When using QuantConnect with Interactive Brokers (IBKR) and placing Market On Open (MOO) orders, it's important to align your order logic with the platform's requirements and scheduling capabilities. Here are some key points and solutions for your situation:

1. Order Placement Timing:

   • MOO orders should be placed before the market opens, specifically at least two minutes before the opening to ensure they participate in the opening auction.
   • If you are placing MOO orders after the market closes, the system may reject them with an "exchange is closed" error as they are not recognized as valid for the next market opening.

2. Solution: Use Scheduling:

   • Utilize QuantConnect's scheduling features to schedule the MOO order for the next market opening. This way, you have your calculations run at market close, and the order is automatically placed appropriately ahead of the next open.

   Here's how you can use QuantConnect's scheduler to place the MOO order:

   from datetime import timedelta
   class MyAlgorithm(QCAlgorithm):
       def initialize(self):
           self.set_start_date(2021, 1, 1)  # Set Start Date
           self.set_end_date(2021, 12, 31)  # Set End Date
           self.set_cash(100000)            # Set Strategy Cash
           self.add_equity("SPY", Resolution.DAILY)
           # Schedule the MOO order for market opens
           self.schedule.on(
               self.date_rules.every_day("SPY"),
               self.time_rules.before_market_open("SPY", 2),  # 2 minutes before open
               self.place_market_on_open_order
           )
       def on_data(self, data):
           # Perform calculations at market close here, if needed
           pass
       def place_market_on_open_order(self):
           self.market_on_open_order("SPY", 100)  # Adjust quantity as needed
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3. Considerations:

   • Make sure that the calculated order size or any conditions leading to the order placement take into account market conditions and the cash available.
   • Verify that your account settings with IBKR allow for MOO orders and align with any specific brokerage model requirements.
   • Monitor and log order events to ensure that your scheduled order behaves as expected when the market opens.

This approach aligns order placement with the exchange's open operations, avoiding closure rejection issues and ensuring your strategy runs smoothly.

Sources: Market On Open Orders - QuantConnect.com, Market On Close Orders - QuantConnect.com, Market On Open On Close Algorithm, Market On Close Order Buffer Regression Algorithm, Opening Range Breakout for Stocks in Play