Understanding the Order of Events in a LEAN Engine Timeslice

Based on the QuantConnect LEAN engine architecture, the processing order for a specific time slice is strictly defined.

The specific order for the events you requested is: Order Fills (for non-market orders) $\rightarrow$ Margin Checks $\rightarrow$ Data Events (OnData).

Detailed Event Flow Sequence

When LEAN synchronizes data to create a timeslice, it executes the following steps in this specific order:

1. Data & State Updates: The engine updates Security and Cash objects with the latest data prices.
2. Order Fills (Non-Market): The engine processes fill models for non-market orders (e.g., Limit, Stop). If a price target was hit during this slice, the order is filled here.
3. Margin Checks: The engine processes margin calls. If the portfolio is below the maintenance margin, the on_margin_call_warning or on_margin_call events are triggered immediately.
4. Corporate Actions: Dividends, splits, and delistings are processed.
5. Data Events: Finally, the Slice object is passed to the on_data method in your algorithm.

Why This Order Matters

• Fills before Data: This ensures that if a Limit Order was filled by the price action in the current bar, your on_data method sees the updated portfolio state (cash and holdings) immediately.
• Margin before Data: The engine checks for solvency before allowing your strategy to make new decisions based on new data. This prevents an algorithm from opening new positions if it is already facing a margin call.

Full LEAN Event Loop

For a complete context, here is the relevant subset of the execution flow from the documentation:

1. Update Security objects with the latest data.
2. Update Cash objects in the CashBook.
3. Process fill models for non-market orders.
4. Submit market-on-open orders for Equity Options (if applicable).
5. Process margin calls.
6. Perform cash settlement.
7. Call on_securities_changed.
8. Update consolidators.
9. Pass Dividends, Splits, and Delistings to their respective event handlers.
10. Pass the Slice to the on_data method.

Q&A

When are market orders filled in this sequence?

In Backtesting, market orders are filled synchronously. If you place a market order inside on_data, it is processed immediately, and you will receive the on_order_event before the next line of code in on_data executes (assuming the market is open). In Live Trading, market orders are asynchronous; the fill event will arrive in a future execution loop.

Can I place trades inside on_margin_call?

No, you generally cannot place new entry trades inside on_margin_call. This method is specifically designed for you to return a list of SubmitOrderRequest objects to liquidate positions to satisfy the margin requirement.

Does on_data run if there is no new data?

Yes, if "Fill Forward" is enabled (which is the default setting). The on_data event handler will be triggered regularly with the previous data carried forward, ensuring your logic runs on a consistent heartbeat.