Trading and Orders
Key Concepts
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.
Orders and Tickets
When you call one of the order methods to place an order, LEAN performs pre-order checks to ensure that the order meets some requirements and uses the last known price to check you have enough capital. To see the requirements of each order, see the Requirements section of the documentation for the order types and the Orders section of your brokerage model. If you can place the order, 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.

Symbol Properties
The SymbolProperties
are a property of the Security
object. LEAN uses some of the SymbolProperties
to prevent invalid orders, and to calculate order quantities for a given target.
SymbolProperties
objects have the following properties:
To get the SymbolProperties
, use the property on the Security
object.
var symbolProperties = Securities["BTCUSD"].SymbolProperties; var lotSize = symbolProperties.LotSize; var minimumOrderSize = symbolProperties.MinimumOrderSize; var minimumPriceVariation = symbolProperties.MinimumPriceVariation;
symbol_properties = self.Securities["BTCUSD"].SymbolProperties lot_size = symbol_properties.LotSize minimum_order_size = symbol_properties.MinimumOrderSize minimum_price_variation = symbol_properties.MinimumPriceVariation
LEAN uses the MinimumPriceVariation
to round the LimitPrice
, StopPrice
, and the TriggerPrice
.
Quote Currency
The quote currency is the currency you must give the seller to buy an asset. For currency trades, the quote currency is the currency ticker on the right side of the currency pair. For other types of assets, the quote currency is usually USD, but the quote currency for India Equities is INR. To get the quote currency of a Security
, use the QuoteCurrency
property.
var aaplQuoteCurrency = Securities["AAPL"].QuoteCurrency; // USD var btcusdtQuoteCurrency = Securities["BTCUSDT"].QuoteCurrency; // USDT
aapl_quote_currency = self.Securities["AAPL"].QuoteCurrency # USD btcusdt_quote_currency = self.Securities["BTCUSDT"].QuoteCurrency # USDT
The QuoteCurrency
is a Cash
object, which have the following properties:
You can use the ConversionRate
property to calculate the value of the minimum price movement in the account currency
var cfd = Securities["SG30SGD"]; var quoteCurrency = cfd.QuoteCurrency; // SGD var contractMutiplier = cfd.SymbolProperties.ContractMultiplier; var minimumPriceVariation = cfd.SymbolProperties.MinimumPriceVariation; // Value of a pip in account currency var pip = minimumPriceVariation * contractMutiplier * quoteCurrency.ConversionRate;
cfd = self.Securities["SG30SGD"] quote_currency = cfd.QuoteCurrency # SGD contract_mutiplier = cfd.SymbolProperties.ContractMultiplier minimum_price_variation = cfd.SymbolProperties.MinimumPriceVariation # Value of a pip in account currency pip = minimum_price_variation * contract_mutiplier * quote_currency.ConversionRate
Trade Models
Reality models make backtests as realistic as possible to how the strategy would perform in live trading.
Live Trading Considerations
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. The timing of live order fills doesn't depend on the resolution of your security subscriptions. 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.
In backtesting, the trade fill timing depends on the resolution of your security subscription. For example, if you subscribe to a security with minute resolution data, the algorithm only receives data in one-minute time slices. As a result, the fill model can only evaluate if the order should fill on a minute-by-minute frequency.