Live Algo Trading Vs PaperTrading with IB account
- This topic has 12 replies, 5 voices, and was last updated 10 months ago by
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a limitation of one strategy per instrument which I did not expect !!
With IB, this operation is normal and compulsory. It is not possible to have 2 simultaneous strategies on the same instrument. Nor is it possible to have both manual and automatic orders on the same instrument. I’m sorry, but there’s no way around this at the moment.
same algo is not opening same positions on paper and on live.
Attached is a non-exhaustive list of the elements that can impact a live trading strategy when trading with IB and create differences with a demo account and/or backtests:
- Spread
- Slippage
- Orders rejections due to one of the above reason
- Different trading hours (ProOrder code launched in a different time zone / custom hours, by the user)
- Coding problem: division by zero error, null or negative periods for indicators, ..
- Lack of liquidity in order books with IB
- Make backtests without tick-by-tick option
- Fees
- Starting a strategy at a different time (1 hour or even 1 minute later): depending on the code of the strategy, the results of some calculations could be different.
- Margin required on the trading account (no demo or backtest tests are made on this subject)
- Overnight and overweekend fees
- Automatic adjustement of stop orders checked or not when launching the ProOrder
- Different contract size between backtests and live
In any case, first step is to compare the backtest orders with the real orders, and why they triggered not at the same time/differently.
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before liquidating my account.
I guess you know about Demo Accounts – Live data Forward Testing, but using virtual money?
s it possible to run more than 1 strategy on the same instrument on IG ?
Yes, I have > 20 Algos all running on DJI.
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Please take into account that any system which you have designed for IB, will be “no-where” on IG (and vise versa). IG uses her own “markets” and influences everything (including a most spikey behavior on everything) which includes trading with-/for herself. This also includes changing behavior underway. Thus what worked in January does not work today because IG changed het own behavior hence influence on the CFD’s. Below you see both Nasdaq for IG (left) and IB. Don’t look at the candles – look at the price. IB is reality (though CFDs too) and IG just makes something of it (“their own market”). The difference is their playground. January this, June that.
I prepared another kind of response as well. Not sure whether I will send that, would you head for IG anyway.
Is it possible to run more than 1 strategy on the same instrument on IG ?
As many as you want, though 150 per general ProOrder limitation regardless of instruments (Premium version of PRT, the Complete version allows 20 systems/strategies).
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I guess you know about Demo Accounts – Live data Forward Testing, but using virtual money?
What’s called “Demo Account” with IG is called Papertrading with IB. Both lead to the same : papertrading (virtual money).
Notice that Papertrading is the whole issue for KumoNoJuzzo.1 user thanked author for this post.
Ok, this is my pending other response :
Hello KumoNoJuzza,
Although the list Nicolas just showed is to be regarded too, it is far more important to recognize that Papertrading on IB s*cks massively. Especially Forex is undoable (because of contract size (of 1000) not being respected).
Backtesting is fine and will do the exact same as Live. However, take into account that list from Nicolas; this is not easy at all (but doable in the end).
If you want to test your strategies with thus your backtesting as a base (this is not Papertrading), there is no other way than testing it on Live. This in itself requires one more thing : make your code linear to the quantity of the positions you take. Thus take very good care of 1000 having exactly 100 times the result as 10, throughout. Now you can test with small quantities and don’t lose too much when things go unexpected.Last important hint : use Forward Testing, which is the same as a Backtest which you let continue. It will just proceed with orders and everything on the live data (but without real money). This will require graphing of your various set limits and stops and everything, as Backtesting – now in Forward mode – will not show order labels (use Graph and GraphOnPrice). It will only show arrows for entries and crosses for exits, plus icons for StopLoss and TakeProfit. The remainder you need to provide yourself.
All together this works more than fine and maybe even better. But it requires quite some work …
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My pleasure !! 😉
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Of course, you cannot compare a CFD with a future, the price calculation is completely different. You can compare the future of IG with the future of IB… they are equal…
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