Delay on the first security order of the day in live trading

Here’s an example showing how you can proactively pre-fetch Interactive Brokers (IB) symbol/account information at the start of your algorithm to avoid order path delays due to brokerage-side validation:

from AlgorithmImports import *

class PrefetchIBSymbolInfoAlgorithm(QCAlgorithm):
    """
    This example demonstrates how to proactively load Interactive Brokers (IB)
    symbol/account info at the start or after warm-up to reduce latency when
    placing orders later.

    1. Set the broker model to IB in Initialize.
    2. Add and store commonly traded Equity symbols.
    3. Optionally fetch a small slice of history to force subscription data.
    4. After warm-up, retrieve security info (like current price) to ensure
       everything is loaded, simulating the prefetch of brokerage data.
    5. No actual orders are placed, only logging to illustrate functionality.
    """

    def initialize(self) -> None:
        self.set_start_date(2021, 1, 1)
        self.set_end_date(2022, 1, 1)
        self.set_cash(100000)

        # Use the InteractiveBrokers broker model
        self.set_brokerage_model(BrokerageName.INTERACTIVE_BROKERS_BROKERAGE, AccountType.MARGIN)

        self._symbols: List[Symbol] = []

        # Add commonly used equities
        spy = self.add_equity("SPY", Resolution.MINUTE).symbol
        aapl = self.add_equity("AAPL", Resolution.MINUTE).symbol
        self._symbols.append(spy)
        self._symbols.append(aapl)

        # Warm up for a short period
        self.set_warm_up(timedelta(days=5))

        # Force a history request to proactively load symbol data
        for symbol in self._symbols:
            # Request minimal history
            _ = self.history(symbol, 1, Resolution.DAILY)

        # Flag to ensure we only prefetch once
        self._prefetched = False

    def on_warmup_finished(self) -> None:
        """Called once the algorithm has finished its warm-up period."""
        if not self._prefetched:
            for symbol in self._symbols:
                security = self.securities[symbol]
                # Log current price to simulate data prefetch
                self.log(f"Pre-fetching IB symbol info for {symbol.value} | Price: {security.price}")
            self._prefetched = True

    def on_data(self, data: Slice) -> None:
        """Since we're just demonstrating, we won't actually submit orders here."""
        if not self.is_warming_up and self._prefetched:
            self.log("Ready to trade with prefetched IB data. (No orders placed)")

How this helps:

• By warming up, requesting historical data, and accessing price/security objects, LEAN (and possibly the brokerage plugin) will pre-initialize required caches and connections before you send any latency-sensitive market orders—reducing the chance of IB causing a >1s delay when you finally submit your trade.
• No actual orders are placed, so your order list remains clean.
• This doesn't guarantee all IB-side checks/data are prefetched, but it reduces initial order path friction significantly and is currently the cleanest workaround.

For the QuantConnect team:

• An explicit API to request/cycle brokerage symbol validation without sending "fake" orders (as asked by Yuri) would be beneficial!
• Better filtering for the Orders GUI would help users who need to do these workarounds.

Sources: Getting Started - QuantConnect.com, Brokerage Model Algorithm, docs writing algorithms securities asset classes us equity shorting, Interactive Brokers - QuantConnect.com, Warm Up Periods - QuantConnect.com