Some Feedback and Questions

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posted Jun 17, 2014

I'm a long time day trader and .NET developer, and just started using Quantopian a couple months ago to create a day trading system. Below is some feedback, questions as well as some issues I've seen thus far:

First of all, I love your system. I was not familiar with Python and your API, but was coding efficiently within a couple of weeks against your API. I will also say (...or admit) that it has been much harder to come up with an algorithm that makes money than I initially thought. When adjusting for slippage and trade fees it gets much, much harder to make money, especially when trading dozens or hundreds of trades per day. Having said that, your platform highlights this very nicely and that's exactly what is needed, and the rest is just converting my trading patterns into code logic.

Feedback, Questions and Problems:

Problem: My algo is right around 2000 lines, about 100KB right now. I seem to have bumped into a size limit and seem to get a "Error Saving Algorithm. There was a problem saving your algorithm. You don't seem logged in anymore.." message whenever I add more code. Do you guys really have a size limit on the algo code? I could keep things leaner, but I really like nicely commented code! This is kind of a biggie for me...
I'm primarily an intra-day trader coding for hundred's of trades per day and always end the day with no positions. There doesn't seem to be a way to easily keep track of gain/loss for day trade positions that I can see if you don't hold positions overnight. Is there any kind of average execution price on the order objects I'm missing and could use to calculate position gain/loss?
Feedback: I like the random Universe concept (DollarVolumeUniverse), but it would be really helpful to expand this for day trading algorithms. Very handy custom universes would be large percentage movers, and unusual volume. I know I can manually fetch this data, but it seems this would also be easy to provide as a "universe". Additionally, a 200 stock limit is a bit low if I can't efficiently filter down to applicable stocks a bit better.
Question: Pre-market data would be extremely helpful for intra-day trading (am I going against a pre-market trend, what is the volume etc.). Are there any plans to a) provide optional pre-market data for trend analysis or b) allow trading pre-market sometime down the road?
Question: I like to filter out ETF's etc. from the stocks I'm trading. Can you add some additional parameters to allow removing such types of stocks from a universe?

That's it for now. Again, great platform, great potential. Looking forward to launching my first day-trading algo in the near future.

Thanks, Beat

3 responses

Blue Seahawk

Jun 17, 2014

This won't answer anything you said, just an upvote for one point you're making.
I also see those Error dialogs a lot (~850 lines, 33KB), more and more lately. Seems to diminish at times ppl work/sleep. Quantopian has 20,000-plus accounts. What if we're fighting for cpu time at the moment with just 100 others and 60 of them running minute tests, while timeouts seem tight/austere. And yet without timeouts, what then?... Ok, a dialog that says "Server cpu usage: 98.2%, you may continue waiting or ... (____?). My theory: Server traffic, 42% confidence in my own theory.

Dan Dunn

Jun 17, 2014

Thanks for the praise, and thanks for the great feedback.

1) Yes, we do have a limit on how big your algo can be. It's an arbitrary and probably not-well-thought-out choice that was made back when we were prototyping more than two years ago. I have an item in the development list to make that limit much much bigger, but I don't know when it will be done. In the next few weeks I hope. Gary, if you're seeing that error on a small algo, then something else is going on.

2) We don't have much in trade analysis features. Also on the to-do list, but less clearly thought out at this point. More feedback is welcome.

3) For now, to get custom universes, you need to generate the list of your interesting universe yourself and import it using the fetcher universe feature. I'm hoping we'll have a broader in-product universe feature available this fall - we've got a significant effort underway in that. Also, we're working on the performance issues that constrain performance. We changed the limit from 100 to 200 sids recently, and we're working on a different project that has the potential to bump it up more.

4) We have a number of requests to support market-on-open orders and market-on-close orders. It's something we'll get to.

5) We don't have a tagging system on our sids at this point - we just have the name and symbol.

I'm sorry that I don't have more precise answers about what and when we'll ship. But I think we're looking at the same list that you are, and we're knocking out features at a pretty good clip, so we'll get there.

Gary, for backtesting, pretty much every individual backtest gets its own server in the backtest array. There is a common database for all backtests, but that isn't usually the bottleneck. There are exceptions and a big rush of usage can cause 2 or more algos to go on the same server, or cause the database to get cranky, but in general you shouldn't be competing.

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Delaney Mackenzie

Jun 30, 2014

Hello, I'm a new engineer here at Quantopian and I just spent some time working on a fix for the algorithm size limit.

The character limit has been increased by a factor of 20 and should now support algorithms of about 500KB or > 5000 lines. If you still have trouble saving your algorithms please reply here or send an email to [email protected] and we'll look at the issue.

Thanks,
Delaney

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