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I have been running into issues with my universe selection during live deployment where I encounter the "Runtime Error: Algorithm took longer than 10 minutes on a single time loop". I require obtaining history data of a large amount of symbols as part of the universe selection initially as warmup of data and despite narrowing down the symbols fine fundamental selection and doing array symbol history requests to reduce the amount of history requests the 10 minute timout occurs. The issue only occurs during live deployment and not during backtesting. Is there a way I can increase the loop time limit greater than 10 minutes?
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Jared Broad
Hi GEightyFour,
You can do focus the universe selection on the asset selection and do the history requests later, ideally during premarket to give you more CPU time. This should help you hit your fundamental+history load objectives over a 20-30min instead of all at once.
You might want to schedule an event to do this at say 9.10 am. Does your history request need to be processed by market open?
JB
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
GEightyFour
The issue I have is that my universe selection requires the use of historical data by filtering equities by dollarvolume over a 200 day timespan. I'm experimenting with using the train function to permit additional runtime during the historical data fetch, but I noticed that the multithreaded nature of the train function live deployment requires me to wait until the next period data is fed into the system before the universe can proceed. Is there a way I can manually recall the universe selection again?
Jared Broad
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
GEightyFour
I ended up ported algorithm into csharp instead, shaved off a few minutes in runtime by doing so. I also found that skipping the first day was inevitable. I'll just keep trying different things to see how it goes.
GEightyFour
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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