LEAN is the open source
algorithmic trading engine powering QuantConnect. Founded in 2013 LEAN has been built by a
global community of 80+ engineers and powers more than a dozen hedge funds today.
Alpha League Competition: $1,000 Weekly Prize Pool
Qualifying Alpha Streams Reentered Weekly Learn
more
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?
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.
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.
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.
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.
0
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.
0
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.
0
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.
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.
Loading...
To unlock posting to the community forums please complete at least 30% of Boot Camp. You can
continue your Boot Camp training progress from the
terminal. We hope to see you in the community soon!
You do not have enough QC Credit to send this award, get a QC Credit Pack
here.
Award Sent Successfully
Thank you for giving back to the community.
Processing...
Choose a Credit Pack
Payment Confirmation
QuantConnect Credit (QCC) can be applied to your cloud-invoices or
gifted to others in the community with Community Awards in recognition of their contributions.
Community Awards highlight the awesome work your fellow community members are doing and inspires
high quality algorithm contributions to the community. Select an option below to add
QuantConnect Credit to your account:
$5
500 Credit Points
 
$10
1,000 Credit Points
 
$18
2,000 Credit Points
10% bonus
$45
5,000 Credit Points
10% bonus
03/23XXXX XXXX XXXX 0592
We will charge your default organization credit card on file, click
here to update.