Live Trading

Trading and Orders

Introduction

LEAN has dozens of methods to create, update, and cancel orders. You can place orders automatically with helper methods or manually through methods on the algorithm API. You can fetch, update, and cancel manual orders with order tickets. As the state of your orders change, LEAN creates events that notify your algorithm.

In backtesting, LEAN simulates order fills with historical data, but you can create your own fill, fee, slippage, and margin models via plugin points. You control how optimistic or pessimistic order fills are with transaction model classes. For more information about these types of models, see Reality Modeling.

In live trading, orders fill asynchronously. We send your order to the API of your brokerage and wait for their response to update the state of your algorithm and portfolio. When your order fills, the fill price and fee is set by your brokerage. You can add event handlers to your algorithm to monitor the brokerage connection and brokerage messages.

Order Life Cycle

When you create an order with one of the order methods, LEAN creates Order and OrderTicket objects. The order ticket is sent to your brokerage. As the brokerage processes your order, it returns another order ticket and it's compared against the order to see if the order is satisfied. Orders are asynchronous in live trading, so if you want to change an order, you must request it with the order ticket. Order changes are not guaranteed since your order may fill by the time brokerage receives the request.

When you create an order ticket, LEAN validates it to avoid sending orders that will be rejected by your brokerage. If the order is invalid, it's status is set to OrderStatus.Invalid. Otherwise, LEAN sets the order status to OrderStatus.New, sends the order to your brokerage, and waits for the brokerage message. If your brokerage accepts the order, the order status becomes OrderStatus.Submitted. Otherwise, it becomes OrderStatus.Canceled.

You can update orders until they fill or the brokerage prevents modifications. If you place an order update request, LEAN validates it to avoid sending orders that will be rejected by you brokerage. If the order update is valid, LEAN sends the update request and waits for the brokerage message. If your brokerage accepts the update, the order status becomes OrderStatus.UpdateSubmitted. Otherwise, it becomes OrderStatus.Canceled.

The brokerage notifies LEAN when you order fills (OrderStatus.Filled), partially fills (OrderStatus.PartiallyFilled) or is canceled (OrderStatus.Canceled). The brokerage can cancel your order before it completely fills. For example, if you place a market on open and the asset price moves before the market open to where you can't afford the quantity of the order, the brokerage rejects your order. The brokerage can also cancel your market on open order after partial fills if there is no shares left to trade.

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