[dunster]

There aren't a ton of hurdles left before we start offering "live trading" on Quantopian. We have all the pieces, we just need to stitch them together. A couple more months, I think.

In the beginning, at least, it will be leveraged through your existing brokerage account. You're going to integrate Quantopian with your brokerage, and Quantopian will place orders for you with your brokerage.

If we're as successful as we hope to be that will mean we're driving a lot of trading volume. If you start driving enough trading volume, the exchanges start to pay you rather than the other way around. It would be a pretty sweet day if we can offer trading for free to our members and fund the company on the exchange fees.

[minimax]

the exchanges start to pay you rather than the other way around

Most US equities exchanges only pay if you post resting orders (adding liquidity / market making). You pay a fee for removing liquidity (market orders). I think you are actually talking about internal matching at the broker here?

[nolite]

Which brokerages do you see yourself allowing? I'm thinking of opening one

[dunster]

Interactive Brokers will be our first integration.

[spitfire]

How about risk and money management?

[dunster]

Cash management is built already. We track how much you have, dividend payments, all that stuff. We've built many risk measurements, too: alpha, beta, Sortino, Information Ratio, etc.

Risk management is far more complex. Risk management is more a part of the algorithm itself than a feature that we can build. That said, we can add more risk tools. We're very open to suggestions, if you have some in mind.

[spitfire]

I see cash and risk management both as separate domains in their own right equal to if not more important than the actual algorithm. I don't think they can be folded into the algorithm itself - there is a reason banks have separate risk departments.

Eg: For risk management I might not allow any trading whatsoever when the VIX is over 40, and the 5 day stddev of the S&P is above some threshold.

Similarly, I might scale my capital usage based on my risk metrics. Or scale the capital available to a particular algorithm based on its individual risk profile.

Recreating risk management in each algorithm seems like a bad idea. But even worse is pushing off risk to the user to do in an ad-hoc way.