I’m having a problem with getting real time position data from Interactive Brokers. For example when I run an algo (paper or live with IB), lets say we sell our position, the order will be received at IB and executed fast like it should, but the quantopian dashboard will not show the liquidated position for a couple or a few minutes. I’ve noticed the lag gets longer when there is more volatility in the market so I cant be accurate on how long this lag is. (I've seen 2 - 6 minutes, then again with higher volatility probably around 10 minutes or maybe more) Is anybody else experiencing this issue?
Hi Michael,
That definitely sounds odd. Are the order filling in IB instantly, or are they unfilled during those minutes of lag? As well, does your algo take into account open orders?
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Yes orders are filled basically instantly, quantopian dashboard sometimes doesn't know about it for a while and the algo does what it is supposed based on what quantopian knows. (which may or may not be accurate position data) Yes, the algo does take into account open orders, I'm working on error handling this issue.
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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 Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian 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.