SHARES

Hello John,

The Quantopian guys can confirm, but I suspect that you are getting the expected results. The backtester is designed to simulate real-time trading on a daily or minutely basis. In your algorithm, when the backtest loop executes order(context.qqq, 50), you are simulating submitting an order. The order gets fulfilled in the next "tick" of the market for QQQ. Under the quick/daily backtest, the ticks are daily and under the full backtest, they are minutely. For highly liquid securities (I think QQQ is one), there should be a tick for every day/minute the market is open. There are a few more details to order submission/fulfilment, but see if this explains your case above.

For the quick/daily backtest, the datetime stamps are, for example (log.debug output):

2012-01-03handle_data:15DEBUG2012-01-03 00:00:00+00:00

The only non-zero output is the date (times are all set to zero). So, I suggest having a look at your logic to see if it is consistent with the datetime stamps of the daily tick data.

@Grant you have it right, thanks!
@John, thanks for the question - feel free to ask more!

Ah, so the quick backtest is daily ticks. That explains why I have to run the full backtest to see my one trade. A few more generic questions:

-Is there access to options trading?
-Can Quantopian connect to an IB account or IB Test account to test in real-time?

It's been a great platform so far, thanks for the hard work guys.

Hi John,

Orders can be either long or short. Not sure about options...I don't think so.

Quantopian is working on paper & live trading with linkage to a brokerage. Some level of backtesting will continue to be free (hopefully including real-time paper trading, but I wouldn't count on it).

Fawce or another of the Quantopian guys can fill you in further.

@John, glad you like it so far! Thanks for the questions.

We don't have options historical data, but it is a frequent request. Our plan is to build an end to end system that allows research, simulation, and trading for US Equities. Then we'll diversify the instruments to include futures, options, and forex.

Integration with a broker for live trading is our current top priority. Is IB your top choice for a broker?
Historical backtesting with the current data will always be free, and to the extent we can, we will expand the free backtesting data universe.

Please let us know what else you'd like to see!

thanks,
fawce

Yes, IB is the top choice for a broker. Of course, everything free would be ideal but unrealistic. I would like to see free real-time paper trading on IB though. It would help with ironing out bugs associated with actual trading. Basically, as close as we can get please! :)

When I uncomment "orclose = 0", the full backtest crashes and gives me an error. A pop-up window comes up and says "your algorithm can't be backtested because it has some code problems". Am I doing something wrong? Thanks in advance.

import datetime  
from pytz import timezone  


def initialize(context):

    context.qqq = sid(19920)  

def handle_data(context, data):  
    oropen = 0  
    #orclose = 0  
    dt = data[context.qqq].datetime.astimezone(timezone('US/Pacific'))  
    if dt.year == 2012 and dt.month == 7 and dt.day == 5:  
        if dt.hour == 7 and dt.minute >= 0 and dt.minute <=5:  
            if dt.minute == 1:  
                oropen = data[context.qqq].price  
                log.info("%s" % oropen)  
                order(context.qqq, 50)  
            #if dt.minute == 5:  
            #    orclose = data[context.qqq].price  

Hello John,

Please see the attached code. I uncommented the line in question and added log output:

orclose = 0  
log.debug(orclose)  

The log output is required to get the code to run under the full/minutely backtest. It will build & run under the quick/daily backtest without the log output line, with a warning that the variable is not used:

11  Warning Local variable 'orclose' is assigned to but never used  

Note that the logging introduces another problem which I'll try to understand. At one point, the minutely backtest bogged down at ~75% completion. When I reloaded the page, it showed completion, but the time series plot had not updated.

In any case, I suspect that the minutely backtester won't accept variables that are not used. If so, this seems overly restrictive.

I found that instead of using logging, your code will also execute with:

orclose = 0  
orclose = orclose  

A kludge, but it works!

There still appears to be a real snafu here, since your code should execute with all of the commented lines uncommented:

import datetime  
from pytz import timezone  


def initialize(context):

    context.qqq = sid(19920)  

def handle_data(context, data):  
    oropen = 0  
    orclose = 0  
    dt = data[context.qqq].datetime.astimezone(timezone('US/Pacific'))  
    if dt.year == 2012 and dt.month == 7 and dt.day == 5:  
        if dt.hour == 7 and dt.minute >= 0 and dt.minute <=5:  
            if dt.minute == 1:  
                oropen = data[context.qqq].price  
                log.info("%s" % oropen)  
                order(context.qqq, 50)  
            if dt.minute == 5:  
                orclose = data[context.qqq].price  

In this case, I still get the "Local variable 'orclose' is assigned to but never used" warning even though clearly there is a conditional assignment in the last two lines of code! Guess it needs to be an unconditional assignment.

@Grant, awesome debug!
I've opened a new bug on our side to make sure that warnings like this one do not block the full backtest run.

Hi John and Grant, we've fixed that issue - warnings no longer block full backtests. Sorry for the inconvenience, should be all set now!