4 ms·

> They only focus on the trading algorithms with no support whatsoever for portfolio allocation, risk management, money management, etc. Sorry what? The algos

by mikkom 10y ago

> They only focus on the trading algorithms with no support whatsoever for portfolio allocation, risk management, money management, etc. Sorry what? The algos are coded with python. How can you not include proper risk management, portfolio allocation etc with python?

spitfire 10y ago
Because algorithms and risk/portfolio management are totally different spheres. You don't want to complect your trading algorithm with your risk management, portfolio allocation or order/execution management systems. And that is my point. Quantopian is aimed at inexperienced individuals who have never heard of Black-Litterman and won't notice what they're missing.
- mikkom 10y ago
  > You don't want to complect Some people want full control of the pipeline. I'm one of them so this doesn't bother me personally. However I kind of agree with you as it's PITA sometimes that quantopian does not allow importing external or personal libraries so everything that is not included at the libraries they allow to import must be copy/pasted to each algorithm. I hope/think this will improve at some point though.. ps. https://www.quantopian.com/posts/black-litterman https://www.quantopian.com/posts/black-litterman
  - spitfire 10y ago
    The problem is they have NO pipeline, just end algorithms. So if you want even simple risk management tools like tripwires, those have to be included explicitly in each algorithm. It's like programming in BASIC on a Commodore-64 all over again. If they added the ability to build a pipeline I'd be perfectly happy. I'd even be happy with fixed (Say portfolio/risk/execution/algos) set of pipeline stages as long as you could write the code that ran at each step.
    - mikkom 10y ago
      Yes we agree on library part. Copypasting management code is extremely annoying and also leads to version control hell. I hope this will be changed at some point and they will allow personal libaries. About "stages" I'm not sure I follow - the "algos" are just plain python code so it's up to you how you want to structure your code. Python is fortunately quite far from commodore 64 Basic which I also happen to rememeber.. with all of it's gotos, pokes and peeks.. (sidenote: I'm not sure if you have ever created your own framework to trade with IB with their api or fix, if you have then you should know how big improvement something like quantopian is.. especially when their costs are basically zero)
      - spitfire 10y ago
        What I mean by stages are independent pieces of code that receive information from higher or lower levels and make decisions based on them. each of these stages will also have their own monitoring in place - what you monitor at the risk stage is totally different from what you monitor at the EMS/OMS stage. So say you have 10 trading algorithms, they'd all send their buy/sell orders on to money management stage (an independent piece of code) which might size the order somehow. Then, if the order passes money management it goes in to risk, where the risk management can OK it, or nix it altogether. Having passed that, your order might go on to an allocation manager - which is now allocating resources between the 6 surviving algorithms. Allocation management will weight resources according to however you see fit - maybe Black-Litterman, and pass things along to execution/order management. EMS/OMS is basically what it sounds like. You say "Buy 100 shares of AAPL", an OMS will go out and make sure they're filled. EMS does the same but tries to make sure it fills them at a good price. None of these things exist, or are reasonably possible in Quantopian in its current state. Personally, I wouldn't trust a dollar to it. Yes, I've built my own trading platform on IB. I have the scar tissue, to prove it. NB: If Quantopian implemented this - even in a fairly clunky, fixed function way I'd consider using them in a heartbeat. Then, my only complaints would be in quality rather than kind.
        mikkom 10y ago
        > None of these things exist, or are reasonably possible in Quantopian in its current state. Personally, I wouldn't trust a dollar to it. My current Q "algo" or whatever we call it (it's a ensemble of multiple "algos") actually has almost every layer you describe (although not using the same methods you describe) and some extra layers you don't describe so it's quite strange for me to read how hard or impossible creating something like what I already have in place is. As I said it's just normal code and python is fortunately quite clean language.
- deleted 10y ago
  [deleted]

by mikkom 10y ago

spitfire 10y ago

Because algorithms and risk/portfolio management are totally different spheres. You don't want to complect your trading algorithm with your risk management, portfolio allocation or order/execution management systems. And that is my point. Quantopian is aimed at inexperienced individuals who have never heard of Black-Litterman and won't notice what they're missing.

mikkom 10y ago
> You don't want to complect Some people want full control of the pipeline. I'm one of them so this doesn't bother me personally. However I kind of agree with you as it's PITA sometimes that quantopian does not allow importing external or personal libraries so everything that is not included at the libraries they allow to import must be copy/pasted to each algorithm. I hope/think this will improve at some point though.. ps. https://www.quantopian.com/posts/black-litterman https://www.quantopian.com/posts/black-litterman
- spitfire 10y ago
  The problem is they have NO pipeline, just end algorithms. So if you want even simple risk management tools like tripwires, those have to be included explicitly in each algorithm. It's like programming in BASIC on a Commodore-64 all over again. If they added the ability to build a pipeline I'd be perfectly happy. I'd even be happy with fixed (Say portfolio/risk/execution/algos) set of pipeline stages as long as you could write the code that ran at each step.
  - mikkom 10y ago
    Yes we agree on library part. Copypasting management code is extremely annoying and also leads to version control hell. I hope this will be changed at some point and they will allow personal libaries. About "stages" I'm not sure I follow - the "algos" are just plain python code so it's up to you how you want to structure your code. Python is fortunately quite far from commodore 64 Basic which I also happen to rememeber.. with all of it's gotos, pokes and peeks.. (sidenote: I'm not sure if you have ever created your own framework to trade with IB with their api or fix, if you have then you should know how big improvement something like quantopian is.. especially when their costs are basically zero)
    - spitfire 10y ago
      What I mean by stages are independent pieces of code that receive information from higher or lower levels and make decisions based on them. each of these stages will also have their own monitoring in place - what you monitor at the risk stage is totally different from what you monitor at the EMS/OMS stage. So say you have 10 trading algorithms, they'd all send their buy/sell orders on to money management stage (an independent piece of code) which might size the order somehow. Then, if the order passes money management it goes in to risk, where the risk management can OK it, or nix it altogether. Having passed that, your order might go on to an allocation manager - which is now allocating resources between the 6 surviving algorithms. Allocation management will weight resources according to however you see fit - maybe Black-Litterman, and pass things along to execution/order management. EMS/OMS is basically what it sounds like. You say "Buy 100 shares of AAPL", an OMS will go out and make sure they're filled. EMS does the same but tries to make sure it fills them at a good price. None of these things exist, or are reasonably possible in Quantopian in its current state. Personally, I wouldn't trust a dollar to it. Yes, I've built my own trading platform on IB. I have the scar tissue, to prove it. NB: If Quantopian implemented this - even in a fairly clunky, fixed function way I'd consider using them in a heartbeat. Then, my only complaints would be in quality rather than kind.
      - mikkom 10y ago
        > None of these things exist, or are reasonably possible in Quantopian in its current state. Personally, I wouldn't trust a dollar to it. My current Q "algo" or whatever we call it (it's a ensemble of multiple "algos") actually has almost every layer you describe (although not using the same methods you describe) and some extra layers you don't describe so it's quite strange for me to read how hard or impossible creating something like what I already have in place is. As I said it's just normal code and python is fortunately quite clean language.
deleted 10y ago
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