Hi,
I'm looking into using Interactive Brokers for live trading, but they seem to have daily maintenence for 30 mins each day. How does this impact algorithims? To those of you currently running on IB--Do automated orders not get sent during this time, or is it just inability to log into their interface?
https://www.interactivebrokers.com/en/index.php?f=2225
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This is a great question: would like to second this if anyone has information on this.
From your link, it looks like they go down for about an hour around midnight; this is when a lot of QC algorithms get their daily data...
Right, that's what I meant.
From the forums I've been reading it appears as though they typically only go down for 10-15 mins each day, though I suppose they give the one hour window to cover their bases if it takes longer than usual.
If someone who knows whether or not this downtime impacts their trading, for both execution and data, could respond, that would be great.
Agree, this is a good question.
I'd love to just get a feel for how many people are actually running live algorithms with QuantConnect and IB and what kind of operational issues like this we may need to be aware of.
Correct IB goes down about 15-30 minutes over midnight but its not deterministic how long exactly. We have a window of 45 minutes where we expect it to be down; then after that we try to reconnect every so often. Most of the time its reconnected by 12.45am latest.
If you trade assets where the markets are closed at that time we don't stop the algorithm; we just continue trying to reconnect until the markets start to open (4am for Equities). If the algorithm is ever down during market open hours for more than 1 minute we kill the strategy and send you an email.
While the market is closed; if you submit a market on open order at midnight while the IB server is disconnected; it throws an error but doesn't stop the algorithm (i.e. "Brokerage failed to place order").
@Nate; we don't publish internal business metrics. I can share that we have been running live-trading for more than 2 years now with millions of hours of live algorithms running.
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.
What if I was trading FX on a weekday, when the markets are open, at midnight. You said that if it's ever down for more than a minute it would be killed, so would i expect it to be killed every day? Is there any workaround if this is true?
Is there any way I can set up codes (boolean?) to avoid the algorithm from trading/executing during certain hours of the day, like during maintenance hours.
You could do a time check before placing an order. QCAlgorithm keeps the current algo time in a DateTime object named Time.
If the broker is down then there isn't much the algorithm can do. However I run algorithms using IB without issue.
To gain clarity I suggest creating an IB paper account then deploy a live algorithm on IB using your IB paper credentials. Run that for several days and then test any behavior you have concerns with.
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.
You can use Scheludes to change a boolean variable and check that variable in the onData method.
Check this simple example.
Hope it help.
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.
Thanks JayJay.
Ray, do paper trading accounts at IB reflect maintenance too?
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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