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Hey Guys!
I am trying to get a deeper understanding of both the historical and live data and how it impacts limit orders.
If I set the equity I want to trade to minute resolution "self.AddEquity(self.ticker, Resolution.Minute)" and then I were to enter into long position with a limit order to take profit. Will this limit order be triggered when the new minute data bar closes on or above the limit order or would it be triggered on tick basis the moment the limit order is touched i.e. I assume with minute resolution, a bar is formed on the minute, every minute. Could the limit order be triggered say, 23seconds into a minute bar if at that point the limit order price is touched or would the limit order only be triggered when the minute bar closes on or above the limit order?
Hopefully that makes sense. Any help is hugely appreciated,
Seb
Rahul Chowdhury
Hey Sebastian,
The sell limit order will only fill if the close of the last bar is at or above the limit price. In order to act on more fine market movements, we need to use higher resolutions. For example, we can use second resolution data, which would allow our algorithm to execute our limit order at 23 seconds into the minute bar.
Best
Rahul
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.
Sebastian Bunney
Hey Rahul,
Thanks a lot for your response. I really appreciate it. So my next question is hypothetically speaking if I were trading this algo live and I put in a limit order would that limit order not sat in the exhange waiting to be fulfilled the moment it is triggered, regardless of when my algo is recieving the updated data. Therefore even though I am running minute data that should be an issue? Or is that limit order only created within the algo itself and therefore is only updated on the resolution set.
Apologies if my question is basic. I am just trying to get to know how the system works.
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.
Sebastian Bunney
Thanks Rahul. I felt like that was the case but thanks for confirming.
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.
Erik Bengtson
Cool James. I will take look. I might migrate what I'm doing to yours baseline implementation.I was just about to create an implementation for turtle soup strategy, better to start from a good basis
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.
Erik Bengtson
Thanks Jay, I will take a look at that option.
James, here my version of your baseline project. I will try to merge with the changes I've done on the previous project. The code looks cleaner.
GIT GenericTree updates
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.
Erik Bengtson
and of course, the current BB strategy implementation there must be only for trading ranges
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.
Erik Bengtson
James,
I updated some code with fixes and to make it compatible with QC
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.
James Smith
Thanks Erik. I'm going to try to integrate your changes as soon as I can. I can work without a pull request but you can go that route if you prefer. I'm giving genetic programming using this setup a lot of attention so feel free to suggest improvements or report any issues. The number one thing that helps me out is getting a third-party opinion on things. I have made quite a lot of changes to this and the genetic optimizer project and am getting fairly pleasing results.
In terms of an optimization rig, I have an old 4 slot server capable of 24 cores that I obtained for basically peanuts. I don't know how the costs stack up over time against cloud compute. I imagine it would even out after a few weeks of running 24/7 as long as power costs aren't too high.
For live hosting of trading algorithms +1 for digitalocean.
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.
Erik Bengtson
James, I will check how to do a pull request. Not really familiar with that.
Next steps for me are the integration of additional signals in order of creating a few strategies. The additional signals I'm looking at is the Autochartist, integration with rest based NN services.
I will provide further feedback as soon as I progress using this framework, but immeditelly I think the configuration is rather verbose, I will change it into 2 steps, to make it more human friendly.
Thanks for this.
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.
James Smith
I've merged the Bollinger and Channel breakout from your fork. Seems like a great idea to allow a survival period for the approximate coincidence of signals. I'm wondering whether this could use QuantConnect.Indicators.RollingWindow?
You're right that the Optimizer configuration is unwieldy for this level of complexity. I may address that sometime soon. In the meantime I'm using a few scripts and tools to shift json around.
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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