Hi, I think I found a bug. I sold a position that was not seen by Quantopian since it was an option position. The cash I received for selling got added straight to my pnl and now I'm up a few % that I shouldn't be. I wonder if it does this too if you just deposit cash into the account.
Hi Walter,
This is a known (but unfortunate) behavior. IB segregates accounts by asset classes but transactions in all of them are linked to the same "cash" portfolio. We take the cash position reported by IB as truth so non-equity transactions in the same account do affect your algo's available cash.
One Solution is to create multiple linked accounts or sub accounts to segregate the accounting. Run your equity algo in one of them and do any hedging / derivative trades in another. You can still use the "what-if" risk navigator and view reports of the consolidated accounts though. Sorry for the inconvenience but I can't think of a way to fix this without disregarding IBs accounting which would feel very wrong.
David
What if I just deposited cash into the account, I'm assuming it wouldn't affect performance? Couldn't you just do something similar for cash received by selling non-stock positions? It's no big deal since I just started the algo today, I can just restart it. What is the "what-if" risk navigator though? Or is that an IB thing?
The metrics in the live algo dashboard (returns, PnL etc) are not able to differentiate between cash deposits/withdrawals and algo returns. If it sees a cash increase, the metrics assume it was a profit made by the algo - not a cash deposit. It's something that's tricky to tackle and we're working to find a better solution.
Disclaimer
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.
Please sign in or
join Quantopian to
post a reply.
Need help?
Contact support.
Company
Learn & Support
Notices
Follow Us
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.