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Live Trading Error: Data Feed is Behind
Sofyan Saputra
posted Feb 1, 2017

"2017-02-01 09:35 SYSTEM INFO (IB) Order of 620 shares of sid AMD not transmitted to broker because the data feed is behind."

So I got several of the above error this morning on my algorithm, which is very unfortunate considering the state of AMD right now. What exactly is this error and how can I circumvent it? Can I just add logic that will check if the order failed to fill and then resubmit the order or will the data feed stay behind for an extended amount of time making such logic potentially detrimental?

5 responses
Sofyan Saputra
Feb 1, 2017

Just looked at the forum post right before mine. Is this error related to the broker connection problems Quantopian was having this morning or is this something that I can try to prevent on my end?

Dan Dunn
Feb 2, 2017

Hello Sofyan -

The error you were seeing is related to the problems we had yesterday. That error is not something that your algorithm can prevent.

We built the live algorithm execution to be as defensive and careful as reasonably possible. One of the situations we considered was a situation where the algorithm was in a real-money execution mode, but it can detect that the price data is stale. Hypothetically this could happen if our pricing datafeed got stuck or very slow. When the algorithm detects this situation it stops placing trades, and instead logs the warning messages that you saw in your log.

Of course, this will never happen in simulation because there is no risk of processing delayed data in simulation - it's all just a simulation anyway. It only happens when you're connected to a broker.

The problem yesterday wasn't that the datafeed was stuck, but the set of problems resulted in similar symptoms. As you know we terminated all real-money trading and informed all of the algorithm authors that we had done so. We're sorry for any confusion or inconvenience.

Disclaimer

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.

Roberto M
Jul 3, 2017

Hi, did we have this problem again today? I just got some orders cancelled for the same reason.

Alisa Deychman
Jul 5, 2017

Roberto, there was not a large-scale problem on Monday. Given that you saw this log, it's possible that your algorithm was not authenticated with the broker and had a late start. If your algo tried to trade in the early morning, prior to when the authentication was established (by entering your broker password), then these orders would have been cancelled because the algo wasn't live yet. If you'd like us to dig in, send us an email at [email protected].

Disclaimer

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.

Roberto M
Jul 10, 2017

Hi, again I had the same problem and, like before, it does not appear to be related to authentication. Is it slowness in the connection between Quantopian and IB? Anyway, I will be sending a message to [email protected].

2017-07-10 16:15 SYSTEM INFO (IB) Order of 51 shares of sid XIV not transmitted to broker because the data feed is behind.
2017-07-10 16:15 SYSTEM INFO (IB) Order of -200 shares of sid VXX not transmitted to broker because the data feed is behind.
2017-07-10 16:15 SYSTEM INFO The algorithm is receiving out-of-date, stale data. Orders will not be placed until the data feed catches up.

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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.