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Quarterly Open-Source Trading Competition

The Open-Quant League is a quarterly competition between universities and investment clubs for the best-performing strategy. The previous quarter's code is open-sourced, and competitors must adapt to survive.

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The Open-Quant League is a quarterly competition between universities and investment clubs for the best performing strategy. Previous quarter's code is open-sourced, and competitors must adapt to survive.

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Intraday Charts?

I would love to see intraday candlesticks available on the Backtest results chart. Are there any plans for it? It looks like it is supported by HighCharts. Thanks!

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Deric B

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Jared Broad

STAFF ,

Hey Deric, we currently limit the resolution because of the enormous amount of data it would take to store the high resolution versions of the charts. Can you can draw custom charts which focus in on specific time periods? I will investigate loading minute bars data from the backend with @Gustavo. We will probably need to restrict the display to small periods (max 3 hours at a time etc) to keep data providers happy.

Deric B

1.6k ,

Thanks for the insight Jared. I'll try the custom charts approach and post if I get anywhere. Minute bars, even for small time periods, would be fantastic. Even 15 minute bars would add a ton of visibility into my backtests. Maybe there's an opportunity here to offer more viewable data for Prime / paid subscribers (I'm interested!). I think that any kind of intraday charting would be a great feature / selling point that no one (Quantopian) is offering. I'm very much a beginner so my perspective may be skewed.

Jared Broad

STAFF ,

No problem, I agree intraday charts are important. I relied heavily on them for my personal strategy design as well. We just need to balance the data it would consume (slow downloading charts, expensive storage etc). I like the idea about offering higher sampling rate to subscribers - that would be very easy to do.

Deric B

1.6k ,

Yes! Count me in.

Deric B

1.6k ,

Here's an intraday chart example. 1m resolution/detail is shown from the time of the algo's first trade to the end of that first trading day. You will have to clone this project, backtest, and then click on the custom chart "IBM 1d", and then zoom in a bunch. 1m candlesticks refuse to draw, but I'm pretty happy with the additional data that I can see :) I'm going to experiment with 1m stacked charts to see if they behave any differently (draw candlesticks).

Jared Broad

STAFF ,

Well done! That's pretty cool! Each day has 390 minutes, and we can show up to 4000 points on a chart. So you could do up to 10 days intraday if you wanted. To get more intraday charting we'll need to do some intelligent zooming - since the data is several megabytes per chart and far too big to display in a browser.

Deric B

1.6k ,

Thanks Jared! Yeah, viewing more than a single day will be nice. I'm working on a new version that takes a start date and number of days you want to view, and adds a custom chart accordingly. I have no idea about how you would need to engineer around the max data per chart vs. zooming. I think some charts pull in what they need with ajax to support "infinite" data, or maybe define an intraday chart type that's fixed at a certain resolution (1m bars only). I'd love to help but that whole area of functionality is closed source :/ One thing that would be great for right now is if a custom chart could initialize with its own start and end dates (based on data being present for those dates), rather than using the start and end dates of the larger backtest.

NathanGeorge

3.9k ,

Nice, if you change this line else if (idChartTradeDate.HasValue && marketDateTime.Date <= idChartTradeDate.Value.Date to something like else if (idChartTradeDate.HasValue && marketDateTime.Date <= idChartTradeDate.Value.Date.AddDays(5) you can have multiple days of minute-ly data, but there are large gaps between the market open and close--is there any way currently to get rid of the gaps?

Jared Broad

STAFF ,

No sorry there's currently no way to get rid of the gaps -- its a weigh up between dynamically drawing the charts (making the initial streaming chart) or having the gaps when zoomed in. We chose the gaps because most people aren't zooming in that far. We probably could remove the gaps when the backtest has ended though. I'll look into it with Gustavo on Tuesday :)

NathanGeorge

3.9k ,

I see, yeah it would be nice to be able to optionally remove the gaps but it's not that hard to click and zoom.

Gosha Mironov

19 ,

And after two years intraday chart in backtest was not implemented :(

Petter Hansson

10.5k ,

It would help a lot yes, even if it was limited to a very small period that had to be selected in advance to limit data reqs.

Deric B INVESTOR

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