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So, I’m building a high-performance trading strategy on tick data—buying and selling within a second. Right now, I’m running simulations on QuantConnect, and the results look promising. But here’s my concern: is QuantConnect really a high-performance trading platform? I’m kind of worried that once I go live, things won’t perform the same way.
Should I be thinking about building my own HFT setup to host my algorithm? Because honestly, performance is everything for my trades, and I can’t afford execution delays messing things up. What do you think?
Mia Alissi
Given your focus on high-performance trading strategies using tick data on QuantConnect, consider the following points:
QuantConnect's Latency: The platform is not expressly designed for high-frequency trading. The latency for US Equities data ranges from 5 to 40 milliseconds, with more significant latency coming from broker order round-trip times, ranging from 100 milliseconds to 5 seconds. This can be a substantial issue in a high-frequency trading environment.
Broker Integrations: While QuantConnect integrates with high-speed brokers that could potentially reduce latency, the overall platform might not meet the needs of true high-frequency trading strategies that require microsecond precision.
Colocation and Co-Located Servers: QuantConnect algorithms run on co-located servers at Equinix, which helps reduce some latency factors, but this setup might still fall short for strategies requiring near-zero latency.
Custom HFT Setup Consideration: If execution speed and low latency are critical to your strategy's success, consider developing a custom high-frequency trading setup. This might involve co-locating your servers directly with the exchange or working with a highly specialized broker offering direct market access.
Real-time Data Simulation: Use QuantConnect's real-time data to simulate your strategy as close as possible to live trading, which can help identify potential discrepancies between backtesting and live trading.
API Limitations and Usage: Efficient utilization of methods to manage subscriptions and orders can help, but remember there might be execution delays when transitioning from backtesting to live trading.
In conclusion, while QuantConnect is excellent for algorithm development and testing, a tailored setup focusing on minimizing latency and enhancing execution speed is more appropriate for high-performance trading. This approach may involve direct interactions with exchanges or employing infrastructures that provide the necessary speed and reliability for high-frequency trading.
Sources: US Equities - QuantConnect.com, Crypto - QuantConnect.com, Data Preparation - QuantConnect.com, Opening Range Breakout for Stocks in Play, Intraday Dynamic Pairs Trading Using Correlation And Cointegration Approach
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.
Hasan
Are you saying that even though my simulation is showing positive results, it won’t behave the same way if I deploy live on QuantConnect?
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.
Louis Szeto
Hi Hasan
Indeed, like Mia's reply, LEAN is not meant to develop for HFT, but we have integrations to high-speed brokers if you need them. You may contact support@quantconnect.com for details.
Best
Louis
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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