quantconnect / lean.brokerages.interactivebrokers Goto Github PK

Expected Behavior

• Can trade cme crypto futures with IB

Actual Behavior

• IB requires mapping ref https://ibkr.info/article/3049

CME (Bitcoin Futures): Enter the underlying symbol BRR in order to bring up the futures
CME (Ether Futures): Enter the underlying symbol ETHUSDRR to bring up the futures
ICE (Bakkt® Bitcoin Futures): Enter the underlying symbol BAKKT to bring up the futures

Potential Solution

• Update https://github.com/QuantConnect/Lean.Brokerages.InteractiveBrokers/blob/master/QuantConnect.InteractiveBrokersBrokerage/InteractiveBrokers/IB-symbol-map.json
• Double check all crypto cme futures to be safe (micro/etc)

Reproducing the Problem

N/A

System Information

N/A

Checklist

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Expected Behavior

If an order placed to IB is not accepted because of "No security definition has been found for the request", it is set to invalid.

Actual Behavior

If an order placed to IB is not accepted because of "No security definition has been found for the request", it is marked as an exception and the algorithm is terminated.

Potential Solution

If the error message comes from IBPlaceOrder, the order is set to Invalid.

Checklist

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Now 2FA is mandatory, allow users to schedule time for weekly 2FA checks.

Expected Behavior

Known alert time for 2FA

Actual Behavior

Random middle-of-night alerts.

Potential Solution

New brokerage data field; passed from UX

Checklist

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Hello, it says here that rate limit is 50 messages/3 seconds:

however, in IB API documentation it says that the limit is 50 messages/1 second:

Aside from the TWS API's inherent limitation of 50 messages per second implying a maximum of 50 orders per second being sent to the TWS, there are no further API-only limitations. Interactive Brokers however requires its users to monitor their Order Efficiency Ratio (OER) as detailed in the Considerations for Optimizing Order Efficiency IBKB article.

https://interactivebrokers.github.io/tws-api/order_limitations.html

Is it the same rate limit? If so, can we change this limit here, in order to allow more orders sent quicker?

Expected Behavior

Be able to trade crypto in an IB account.

Actual Behavior

Not supported.

Potential Solution

Implement crypto support to IB:
https://interactivebrokers.github.io/tws-api/cryptocurrency.html

Reproducing the Problem

Deploy crypto algorithm to IB.

Checklist

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Expected Behavior

Be able to update the order tickets generated by combo limit order.

Actual Behavior

We cannot update order tickets generated by combo limit orders since we don't have their broker ids.

Potential Solution

N/A

Reproducing the Problem

Place Combo Limit Order, then try to update the tickets.

var openOrderTickets = Transactions.GetOpenOrderTickets();

foreach (var ticket in openOrderTickets) {
     var direction = Math.Sign(ticket.Quantity);
     
     var midpoint = (slice.QuoteBars[ticket.Symbol].Ask.Close + slice.QuoteBars[ticket.Symbol].Bid.Close)/2;
     var limitResponse = ticket.UpdateLimitPrice(midpoint * direction);

The tickets will not be updated.

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Expected Behavior

If we deploy an algorithm with an IB account ID, LEAN loads only the capital from that account ID.

Actual Behavior

LEAN loads the capital from all of the account ID's under your IB user name. For example, say we have an IB user with a trading account that contains $10 USD and a TFSA (tax-free savings account) account that is empty. If we deploy an algorithm using the trading account ID or the TFSA account ID, the Holdings tab in the live results page shows $10 USD.

Potential Solution

Only read the capital from the account with the provided account ID.

Reproducing the Problem

Deploy to IB when you have an account with multiple account IDs.

System Information

QC Cloud.

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Expected Behavior

History requests for Futures' include extended market hours if subscribed to.

Actual Behavior

The logic in InteractiveBrokersBrokerage.cs#L3485:L3487 only accounts for extended market hours for Equity:

    var useRegularTradingHours = request.Symbol.SecurityType == SecurityType.Equity
        ? Convert.ToInt32(!request.IncludeExtendedMarketHours)
        : 0;

Potential Solution

N/A

Checklist

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Expected Behavior

Supports CFD

Actual Behavior

It doesn't support CFD: InteractiveBrokersBrokerage.cs#L2385:L2411

Potential Solution

N/A.

Reproducing the Problem

from AlgorithmImports import *


class UploadTest(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2017,12,11)  # Set Start Date
        self.SetEndDate(2017,12,23)  # Set End Date
        self.SetCash(100000)  # Set Strategy Cash
        self.symbol = self.AddCfd("XAUUSD", Resolution.Minute, Market.Oanda).Symbol

    def OnData(self, slice):
        self.Debug(f'=========={slice[self.symbol]}==========')
        self.Liquidate()
        if not self.Portfolio[self.symbol].Invested:
            self.MarketOrder(self.symbol, 20000)
        else:
            self.Liquidate(self.symbol)

    def OnEndOfAlgorithm(self):
        self.Liquidate(self.symbol)

Checklist

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Expected Behavior

Add possibility to live trade stocks and ETFs listed on LSE and IBIS through Interactive Brokers. Support for backtesting is not in scope.
Request similar to https://www.quantconnect.com/forum/discussion/1269/trading-and-back-testing-international-stocks-on-quantconnect/p1

Actual Behavior

It is currently not possible to live trade neither European ETFs nor stocks on Interactive Brokers through QC, although these venues/assets are available on IB

Potential Solution

My understanding so far is that the following is required:

• update MarketHoursDatabase with European market hours
• add LSE and IBIS as markets in Markets.cs
• (?) map LSE and IBIS to European market hours

Reproducing the Problem

System Information

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Expected Behavior

If an order is filled, we don't wait for other responses.

Actual Behavior

If we are trading with tick-resolution data, we might find ourselves in this case:
1 - Place Limit Order:
2023-06-23T18:45:15.2442393Z TRACE:: LiveTradingResultHandler.OrderEvent(): Time: 06/23/2023 18:45:15 OrderID: 106 EventID: 1 Symbol: TSLA Status: Submitted Quantity: -23 LimitPrice: 256.98 Message: Interactive Brokers Order Event BrokerId: 476
2 - Update Limit Order:
2023-06-23T18:45:16.0520910Z TRACE:: InteractiveBrokersBrokerage.UpdateOrder(): Symbol: TSLA Quantity: -23 Status: Submitted Id: 106
3 - Meanwhile the Limit Order was filled:
2023-06-23T18:45:16.0653963Z TRACE:: InteractiveBrokersBrokerage.HandleOrderStatusUpdates(): OrderId: 476, Status: Filled, Filled: 23, Remaining: 0, AverageFillPrice: 256.98, PermId: 1803924168, ParentId: 0, LastFillPrice: 256.98, ClientId: 0, WhyHeld: ,MktCapPrice: 0
4 - So the Update was rejected:
2023-06-23T18:45:16.1461694Z TRACE:: InteractiveBrokersBrokerage.HandleError(): RequestId: 476 ErrorCode: 104 - Cannot modify a filled order.. Origin: [Id=476] IBPlaceOrder: TSLA (STK TSLA USD Smart NASDAQ 0 )

It led to a NoBrokerageResponse
2023-06-23T18:50:16.1445549Z ERROR:: Brokerage.OnMessage(): Error - Code: NoBrokerageResponse - Timeout waiting for brokerage response for brokerage order id 476 lean id 106

Probably from the Update.

Potential Solution

If an order is filled, stop waiting on other responses.

Reproducing the Problem

N/A

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Expected Behavior

We can use IB Data Provider with other brokerages.

Actual Behavior

If we deploy an algorithm that adds Futures with IB, we get the following exception:

2024-03-21T14:07:01.8531305Z ERROR:: Extensions.SetRuntimeError(): Extensions.SetRuntimeError(): RuntimeError at 03/21/2024 14:06:59 UTC. Context: LiveSynchronizer System.NullReferenceException: Object reference not set to an instance of an object.
   at QuantConnect.Brokerages.InteractiveBrokers.InteractiveBrokersBrokerage.LookupSymbols(Symbol symbol, Boolean includeExpired, String securityCurrency)
   at QuantConnect.Lean.Engine.DataFeeds.DataQueueHandlerManager.LookupSymbols(Symbol symbol, Boolean includeExpired, String securityCurrency) in /LeanCloud/CI.Builder/bin/Debug/src/QuantConnect/LeanEnterprise/Engine/DataFeeds/DataQueueHandlerManager.cs:line 176

Potential Solution

N/A

Reproducing the Problem

Deploy the following code to QC Paper and select IB as data provider.

class RetrospectiveApricotLlama(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2024, 3, 20)
        self.AddFuture("ES")

This issue was observed with Terminal Link with IB Data too.

System Information

QuantConnect Cloud.

Checklist

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Expected Behavior

LEAN handles BRK B option contracts:

Actual Behavior

Algorithm.Initialize() Error: InteractiveBrokersBrokerage.MapSymbol(): Failed to convert contract for BRK B; Contract description: OPT BRK B USD AMEX 20231020 362.5 P

Potential Solution

The space between BRK and B causes the issue, so we can replace by ..

Reproducing the Problem

public void ReturnsCorrectLeanSymbol()
{
    var expiry = new DateTime(2023, 10, 20);
    symbol = mapper.GetLeanSymbol("BRK B", SecurityType.Option, Market.USA, expiry, 362.5m, OptionRight.Put);
    Assert.AreEqual("BRK.B 231020P00362500", symbol.Value);
    Assert.AreEqual(SecurityType.Option, symbol.ID.SecurityType);
    Assert.AreEqual(Market.USA, symbol.ID.Market);
    Assert.AreEqual(362.5m, symbol.ID.StrikePrice);
    Assert.AreEqual(expiry, symbol.ID.Date);
    Assert.AreEqual(OptionRight.Put, symbol.ID.OptionRight);
}

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Expected Behavior

IBDownloader can fetch data from all securities types.
https://interactivebrokers.github.io/tws-api/historical_data.html

Actual Behavior

Only forex is supported.

Potential Solution

Extends IBDownloader to support all security types.

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We are seeing this timeout error more frequently now. The Algo reboot 5/5 times and still failed. Could you investigate and advise what could be the reason, is there improvement to be done to handle this error properly.

Runtime Error: Timeout waiting for brokerage response for brokerage order id xxxxx lean id 27 Stack Trace: Timeout waiting for brokerage response for...

Expected Behavior

When the algorithm places an order, the contract details should have been cached before.

Actual Behavior

The contract details are fetched before we place the orders.
If we subscribe to Interactive Brokers' data, fetch and cache this information on subscribe. On the other hand, if we use an alternative feed, e.g. QuantConnect's, the contract details are requested to IB before the orders are placed.

Potential Solution

Perhaps we could fetch them during the heartbeats.

Reproducing the Problem

Deploy live algorithm with QuantConnect data and place one order to open a position and another to close it. The roundtrip time of the first will be longer. See in the syslog that GetContractDetails is called before the first order.

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New order type for IB - VWAP.

Expected Behavior

Be able to subscribe and warm up more than 300 options.

Actual Behavior

It takes 2.2 seconds to add security, and make a historical request to warm it up:

2024-02-28T23:46:14.7609004Z TRACE:: InfluxDbHistoryProvider.GetHistory(): SPX   240315P05025000 IndexOption 2024-02-28T21:10:00.0000000Z to 2024-02-28T23:46:00.8007143Z. QuoteBar. Quote. Minute
2024-02-28T23:46:14.7609481Z TRACE:: InfluxDbHistoryProvider.GetHistory(): SPX   240315P05025000 IndexOption 2024-02-28T21:10:00.0000000Z to 2024-02-28T23:46:00.8007143Z. TradeBar. Trade. Minute
2024-02-28T23:46:14.7611697Z TRACE:: InteractiveBrokersBrokerage.GetContractDetails(): SPX   240315P05025000 (OPT SPX USD Smart)
2024-02-28T23:46:15.3380276Z TRACE:: InteractiveBrokersBrokerage.GetContractDetails(): clientOnContractDetails event: OPT SPX USD SMART 20240314 5025 P SPX
2024-02-28T23:46:15.3390762Z TRACE:: InteractiveBrokersBrokerage.GetContractDetails(): contracts found: 1
2024-02-28T23:46:15.3391535Z TRACE:: InteractiveBrokersBrokerage::GetHistory(): Submitting request: SPX   240315P05025000 (OPT SPX USD Smart  20240314 5025 P): Minute/Quote 2/28/2024 9:10:00 PM UTC -> 2/28/2024 11:46:00 PM UTC
2024-02-28T23:46:16.0407240Z TRACE:: InteractiveBrokersBrokerage.GetContractDetails(): SPX   240315P05025000 (OPT SPX USD Smart)
2024-02-28T23:46:16.2256337Z TRACE:: InteractiveBrokersBrokerage.GetContractDetails(): clientOnContractDetails event: OPT SPX USD SMART 20240314 5025 P SPX
2024-02-28T23:46:16.2680131Z TRACE:: InteractiveBrokersBrokerage.GetContractDetails(): contracts found: 1
2024-02-28T23:46:16.2681073Z TRACE:: InteractiveBrokersBrokerage::GetHistory(): Submitting request: SPX   240315P05025000 (OPT SPX USD Smart  20240314 5025 P): Minute/Trade 2/28/2024 9:10:00 PM UTC -> 2/28/2024 11:46:00 PM UTC
2024-02-28T23:46:16.7629965Z TRACE:: InteractiveBrokersBrokerage::GetHistory(): Download completed: SPX   240315P05025000 (OPT SPX USD Smart  20240314 5025 P)
2024-02-28T23:46:16.7643986Z TRACE:: EventBasedDataQueueHandlerSubscriptionManager.Subscribe(): SPX   240315P05025000
2024-02-28T23:46:16.7644386Z TRACE:: InteractiveBrokersBrokerage.Subscribe(): Subscribe Request: SPX   240315P05025000
2024-02-28T23:46:16.7645160Z TRACE:: InteractiveBrokersBrokerage.GetContractDetails(): SPX   240315P05025000 (OPT SPX USD Smart)
2024-02-28T23:46:16.9488177Z TRACE:: InteractiveBrokersBrokerage.GetContractDetails(): clientOnContractDetails event: OPT SPX USD SMART 20240314 5025 P SPX
2024-02-28T23:46:16.9922404Z TRACE:: InteractiveBrokersBrokerage.GetContractDetails(): contracts found: 1
2024-02-28T23:46:16.9924096Z TRACE:: InteractiveBrokersBrokerage.Subscribe(): Subscribe Processed: SPX   240315P05025000 (OPT SPX USD Smart  20240314 5025 P) # 22. SubscribedSymbols.Count: 5
2024-02-28T23:46:16.9925928Z TRACE:: DataManager.AddSubscription(): Added SPX   240315P05025000,#0,SPX,Minute,QuoteBar,Quote,Raw,OpenInterest. Start: 2/28/2024 11:46:00 PM. End: 12/31/2050 5:00:00 AM
2024-02-28T23:46:16.9928868Z TRACE:: DataManager.AddSubscription(): Added SPX   240315P05025000,#0,SPX,Minute,TradeBar,Trade,Raw,OpenInterest. Start: 2/28/2024 11:46:00 PM. End: 12/31/2050 5:00:00 AM
2024-02-28T23:46:16.9932410Z TRACE:: DataManager.AddSubscription(): Added SPX   240315P05025000,#0,SPX,Minute,OpenInterest,OpenInterest,Raw,OpenInterest,Internal. Start: 2/28/2024 6:00:00 AM. End: 12/31/2050 5:00:00 AM

It leads to a 10-minute time out with less than 300 contracts:
10 min x 60 = 600 s / 2 s = 300 contracts

Potential Solution

See #48

Reproducing the Problem

class IndexOptionsAlgorithm(QCAlgorithm):

    def Initialize(self):
        seeder = FuncSecuritySeeder(self.GetLastKnownPrices)
        self.SetSecurityInitializer(lambda security: seeder.SeedSecurity(security))
        index_symbol = self.AddIndex("SPX").Symbol
        option = self.AddIndexOption(index_symbol)
        option.SetFilter(lambda u: u.Strikes(-20, 1).Expiration(0, 100).PutsOnly().StandardsOnly())

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Expected Behavior

Stop Limit orders are processed correctly.

Actual Behavior

Stop Limit orders are placed, but we don't get a status change from new to submitted:

Potential Solution

N/A

Reproducing the Problem

Deploy the following algorithm to IB Paper:

# region imports
from AlgorithmImports import *
# endregion

class EnergeticOrangeFox(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2022, 9, 14)
        self.equity = self.AddEquity("DLO")
        self.ticket = None

    def OnData(self, data: Slice):
        if self.ticket:
            return

        self.ticket = self.StopLimitOrder(
            self.equity.Symbol, 1, 
            self.equity.Price * 1.10,
            self.equity.Price * 0.90, 
            tag='Entry.StopLimit')

        self.StopMarketOrder(
            self.equity.Symbol, 1,
            self.equity.Price * 1.10, 
            tag='Entry.StopMarket')

        self.LimitOrder(
            self.equity.Symbol, 1,
            self.equity.Price * 0.90, 
            tag='Entry.Limit')

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Expected Behavior

The algorithm doesn't try to request data if not connected.

Actual Behavior

It looks like the algorithm is trying to fetch account data before it's connected. It doesn't have an impact on the algorithms because this data is fetched as soon as the connection is restored.

2022-12-01T16:23:24.0746316Z TRACE:: InteractiveBrokersBrokerage.Connect(): IB message processing thread ended: #28
2022-12-01T16:23:24.0751344Z TRACE:: InteractiveBrokersBrokerage.Connect(): Data subscription count 33, restoring data subscriptions is required
2022-12-01T16:23:24.0751526Z TRACE:: InteractiveBrokersBrokerage.Connect(): Attempting to connect (1/5) ...
2022-12-01T16:23:24.0751829Z TRACE:: InteractiveBrokersBrokerage.HandleConnectionClosed(): API client disconnected [Server Version: 0].
2022-12-01T16:23:26.5753319Z TRACE:: InteractiveBrokersBrokerage.Connect(): calling _client.ClientSocket.eConnect()
2022-12-01T16:23:26.6500363Z TRACE:: InteractiveBrokersBrokerage.HandleConnectAck(): API client connected [Server Version: 157].
2022-12-01T16:23:26.6507793Z TRACE:: InteractiveBrokersBrokerage.Connect(): IB next valid id received.
2022-12-01T16:23:26.6508385Z TRACE:: InteractiveBrokersBrokerage.Connect(): IB message processing thread started: #39
2022-12-01T16:23:26.6510070Z TRACE:: InteractiveBrokersBrokerage.DownloadAccount(): Downloading account data for DU5686920
2022-12-01T16:23:32.0605209Z TRACE:: InteractiveBrokersBrokerage.OnIbAutomaterOutputDataReceived(): Window event: [WINDOW_CLOSED] - Window title: [Pending Tasks] - Window name: [Pending Tasks]
2022-12-01T16:23:46.6515145Z TRACE:: InteractiveBrokersBrokerage.DownloadAccount(): Operation took longer than 15 seconds.
2022-12-01T16:23:46.6516005Z TRACE:: InteractiveBrokersBrokerage.Connect(): DownloadAccount failed. Operation took longer than 15 seconds.
2022-12-01T16:23:46.6666874Z TRACE:: InteractiveBrokersBrokerage.HandleError(): RequestId: -1 ErrorCode: 542 - Request Account Data Sending Error - 
2022-12-01T16:23:46.6669102Z TRACE:: Brokerage.OnMessage(): Information - Code: 542 - Request Account Data Sending Error - 
2022-12-01T16:23:46.6669841Z TRACE:: CloudLiveTradingResultHandler.BrokerageMessage(): Information - Code: 542 - Request Account Data Sending Error -  - Brokerage: InteractiveBrokersBrokerage
2022-12-01T16:23:46.6733330Z TRACE:: InteractiveBrokersBrokerage.HandleConnectionClosed(): API client disconnected [Server Version: 0].
2022-12-01T16:23:46.6734678Z TRACE:: InteractiveBrokersBrokerage.Connect(): IB message processing thread ended: #39
2022-12-01T16:23:47.6737263Z TRACE:: InteractiveBrokersBrokerage.Connect(): Attempting to connect (2/5) ...
2022-12-01T16:23:47.6737840Z TRACE:: InteractiveBrokersBrokerage.HandleConnectionClosed(): API client disconnected [Server Version: 0].
2022-12-01T16:23:47.6738355Z TRACE:: InteractiveBrokersBrokerage.Connect(): calling _client.ClientSocket.eConnect()
2022-12-01T16:23:47.6790085Z TRACE:: InteractiveBrokersBrokerage.HandleConnectAck(): API client connected [Server Version: 157].

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Expected Behavior

If IB no longer supports a contract because it has expired, LEAN doesn't throw an error, and returns an empty list of historical data.

Actual Behavior

The algorithm exists with No security definition has been found for the request error.

Potential Solution

When the error 200 occurs for history requests, we check out if the symbol has expired, and return an empty list.

Reproducing the Problem

Warm-up VX futures' algorithm.

var symbol = QuantConnect.Symbol.CreateFuture("VX", Market.CFE, new(2023, 10, 18), "VX18V23");
symbol = AddFutureContract(symbol).Symbol;   // <- optional 
var history = History(symbol, TimeSpan.FromDays(5), Resolution.Minute);

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IB can occasionally think another TWS instance is using the connection and prevent redeploying.

Possible causes include:

• LEAN uploading a large log and TWS is still open
• We're not shutting down TWS in a clean termination (kill pid)

Expected Behavior

Instantly redeploy the gateway.

Actual Behavior

Generally need to wait 1 minute to redeploy.

Potential Solution

Call the Menu->Exit button instead of killing the process.
- Automator -> Java (use a file to request a clean kill to java)

Reproducing the Problem

Restart the gateway quickly on a slow computer such as a cloud instance.

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Expected Behavior

The weekly restart is triggered every week.

Actual Behavior

One live deployment didn't trigger the weekly restart on the third week:

The user got 2FA on Sundays Sept 10th and Sep 17th at 22 UTC as expected but not on Sep 24th.

A few milliseconds before he got the following message:

2023-09-24T21:54:59.9974199Z TRACE:: InteractiveBrokersBrokerage.StartGatewayWeeklyRestartTask(): triggering weekly restart manually

The weekly restart was bumped to Oct 1st (next Sunday).

2023-09-24T21:54:59.9975778Z TRACE:: InteractiveBrokersBrokerage.StartGatewayWeeklyRestartTask(): scheduled weekly restart to 10/1/2023 10:00:00 PM (in 7.00:00:00.0024839)

Potential Solution

N/A

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Expected Behavior

GetOpenOrders returns QC Orders with OrderStatus != None.

Actual Behavior

OrderStatus = None for every order.

Potential Solution

IB provides the orderState has separate object in args at OpenOrder. Passing it through during IB.Order -> QC.Order conversion in following PR.

Reproducing the Problem

Have an open limit order with IB. Connect live and investigate Transactions.GetOpenOrders() during initialization / wramup. Those returned tickets need orderStatus

System Information

Tested with fix IB Gateway version: 10.192b and TWS 10.24.1c

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Expected Behavior

Be able to place combo orders.
https://interactivebrokers.github.io/tws-api/basic_orders.html

Actual Behavior

When we place option strategies with multiple legs, they are executed separately.

Potential Solution

N/A

Reproducing the Problem

Deploy BasicTemplateOptionStrategyAlgorithm.cs, and observe that they are not placed as combo orders, thus filled separately.

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Expected Behavior

If the data connection is lost, LEAN recovers it. No need to restart the deployment.

Actual Behavior

Apparently the algorithm trading SPX options fails because the algorithm stops receiving SPX (index data), so it didn't trigger the option universe filter.
The latest "Market data farm connection" says

2023-08-08T05:07:28.4818118Z TRACE:: InteractiveBrokersBrokerage.HandleError(): RequestId: -1 ErrorCode: 2108 - Market data farm connection is inactive but should be available upon demand.usopt

but it refers to usopt, not index.
When the user restarted the algorithm, it received the data.

Potential Solution

N/A

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Portfolio.Values not shows holding quantities from the broker even though there are holdings.
In the example I give it is called from Initialize function but this can happen throughout the strategy.

I know its a hard bug to fix. Please instruct me on how to actually yes check for the current actual holdings through a quantconnect c# strat. maybe I am doing something wrong.

If Portfolio.Values are not reliable at any point during the strat runtime please also say it so I could implement a different mechanism for positions tracking.

Expected Behavior

In live mode with broker Portfolio.Values should return the actual portfolio values or indicate in some manner that we dont have the current holdings at the moment.

Actual Behavior

Portfolio.Values returns 0 from holding.Quantity even if holding.Quantity is not 0.

Potential Solution

Populate Portfolio.Values before any user code is running.

Reproducing the Problem

in live mode, AddEquity to the maximum amount of tickers (100) minute data and have one position at ONE of the tickers.
in Initialize() go through Portfolio.Values in order to find the one position with holding.Quantity not 0.
no such position is found although actually yes exists in the broker.

System Information

Checklist

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• I have provided detailed steps to reproduce the issue