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Hello, I notice I receive the following error when I attempt to submit MarketOnCloseOrder's outside of 16 minutes prior to market close in my backtests:
"Backtest Handled Error: MarketOnClose orders must be placed with at least a 16 minute buffer before market close."
However, both NASDAQ and NYSE currently allow entering MOC orders at 3:55 pm and 3:50 pm respectively.
The 15 minutes prior to market close is obviously volatile and can signficantly impact strategy buy/sell triggers.
Is there any way to override this behavior?
This is specially important to me in "Go Live" behavior - for strategic purposes I'd like my strategy to make its decision at the last possible minute.
References:
NYSE
https://www.nyse.com/publicdocs/nyse/markets/nyse/NYSE_Opening_and_Closing_Auctions_Fact_Sheet.pdf
Market on Close (MOC)
Can be entered until 3:50 pm
NASDAQ
https://www.nasdaqtrader.com/content/productsservices/trading/crosses/openclose_faqs.pdf
Market-on-close (MOC) orders must be received prior to 3:55 p.m
Derek Melchin
Hi Brian,
There is currently no way to override this behavior. An alternative would be to set a MarketOrder near the close.
We've created a GitHub Issue to make the MarketOnClose timing limitation configurable. Subscribe to our progress here.
Best,
Derek Melchin
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.
Brian Sax
Thanks Derek Melchin , appreciate you creating the github issue.
Brian Sax
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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