Live Trading Changes
Quantopian 2 includes several changes that will cause some live algorithms to behave differently than they did in Quantopian 1. An updated data source, closing orders at end of day, different slippage and commissions, and using a fully-adjusted lookback window for history can all possibly result in different order decisions being made. For algorithms that are strongly path-dependent the outcome can sometimes be significantly different.
If your algorithm is affected by the change, you will see the impact on your live algorithm dashboard. On the first day your algorithm starts trading on Quantopian 2 it will "warm up" using the Quantopian 2 code base, and it will start the day as if it had been running on Quantopian 2 from the very beginning. For most algorithms there will be no noticeable difference. For the impacted algorithms there will be a discontinity in the returns graph where it changes from Quantopian 1's behavior to Quantopian 2. There will be similar discontinuties in logging output, custom recorded variables, orders, etc.
Some contest algorithms will be affected by this change as well. We have tested the contest leaderboards, and there are no changes in the leading algorithms in each contest. Some of the lower-ranked algorithms have changed positions, both for better or worse.
These changes in live algorithm performance, and in the contest leaderboards, are the difficult part of the Quantopian 2 release. We are very sorry for any frustration or disruption they may cause. We are making this change after careful consideration of the benefits and negatives of the change. We believe that overall our community is going to be delighted with Quantopian 2. We apologize for any frustration we've caused along the way.