Hi,
I have 2 questions regarding zipline maybe somebody here can answer:
1) What it is the best and cheaper Datafeed for daily trading 1 Minute to hook on Zipline?
2) How I can connect zipline to Interactive brokers without the need of their TWS java app?
Many thanks,
EG
1) Interactive Brokers or perhaps IQFeed (I don't have experience with it)
2) Use the IB Gateway for production and TWS during development. You can control the gateway through IB Controller (see http://www.thealgoengineer.com/2014/ib-headless/). If running on a Unix system, you will unfortunately need a desktop environment to run either.
Thank you, I have done that in the past but the solution was very unstable it was getting disconnected very often. I had finish by not using it. I was surprise that here in Quantopian it seems to be working very smoothly
Actually I've experienced the same issues when using the demo account. Though IB are notorious for their feed quality I suppose these connectivity issues are mostly related to the demo account. As for Quantopian, my understanding is that they're using Nanex. Can anybody confirm?
Yes, Nanex Nxcore feed, per https://www.quantopian.com/faq#data:
For paper trading and real-money trading, we get a realtime feed of
trades from Nanex's NxCore product. Those trades are bundled into
one-minute bars and fed to the trading algorithms. Paper trading data
is provided on a 15-minute delay. Real-money trading is processed
without delay.
In theory, anybody might be able to get a feed from Nanex. See http://www.nanex.net/nxcore.html. However, it is my understanding that Q has a proprietary system for computing the minute bars; they get the trade data stream from Nanex and compute the bars in pseudo-real-time (I don't think that they actually have a distributed precision clock for synchronization with Nanex and beyond. I've gathered that they just use the datetime stamps on the individual trades for synchronization, but there may be some comparison with the local Q system clock to make sure that the differences stay within a range). Also, keep in mind that there are two separate data sources--one for backtesting (unpublished source) and one for paper/real-money trading. They are likely different, if one analyzed them in detail.
Why do you want to skip the TWS java app? I find it helps a lot to monitor and even co-work with automated algos.
Thanks Grant.
Lucas, because I want to be able to have multiple accounts to manage different strategies.
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