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2024-05-17T09:12:16.0912054Z ERROR:: Extensions.SetRuntimeError(): Extensions.SetRuntimeError(): RuntimeError at 05/16/2024 21:00:00 UTC. Context: Consolidators update System.ArgumentException: Matrix must be positive definite.
at MathNet.Numerics.Providers.LinearAlgebra.ManagedLinearAlgebraProvider.CholeskyFactor(Double[] a, Int32 order)
at MathNet.Numerics.LinearAlgebra.Double.Factorization.DenseCholesky.Create(DenseMatrix matrix)
at MathNet.Numerics.LinearRegression.MultipleRegression.NormalEquations[T](T[][] x, T[] y, Boolean intercept)
at QuantConnect.Indicators.AutoRegressiveIntegratedMovingAverage.MovingAverageStep(Double[][] lags, Double[] data, Double errorMa) in /Indicators/AutoRegressiveIntegratedMovingAverage.cs:line 255
at QuantConnect.Indicators.AutoRegressiveIntegratedMovingAverage.TwoStepFit(Double[] series) in /Indicators/AutoRegressiveIntegratedMovingAverage.cs:line 230
at QuantConnect.Indicators.AutoRegressiveIntegratedMovingAverage.ComputeNextValue(IndicatorDataPoint input) in /Indicators/AutoRegressiveIntegratedMovingAverage.cs:line 185
Potential Solution
The AutoRegressiveIntegratedMovingAverage.MovingAverageStep method could not throw an exception if there is a reasonable alternative (return zero?); otherwise, it could raise an exception with the matrix values.
Expected Behavior
Ideally, LEAN doesn't throw unhandled exceptions.
Actual Behavior
Potential Solution
The
AutoRegressiveIntegratedMovingAverage.MovingAverageStep
method could not throw an exception if there is a reasonable alternative (return zero?); otherwise, it could raise an exception with the matrix values.Reproducing the Problem
Logging the data to show that the prices don't change during extended market hours may cause the issue.
Checklist
master
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