Hey quant community I have my trading algo setup offline with some hsitorical data so that I can run my models through some optimization algorithms. I am only working with the GDAX brokerage so I worked in the GDAX fee model by subtracting 0.25% of my cumulative % return each time I would excecute a trade. My problem is that the results I get from my algorithm running locally are wildly different from when I run my algo with the same settings on quantconnect. This doesn't happen when I don't take into account fee's so their must be something wrong with my fee modeling. Can anyone help?
Derek Tishler
To apply fees and other reality items, try using a(the Gdax) brokerage model in your algo:
To see what could be different regarding your own calcs, can check out the relating source code for the models on Github.
Luke Waldner
Unfortunatly due to the amount of consercutive backtests I need to perform it's not really practical to run it in LEAN so using the ctual brokerage model isn't possible. I was hoping someone could give me some insight into what the brokerage model actually does and why my fee model isn't producing similart results.
Luke Waldner
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