Live Trading for Multiple Algorithms

Hi Jason, you can run multiple algorithms live but only one per brokerage account. If you ask for a sub account at the brokerage all the order fill events are separated amd its safe to deploy a second algorithm.

I've just asked IB how to create sub accounts but their response is that it's not supported by IB-AU, as my account is under the IB Australia entity.

Has anyone else hit this wall and perhaps found an alternative? Of course, one option is to create new accounts but then the exchange and other account fees would be charged on each account which is not the case with sub accounts.

Any info appreciated.

Thanks.

Hi Ernest, are you trying to route to multiple brokerage accounts or run multiple algorithms?

Hi Jared,
I'd like to use a single 'master' brokerage account but allocate each algorithm to a sub-account. Is my understanding correct that this should be possible, based on your earlier comment in June 2017 in this thread?
-ES

Hi Ernest Shaggleford, we have implemented that feature and you can learn more about in the documentation under Institutional Accounts section:

Unfortunately, this is not available for Australian financial advisor due to IB restrictions.

Hi Alexandre, the feature that Ernest requested is to allow virtual sub-accounts (managed client side) that run on a single master account at the exchange, whereas the implemented feature is the opposite that allows running same strategy on multiple sub-accounts at the exchange.

I also want to suggest adding virtual client-side sub-accounts that would provide the followings:

1. Enable creating sub-accounts even if the exchange does not support the feature on their side.
2. To manage ownerships for FA users
3. To allows multiple separate strategies to run on a single exchange account, but limit each strategy to access only its allotted assets and not conflict with other strategies.
4. Obfuscate the workings of each strategy from the exchange since orders from all strategies are executed on the same pool.
5. Get balances, trade history and orders for each account individually, so this allows measuring the performance of strategies individually and as a whole.
6. Transfer assets between sub-accounts, allows charging fees from the users, rebalancing strategies, etc.

Note that we may have FA user sub-accounts (one account per user) and strategy sub-accounts (one account per algorithm) both of them map to the same master account. This will allow managing ownership of multiple users (slices) on a single master account (the pie) as well as diversifying strategies by allocating multiple algorithms to run on the same master account (all users benefitting from the diversification from all the strategies). I think this would be a very useful feature to add to QuantConnect. I also tag Jared Broad here for comment.

Thanks! 

Thank you for the detailed reply Omid; it is a new feature I'd be happy to research and see how much it would take to implement. I'll reach out separately and schedule a time for a call to discuss further. 

I think the feature request of Omid is a very essential one! 

In my opinion, it's very basic to allow the users to diversify their live trading account with multiple strategies and not to be forced to rely on just one strategy.

I would be glad to know if there is any intention of QuantConnect to add this feature in the future.

Thanks

This feature already exists IMO.  You can have multiple alphas in a framework algorithm that all emit signals. Just use a portfolio construction model that aggregates all the signals into one and make your trades based on that. I use that to live trade 3 strategies in one algorithm on IB myself.

Thank you for your response Lukel. It's indeed sounds like the feature I have talked about. I will check it out.

Hi Lukel. I've gone through the related documentation carefully but I have no idea how to combine multiple algorithms into one. Would you mind sharing some simple examples? Thank you very much.

LukeI do you mind sharing a little more info on how you do what you described with the multiple alpha models sending signals to a portfolio model? If you could share a template algo that'd be great!

Tommy Tommy ever find out anything on this?

Hopping on the wagon here, any updates? This is definitely a feature I would love to have.!

Lukel’s option does seem to be quite interesting as well, would love to see any examples and take a stab at a rudimentary version.