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QuantConnect / Lean

Lean Algorithmic Trading Engine by QuantConnect (Python, C#)
https://lean.io
Apache License 2.0
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Lean is Live Mode start date is ignoring the Time, which causes issues when launching Lean after midnight on timezone GMT+2 #4849

Closed ebengtso closed 4 years ago

ebengtso commented 4 years ago

Expected Behavior

Live mode startdate contains date but lacks time and leads to incorrect datetime

Actual Behavior

time is ignored, and thus when converting the date, it leads to a future date time

Potential Solution

SetLiveMode should use DateTime.UtcNow rather than using DateTime.Today

in QCAlgorithm, change SetLiveMode to this: public void SetLiveMode(bool live) { if (!_locked) { _liveMode = live; Notify = new NotificationManager(live); TradeBuilder.SetLiveMode(live); Securities.SetLiveMode(live); if (live) { _startDate = DateTime.UtcNow; _endDate = QuantConnect.Time.EndOfTime; } } }

Reproducing the Problem

Launch Lean in live Mode under this configuration: machine is using UTC+2, lean is launch between midnight and 1am in the morning. Using oanda brokerage. Lean will fail with the below error:

20201013 00:50:18.973 Trace:: Event Name "EveryDay: Every 10 min", scheduled to run at 10/12/2020 12:00:00 AM (UTC)... 20201013 00:50:18.990 Trace:: LiveTradingResultHandler.SendStatusUpdate(): status: 'LoggingIn'. Logging into brokerage... 20201013 00:50:18.991 Trace:: BrokerageSetupHandler.Setup(): Connecting to brokerage... 20201013 00:50:18.991 Trace:: BrokerageSetupHandler.Setup(): Fetching cash balance from brokerage... Loaded assembly: /Library/Frameworks/Mono.framework/Versions/6.12.0/lib/mono/gac/System.Web/4.0.0.0__b03f5f7f11d50a3a/System.Web.dll [External] Thread started: <Thread Pool> #18 20201013 00:50:19.507 Trace:: BrokerageSetupHandler.Setup(): Setting EUR cash to 10176.2068 20201013 00:50:19.510 Trace:: BrokerageSetupHandler.Setup(): Fetching open orders from brokerage... 20201013 00:50:19.648 Trace:: BrokerageSetupHandler.Setup(): Fetching holdings from brokerage... 20201013 00:50:19.910 Trace:: LiveTradingDataFeed.CreateUniverseSubscription(): Creating user defined universe: MANUAL-UNIVERSE-SELECTION-MODEL-FOREX-OANDA--2001353904 8G Loaded assembly: Anonymously Hosted DynamicMethods Assembly [External] 20201013 00:50:19.994 Trace:: DataManager.AddSubscription(): Added MANUAL-UNIVERSE-SELECTION-MODEL-FOREX-OANDA--2001353904,MANUAL-UNIVERSE-SELECTION-MODEL-FOREX-OANDA--2001353904,Minute,TradeBar,Trade,Adjusted,Internal. Start: 10/13/2020 12:00:00 AM. End: 12/31/2050 12:00:00 AM 20201013 00:50:19.997 Trace:: LiveTradingDataFeed.CreateUniverseSubscription(): Creating user defined universe: MANUAL-UNIVERSE-SELECTION-MODEL-CFD-OANDA-499175433 8I 20201013 00:50:19.997 Trace:: DataManager.AddSubscription(): Added MANUAL-UNIVERSE-SELECTION-MODEL-CFD-OANDA-499175433,MANUAL-UNIVERSE-SELECTION-MODEL-CFD-OANDA-499175433,Minute,TradeBar,Trade,Adjusted,Internal. Start: 10/13/2020 12:00:00 AM. End: 12/31/2050 12:00:00 AM 20201013 00:50:20.051 Trace:: Cash.EnsureCurrencyDataFeed(): Adding EURUSD for cash EUR currency feed Loaded assembly: /Library/Frameworks/Mono.framework/Versions/6.12.0/lib/mono/gac/Microsoft.CSharp/4.0.0.0__b03f5f7f11d50a3a/Microsoft.CSharp.dll [External] 20201013 00:50:20.378 ERROR:: FitnessScore.Initialize(): fitness score will not be calculated because the algorithms starting portfolio value is 0. 20201013 00:50:20.399 ERROR:: LiveTradingResultHandler.Update(): Algorithm not yet initialized. Loaded assembly: /Library/Frameworks/Mono.framework/Versions/6.12.0/lib/mono/gac/System.Transactions/4.0.0.0__b77a5c561934e089/System.Transactions.dll [External] Loaded assembly: /Library/Frameworks/Mono.framework/Versions/6.12.0/lib/mono/gac/System.ServiceModel.Internals/0.0.0.0__b77a5c561934e089/System.ServiceModel.Internals.dll [External] Loaded assembly: /Library/Frameworks/Mono.framework/Versions/6.12.0/lib/mono/gac/Mono.WebBrowser/4.0.0.0__0738eb9f132ed756/Mono.WebBrowser.dll [External] Loaded assembly: /Library/Frameworks/Mono.framework/Versions/6.12.0/lib/mono/gac/System.IdentityModel/4.0.0.0__b77a5c561934e089/System.IdentityModel.dll [External] Loaded assembly: /Library/Frameworks/Mono.framework/Versions/6.12.0/lib/mono/gac/System.Security/4.0.0.0__b03f5f7f11d50a3a/System.Security.dll [External] Loaded assembly: /Library/Frameworks/Mono.framework/Versions/6.12.0/lib/mono/gac/System.Web.ApplicationServices/4.0.0.0__31bf3856ad364e35/System.Web.ApplicationServices.dll [External] Loaded assembly: /Library/Frameworks/Mono.framework/Versions/6.12.0/lib/mono/gac/System.Messaging/4.0.0.0__b03f5f7f11d50a3a/System.Messaging.dll [External] Loaded assembly: /Library/Frameworks/Mono.framework/Versions/6.12.0/lib/mono/gac/System.Web.Services/4.0.0.0__b03f5f7f11d50a3a/System.Web.Services.dll [External] 20201013 00:50:20.983 ERROR:: Engine.Run(): During the algorithm initialization, the following exception has occurred: Oanda.RestV20.Client.ApiException: Error calling GetInstrumentCandles: {"errorMessage":"Invalid value specified for 'from'. Time is in the future"} at Oanda.RestV20.Api.DefaultApi.GetInstrumentCandlesWithHttpInfo (System.String authorization, System.String instrument, System.String acceptDatetimeFormat, System.String price, System.String granularity, System.Nullable1[T] count, System.String from, System.String to, System.Nullable1[T] smooth, System.Nullable1[T] includeFirst, System.Nullable1[T] dailyAlignment, System.String alignmentTimezone, System.String weeklyAlignment) [0x00362] in /Lean-master-2/Brokerages/Oanda/RestV20/Api/DefaultApi.cs:3816 at Oanda.RestV20.Api.DefaultApi.GetInstrumentCandles (System.String authorization, System.String instrument, System.String acceptDatetimeFormat, System.String price, System.String granularity, System.Nullable1[T] count, System.String from, System.String to, System.Nullable1[T] smooth, System.Nullable1[T] includeFirst, System.Nullable1[T] dailyAlignment, System.String alignmentTimezone, System.String weeklyAlignment) [0x00001] in /Lean-master-2/Brokerages/Oanda/RestV20/Api/DefaultApi.cs:3735 at QuantConnect.Brokerages.Oanda.OandaRestApiV20+<DownloadQuoteBars>d__25.MoveNext () [0x00089] in /Lean-master-2/Brokerages/Oanda/OandaRestApiV20.cs:561 at System.Collections.Generic.List1[T].AddEnumerable (System.Collections.Generic.IEnumerable1[T] enumerable) [0x00059] in /Users/builder/jenkins/workspace/build-package-osx-mono/2020-02/external/bockbuild/builds/mono-x64/external/corefx/src/Common/src/CoreLib/System/Collections/Generic/List.cs:1108 at System.Collections.Generic.List1[T]..ctor (System.Collections.Generic.IEnumerable1[T] collection) [0x00062] in /Users/builder/jenkins/workspace/build-package-osx-mono/2020-02/external/bockbuild/builds/mono-x64/external/corefx/src/Common/src/CoreLib/System/Collections/Generic/List.cs:87 at System.Linq.Enumerable.ToList[TSource] (System.Collections.Generic.IEnumerable1[T] source) [0x0000e] in /Users/builder/jenkins/workspace/build-package-osx-mono/2020-02/external/bockbuild/builds/mono-x64/external/corefx/src/System.Linq/src/System/Linq/ToCollection.cs:30 at QuantConnect.Brokerages.Oanda.OandaBrokerage+d14.MoveNext () [0x000f6] in /Lean-master-2/Brokerages/Oanda/OandaBrokerage.cs:230 at QuantConnect.Lean.Engine.DataFeeds.Enumerators.QuoteBarFillForwardEnumerator.MoveNext () [0x00001] in /Lean-master-2/Engine/DataFeeds/Enumerators/QuoteBarFillForwardEnumerator.cs:70 at QuantConnect.Lean.Engine.DataFeeds.Enumerators.FillForwardEnumerator.MoveNext () [0x00088] in /Lean-master-2/Engine/DataFeeds/Enumerators/FillForwardEnumerator.cs:147 at QuantConnect.Lean.Engine.DataFeeds.Enumerators.SubscriptionDataEnumerator.MoveNext () [0x00001] in /Lean-master-2/Engine/DataFeeds/Enumerators/SubscriptionDataEnumerator.cs:67 at QuantConnect.Lean.Engine.DataFeeds.Subscription.MoveNext () [0x00010] in /Lean-master-2/Engine/DataFeeds/Subscription.cs:206 at QuantConnect.Lean.Engine.HistoricalData.SynchronizingHistoryProvider+d3.MoveNext () [0x000ac] in /Lean-master-2/Engine/HistoricalData/SynchronizingHistoryProvider.cs:59 at QuantConnect.Data.SliceExtensions.PushThrough (System.Collections.Generic.IEnumerable1[T] slices, System.Action1[T] handler) [0x000cd] in /Lean-master-2/Common/Data/SliceExtensions.cs:209 at QuantConnect.Lean.Engine.Setup.BaseSetupHandler.SetupCurrencyConversions (QuantConnect.Interfaces.IAlgorithm algorithm, QuantConnect.Lean.Engine.DataFeeds.UniverseSelection universeSelection) [0x00168] 20201013 00:50:20.985 Trace:: JOB HANDLERS: 20201013 00:50:20.985 Trace:: DataFeed: QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed 20201013 00:50:20.985 Trace:: Setup: QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler 20201013 00:50:20.985 Trace:: RealTime: QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler 20201013 00:50:20.985 Trace:: Results: QuantConnect.Lean.Engine.Results.LiveTradingResultHandler 20201013 00:50:20.985 Trace:: Transactions: QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler 20201013 00:50:20.985 Trace:: Alpha: QuantConnect.Lean.Engine.Alphas.DefaultAlphaHandler 20201013 00:50:20.985 Trace:: ObjectStore: QuantConnect.Lean.Engine.Storage.LocalObjectStore 20201013 00:50:20.986 Trace:: History Provider: QuantConnect.Lean.Engine.HistoricalData.BrokerageHistoryProvider 20201013 00:50:20.986 Trace:: Brokerage: QuantConnect.Brokerages.Oanda.OandaBrokerage 20201013 00:50:20.986 Trace:: LiveTradingDataFeed.Exit(): Start. Setting cancellation token... 20201013 00:50:20.986 Trace:: BaseDataExchange(CustomDataExchange) Stopping... 20201013 00:50:20.987 Trace:: LiveTradingDataFeed.Exit(): Exit Finished. 20201013 00:50:20.987 Trace:: DefaultAlphaHandler.Exit(): Exiting... 20201013 00:50:20.994 Trace:: BaseDataExchange(CustomDataExchange).ConsumeQueue(): Cancellation requested. Exiting... Thread finished: #15 20201013 00:50:20.995 Trace:: DefaultAlphaHandler.Exit(): Ended `

System Information

Mac OS Lean Latest

Checklist

Martin-Molinero commented 4 years ago

Hey @ebengtso, thanks for the detailed report, we will look into it, I'll close it since I believe it's a duplicate of https://github.com/QuantConnect/Lean/issues/3061