LEAN doesnt allow you to buy a contract of 1000 EURUSD, and then later buy another contract of 1000 EURUSD, and then later only liquidate the second contract. LEAN forces you to liquidate everything first, even though you want to keep the first contract. But on your brokers platform you can have multiple long and short contracts in any given asset. 

This fundamental problem also prevents "covering" operations. LEAN doesnt allow you to simultaneously have a long and short contract in any asset, even though covering is a very regular operation in the hedge fund industry and must be allowed by any serious trading platform. 

Quant Connect must get away from this "holding" ideology, and instead view trading as individual
contracts. One should be able to have multiple different long and short contracts in any asset. There is a huge room for improvement here. 
 

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