Saving algorithm state snapshots in live trading by Pavel Paramonov

Pavel Paramonov

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It appears that QuantConnect live setup creates periodic snapshots of the algorithm state. Could somebody point me to examples/tests/docstrings describing that functionality?

More specifically, the question is in the context of the Running Lean on your server discussion. Some algorithm objects could be updated relatively infrequently (compared to the OnData resolution), and an initial warmup period may not be enough to instantiate them correctly. I would like to create periodic dumps of selected algorithm variables, to read the latest one if LEAN crashes. Would be good to reuse some existing snapshot creation code to the extent possible.

More generally, what is a recommended checklist for adopting a backtested algorithm to live trading, assuming an instance/container running LEAN could crash and restart?

Update Backtest

Pavel Paramonov

Accepted Answer

Update Backtest

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Jared Broad

Pro ,

We do not save state like that -- its rebuilt when the algorithm is launched from your brokerage portfolio.

In QuantConnect.com there's no mechanism for saving state between deployments (or crashes) at this time and the recommended way is to rebuild any state you need at the start of the algorithm.

Pavel Paramonov

1.5k Pro ,

Just found an open issue related to the question:

https://github.com/QuantConnect/Lean/issues/1040

Pavel Paramonov

Update Backtest

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