Quantopian does not robustly support all styles of trading - for instance, if there is a strategy that depends on low-latency order placement and replacement, we aren't a good match. That said, I'm quite confident that we do support many "real trading" families of strategies. For instance, with the addition of the Pipeline API and the performance improvements that came with Quantopian 2, we enable a wide range of stat-arb long/short strategies with as many as 1000 or 2000 liquid names evaluated in the strategy.
We also are regularly adding to our capabilities. We listen to the community and engage with industry experts to identify areas that we should tackle next. Expanded order types (OCO, one cancels many, and other more exotic types) come up sometimes. So do requests for trading futures, options, foreign exchanges, order on market open, expanded machine learning capability, etc. We sort through them all and work on them one or two at a time. We value your feedback on which is most important.
On your pipeline timeout problem: Please contact [email protected] with any specific algorithms that are timing out. I keep a careful eye on our error rates, and they haven't moved much since pipeline came out. If you have specific algos that aren't getting run then we'd like to investigate why.
Back to your original question about how "much" an algo can do on Quantopian. The answer is "it depends." I think of it as a multi-dimensional space. One dimension is how many equities you're looking at; how many orders you place; how many positions you hold; how much computation you do per minute; how many history calls you do; how liquid your equities are (price lookups for illiquid securities take longer than ones that are regularly traded); and more. If you write an algorithm that maxes out all of those axes, it will not run. But if you write one that maxes out one axis, but is very fast on the other axes, it will run fine.
The only way to know for sure is to write it and test it. If it doesn't run, bring it to our attention. We can see if there is a fix or optimization available.
Thanks for your thoughts.
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