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Live trading with IB and market data lines limitations

Hi,

Since IB is pretty restrictive on the amount of data you can subscribe to (default of 100 or so market data lines), I'm wondering what happens in live mode when that amount is exceeded either when adding new market data or when requesting a large option chain that exceeds the amount. Does LEAN make an effort to queue the requests for IB and throttle or take periodic snapshots so one is never oversubscribed, or is there a callback for failure to request the live data.

Here's a concrete example: Portfolio has 100 or so options at all times, so I need to monitor those 100 at once all the time (say at 1 - 5 min intervals). And then scan a universe of 100 underlyings, request some options for each, do some calculations and rebalance the porfolio. What will happen when all those are live data requests to IB?

Thanks!

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When you go live you can select IB or QC as a datasource. If using QC you won't have any issues. For assets which we don't have a stream for yet (options, futures) IB is the only live source.

LEAN will simply subscribe to the assets in your portfolio/universe -- there's no rotation or queing logic. If you want to scan those underlying they will also need subscriptions. So total in your example you'd need subscriptions for 200 assets minimum. If you've got 100-aapl options it would be 101 since there a common underlying for all of them. But each new underlying would also need a subscription.

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Got it, thanks! Do you have any timeline on moving the options and futures to your own feed any time soon?

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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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