Is the backtest IEX Order Routing price data different?

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Is the backtest IEX Order Routing price data different?

posted Jul 6, 2015

Is the backtest IEX Smart Order Routing price data different from default price data used for backtesting?
IEX: https://en.wikipedia.org/wiki/IEX , http://www.iextrading.com/ , 60 minutes - Flash Boys: https://youtu.be/M6e2FL-o1zs?t=5m47s .
I understand how IEX Order Routing works in live trading and I understand why it can ( and mostly is ) giving different results from the usual market order type. But is there different price data recorded and used for backtesting with:

from brokers.ib import IBExchange  
order(stock, x_shares, style=MarketOrder(exchange=IBExchange.IEX))

?

2 responses

Hi Adrian,

In backtest we ignore the exchange routing option and your algorithm gets the same minute-bar pricing data it would in any case. I'd be very curious to get any feedback or data you've accumulated executing on IEX, I'm sure they'd be interested too and I could certainly connect you with someone there to learn more!

Best, Jess

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Thank you very much for your prompt response, Jessica. I will record the execution price for different orders for exactly the same algos with and without IEX routing and, if I see any significant difference, I will make some statistical analysis with the data and provide feedback. Thanks again!
Regards,
Adrian

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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.

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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.