We need to manually create & manage them.
There is a common misconception with respect to VXX. VXX didn't become VXXB, VXX expired. The new product that replaced VXX has ticker VXXB. Later, the ticker changed to VXX. In other words, the "new" VXX (former VXXB) is different security from the "old" VXX. That's the reason why if you ask LEAN today to get VXX, it will return all data from the "new" VXX i.e., since February 2019. If you want to retrieve the data from the old VXX, we need to ask for it using its permtick (vxx.1).
This functionality isn't currently available.
There is no built-in wait to do this, but we can achieve this with manual indicators.
Best,
Derek Melchin
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Jackson Dude
Thank you very much Derek. I am a beginner and slowly learning. It is wonderfup to have and expert help and advise.
Jackson Dude
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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