My algo produced "TimeoutException: Too much time spent in handle_data and/or scheduled functions. 50 second limit exceeded.
There was a runtime error on line 174." in live paper trading.
Line 174:
hist = data.history(context.security_list, "close", hist_window, "1d")
The error is not generated in backtesting.
The first thing I'd try is to move the 'pipeline_output' code from your scheduled routine to 'before_trading_start' (you will need to add this method). Delete it from your scheduled method. The 'handle_data' and scheduled routines get allotted only 50 seconds while the before_trading method get's allotted 300 seconds (see https://www.quantopian.com/posts/time-limit-for-schedule-function ). I have an idea why you don't see the timeout in backtests, but just try it and see. Pretty sure this will fix the problem.
def before_trading_start(context, data):
# Move the following code from the scheduled function to here
context.output = pipeline_output('investment_universe')
context.security_list = context.output.index
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