MarketOnOpenOrder on IBKR Live running when market is closed

Hi Malo,

Could you please provide the lines of code where you handle orders?

Thanks!

However as a first hunch I think you need to subscribe to a smaller resolution than daily data for them to function properly, you could still use daily data for any calculations you are making, to be clear.

Hi Mak,

thanks for helping out!

using this to open an order inside onData:

marketOpenOrderTicket = self.MarketOnOpenOrder(sd.Symbol, positionSize, msg)

order event:

    def OnOrderEvent(self, orderEvent):
        
        order = self.Transactions.GetOrderById(orderEvent.OrderId)
        msg = ''

        if order.Type == OrderType.MarketOnOpen:

            direction = 'Buy' if orderEvent.Direction == 0 else 'Sell'
            msg = f"[OnOrderEvent] {direction} Order for {order.Quantity} units of {order.Symbol.Value} "

            if orderEvent.Status == OrderStatus.Submitted:
                msg += f"Submitted on {self.Time.date()}."

            if orderEvent.Status == OrderStatus.PartiallyFilled:
                msg += f"Partially Filled {orderEvent.Quantity} units on {self.Time.date()}."

            if orderEvent.Status == OrderStatus.Filled:
                msg += f"Filled {orderEvent.Quantity} units at {orderEvent.FillPrice} with fee {orderEvent.OrderFee} on {self.Time.date()}."

                if orderEvent.Direction == 1:
                    self.delete_sd_objstore(self.activeStocks[orderEvent.Symbol.Value])

            if orderEvent.Status == OrderStatus.Canceled:
                msg += f"was Canceled."
                self.delete_sd_objstore(self.activeStocks[orderEvent.Symbol.Value])

            if orderEvent.Status == OrderStatus.Invalid:
                msg += f"is Invalid, {orderEvent.Message}."
                self.delete_sd_objstore(self.activeStocks[orderEvent.Symbol.Value])

        if self.DebugMode:
            self.Debug(msg)
            if self.LiveMode:            
                self.Notify.Telegram(self.chat, msg, self.token)

Hi Malo,

Just another hypothesis here. After testing at a lower res as written by Mak, you could check that the MOO order has a proper expiration set by default. It looks like you create it on a Friday, so maybe with default properties, it is set to expire/fire on the next day. If so, you would need to pass the properties as a fourth parameter to MarketOnOpenOrder. I doubt a bit about that hypothesis because many orders are already converted to MOOs by LEAN and it works over weekends (and even holidays as far as I know)…

The other considerations I know are:

• Make sure you submit the MOO before like at least 2 mins before market open. This is the case here.
• Consider fill price and buying power. With MOO, of course, fill price can be higher than expected. But again here, it does not seem to be the problem.

Fred

Thanks Fred,

it seems that the Friday orders submission is exactly on the IBKR maintenance window (img)

when running on a daily resolution, is there a way to delay that order ? 

maybe schedule an even to run later on ? 

Hi Malo,

You could try using any of these functions https://www.guru99.com/python-time-sleep-delay.html to delay events but I am not sure how proper that would be.

Other than that you could also try playing around with these scheduled events; 

Maybe something along the lines of if Today is Friday(scheduled event maybe), if there is a trading signal, then do not send an order but set a Variable to True (and save your ticker symbol if you have more than 1) and then have a scheduled event check that variable on monday or sunday or whenever is needed for IBKR to actually process the order on the correct time on a monday market open and reset the variable after it was processed.

CAUTION;

Please test whatever you implement here sufficiently and maybe start by connecting to ibkr papertrading once you have implemented it.

If none of these things solve your problem I would advice sending an email to support@quantconnect.com 

Thanks!