Start up during IB

I’m interested in IB, but also attracted by entrepreneurial activities. I really enjoy getting lost in a project of my own that I started and I think that’s what I’d like to do in the long run- have my own company. At the same time, IB gives you a more secure lifestyle (WLB aside) and you can rest assured that you most likely won’t lose everything. Aside from the practicality of it, is it okay to be working for a BB and be starting a new venture at nights and on the weekends? Is this allowed? It’d be hard, obviously, but I want to know if there’s some compliance/HR rule against this. Thanks!