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Hey Quants,
When choosing to go live trade, I am given the option of choosing between quantconnect vs interactive brokers as a data provider. Do I choose interactive brokers here? In term of choosing a live server, does the live server with 1 gb of ram has a faster cpu that the live server with 512 mb ram? There is no information on cpu clock speed when the choices are given. My strategy is intraday(equities) and I liquidate all positions before EOD. Is there a EOD best practice around intraday systems(e.g. stopping and reploying everyday vs keeping the algo online without interruptions)?
LukeI
In my experience, you want to use quantconnect's free data as opposed to IB's data unless you are already subscribed and pay for some specialized data from IB that quantconnect doesn't have. The ram is the amount of server memory that your algorithm can take up before it errors out. Things that use up your memory are extensive history calls or using a lot of securities simultaniously. If you are trading a small group of symbols intraday then you should have no memory problems. All the algorithms have the same CPU power allocated to them so it's not like you can get faster execution by buying more. The only way to ensure your execution is as fast as possible is to write well optimized code. Remember that latency doesn't matter until you get to the realm of HFT which is measured in milliseconds or less, in which case Quantconnect probably isn't what you're looking for.
The algorithms are designed to be continuously deployed but they stop executing after market hours and resume the next morning automatically as no new data is coming in. I belive that scheduled functions can run any time you designate. If your system liquidates EOD then you want to schedule that function so that it leaves enough time (a few minutes) to execute your trades and ensure you get fills before the market closes.
The algorithm will occasionally get errors during live trading so you should make it stateless so that you can redeploy it when needed and it will pick back up where it left off.
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Showvik Sizan
Thank you Lukel. I think my algo is not "stateless" in the sense that it extensively relies on some dataframes I am caching in the Initialize method. If the algo gets errors and tries to resume, will it try to reinitialize? Let me know if I am totally missing the concept of "stateless"
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.
Alexandre Catarino
Thank you for the informative discussion!
Let me just add the link to the documentation on Live Trading before we close this thread:
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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