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Quantopian real-money live trading algo - is it still running?
Grant Kiehne
posted Apr 24, 2015

Quantopian team,

I'm wondering if the real-money live trading algo you launched a year ago is still running:

http://blog.quantopian.com/real-money/
https://www.quantopian.com/posts/paper-trading-with-interactive-brokers-open-beta-launch

If so, how's it doing? What have you learned? If you run a backtest of the algo over the same time frame, how do the results compare to those from the real-money algo? Would it be possible to post all of the data you have for this algo to the research platform (e.g. Nanex Nxcore feed, IB trades, all with datetime stamps, commissions charged, etc....all events, everything!).

And if you stopped the algo, then why did you stop it?

Also, by my count, you potentially only have 3 funded algos running; this one and the two contest winners, with a total capital outlay of $230,000. Correct? If there are others you've been toying with, it would interesting to learn about them.

2 responses
Jessica Stauth
Apr 24, 2015

Hi Grant,

My account 'owns' the real money algo I think you're talking about. It's still running, tracking the SPY. While this algo is set up to rebalance it's holdings daily, that it only results in trading a share or so each day - so this is not a great tool for studying transaction costs. We've found that the backtest matches the live trading performance quite well.

I don't know of an easy way to share the transactions file publicly - but I'd be happy to send you a sample text file to check out if you're curious. Simon did point out to me that we should try to change the account pricing as currently I'm hitting the $1 min per trade fee when possibly I could user our larger account structure to get around that.

We have been discussing updating this live algo with something more interesting - but have not pulled the trigger on that yet. You can be sure if and when we do that you'll hear about it here first :)

livealgo

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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.

Grant Kiehne
Apr 24, 2015

Thanks. Well, it might be a nice, simple test case to grab all of the data, including any timing info., to see how it compares to expectations. For example, I'm curious about the whole round-trip, Nanex Nxcore feed --> Q algo --> IB --> Q algo. Timing, slippage, fills, commissions, etc. And can you actually see your own trades in the high-frequency Nxcore feed that you consolidate into bars? Lots of researchy questions that could be asked, if you coughed up the data and made it public. An opportunity to walk-the-walk with respect to transparency! --Grant

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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.