I have a project in live deployment with QuantConnect (local LEAN CLI) trading a $30,000 margin paper trading account at Alpaca, which takes positions intra-day only, both long and short. I’m using 1 minute data, but my code only takes action at 5 minute intervals.
I have a scheduled event setup that is supposed to close all open positions exactly 5 minutes before market close every trading day. In backtesting everything works as intended, and open positions are closed exactly 5 minutes before market close. However, during live deployment, the liquidate function does not work at the 5 minutes before market close mark. 20 minutes, 15 minutes, 10 minutes, and 6 minutes before market close all work as intended in live deployment, as do other times throughout the trading day, but 5 minutes before close does not.
The instrument I’m trading is extremely liquid, so there’s no issue there. Additionally, I am able to liquidate my open positions manually via the Alpaca dashboard any time between 5 and 0 minutes prior to market close. Why am I not allowed to liquidate my positions via API at 5 minutes or less before market close?