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Interactive Brokers: Limit-on-Close Orders
Param Sidhu
posted

I'd like for my algorithm to place limit-on-close orders through Interactive Brokers, which I have read about here. From their website, it seems it is possible to generate these orders through IB's smart router.

Is it possible to place these kind of orders through Quantopian, and if so, has anyone done it before? If not, does the Quantopian team have any plans to add that functionality? I think it would be really useful as a lot of strategies on here seem to trade at the close.

Thanks in advance for any help!

1 response
Alisa Deychman

Hi Param,

Thanks for letting us know! At the moment, we don't support Limit on Close orders, but we do have Relative Orders and Best Effort VWAP orders. Take a look at those, perhaps those would be interesting for your strategy. We're working on adding robust features to the platform to support backtesting and live trading and this feedback helps us prioritize our next work.

Alisa

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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 Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian 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.