I'm trying to push a new live algo (ES Futures, set to change successfully in backtests on contract change, OpenInterest Mapping).
I get a contract swap when expected:
12/14/2022 12:00:00 AM - SymbolChanged event: 12/14/2022 12:00:00 AM ES Y4D62XFM9IPT->ES Y6URRFPZ86BL as part of my warmup.
But then I get this runtime error and it fails..
Runtime Error: 1/1/2023 1:30:22 PM unexpected symbol changed event 1/1/2023 12:00:00 AM ES Y4D62XFM9IPT->ES Y6URRFPZ86BL!
I know we just had some downtime and we're on a new year closure but aside from waiting to launch this when the market opens, is there anything anyone see that could help me as there shouldn't have been a contract change (to the same contract) when the market is closed...
In SetContract:
CurrentContract = Securities[ContinuousContract.Mapped];
CurrentContract_Symbol = CurrentContract.Symbol;
And in OnData:
foreach (var changedEvent in data.SymbolChangedEvents.Values)
{
Debug($"{Time} - SymbolChanged event: {changedEvent}");
if (Time.TimeOfDay == TimeSpan.Zero)
{
continue;
}
throw new Exception($"{Time} unexpected symbol changed event {changedEvent}!");
}
Derek Melchin
Hi Echoes,
We were unable to reproduce this in a backtest. If it occurred during live trading, contact support@quantconnect.com.
Best,
Derek Melchin
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Echoes McCarthur
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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