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why no minute-resolution graphs?

It's been brought up a few times by community members and acknowledged as a good idea by Quantopian staff, so is there any ETA on minute resolution graphs?

I've had to use external resources like Multicharts and TradingView to brainstorm intraday strategies, and without the graphs it's still very difficult to debug these in the Quantopian backtester.

If it's straining on server resources, maybe constrain the runtime to 1 day or 1 week.

15 responses

Hi Jason. The holdup is simply hours in the day - it's definitely something we want to do, but we haven't gotten to it yet. It's one of those great problems to have - we have too many good ideas that we need to implement!

As for an ETA - unfortunately I don't have one. As a small startup, we have the luxury of being able to modify our priority list frequently. We're nimble and we react as quickly as we can to customer requests. The downside is to that is that we don't have the ability to give a detailed, long-term roadmap. I'm a big believer in meeting expectations, and I'm loathe to make a promise about a feature that I'm not sure we can keep.

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Hello Dan,

Would it be feasible for Quantopian to just dump a bunch of data for user download and analysis (including plotting), at the end of a backtest (or stream it to a specified storage location during the backtest)? This would lighten the development effort by you folks, and at the same time, provide tremendous flexibility to users. I realize that you cannot distribute the your backtest data, but effectively it sounds like Multicharts and TradingView have worked through this issue to some extent. Also, I'd be concerned that if you go down the path of sophisticated in-browser graphs, etc. it'll be misplaced effort, since there are already well-developed offline tools--access to data is the problem.

Best regards,

Grant

An option would be to allow the import of matplotlib, generate the plot as a .PNG on the Q server and display the image in the browser.

P.

Grant, I don't think the issue here is about minute-data being exported, it's around time-to-develop the minute-level visualizations.

Until this minute-graphs are supported, unfortunately quantopian seems a poor choice for intraday strategy development. I am still looking into some "long term" strategies, so those features plus quantopian's free backtesting and universe scanning is why I keep comming back.

Hi Jason,

Unless something has changed, Quantopian can only provide limited access to their database, due to a licensing restriction. My sense is that pulling this off was a clever part of their business plan. So, they can't just post a public-access file/database. I'm guessing that Multicharts and TradingView do something similar. Or can you download data from those sites?

One nitty gritty technical detail that I haven't seen spelled out explicitly is whether the data used for backtesting is the same as that used for live trading. Potentially, this could matter for intra-day algos?

Grant

+10 for everything Grant is saying. My current workflow involves developing strategies offline with my own minute data and then porting them into Quantopian. Once I write them up in Quantopian, they are nearly impossible to debug. The fact that the plots don't go down to minute-level granularity can be extremely frustrating. As Grant mentioned even the ability to just download a data dump of exactly what happened in the backtest would be immensely more helpful than the current setup.

I understand that Quantopian is a startup with plenty of priorities but I strongly believe that supporting minute-level trading and debugging should be high priority, especially since Quantopian's live trading platform runs only on minute data. When a user's real money is at stake, it's essential for them to know exactly what his or her algorithm is doing.

@Grant, I can understand that downloading the data may be useful, but my request isn't asking for that. Maybe this is a critical need of you and others, but I personally would be content with the ability to visualize my record() values at the minute resolution. Without the visualization It's not practical for me to inspect the algorithm for unknown/unforseen glitches.

Trading view allows minute level visualizations, and I'm pretty happy with that, though their propriatary scripting language and no simulation means it's only suitable for high-level brainstorming.
Multicharts doesn't provide data feeds, it's just a desktop trading/backtesting platform.

@ Jason,
I agree with your request. Just from a development/debugging standpoint, it would be helpful to have some level of minute-resolution charting.

@ Dan,
One approach would be to open source a charting/visualization module for the in-browser backtester. Would this work? Or maybe something could be developed for zipline and then moved into the Quantopian GUI?

Grant

Grant, those are options, but all options involve some work on our part. Anything that involves taking out the old UI and updating it to new capabilities will take some time. In general, the backtesting UI is a place where it's harder for us to leverage open source contributions. We just have to get it high enough up the list (including shipping work in progress).

Please add my vote for minute level graphs. It's important for intraday strategies.

Just pushing this one to the top of the queue again. It is incredibly difficult to backtest without minute graphs. I am having to write all data to logs which is really hard to go through. I am converting from another trading system and have to ensure that my indicators match between the two. It's really tough without intraday graphs.

I am also looking for minute graphs

+1

I assume this will be provided within the (upcoming) research environment? (since it includes matplotlib, I think)

Correct. It's been awhile since I used it (as an alpha release tester), but I was able to do a ~ 1 year, minute-level heatmap, for example (each row a day, and each column a trading minute during that day). So, just request access to the research environment.