What is the expected OrderStatus of a Stop or Limit order that has not been triggered/filled?

When you place an order, it initially has the OrderStatus.New status. This status represents a new order pre-submission to the order processor. After the order is submitted to the market, its status changes to OrderStatus.Submitted.

The OnOrderEvent method in your algorithm receives OrderEvent objects, which notify the algorithm of new orders and changes in the order status such as fill events and cancellations. Therefore, you should receive an OrderEvent when the order transitions from New to Submitted.

If the order is filled, its status will change to OrderStatus.Filled, and an OrderEvent will be triggered.

Here is an example of how you can handle order events in Python:

def OnOrderEvent(self, orderEvent: OrderEvent) -> None:
    order = self.Transactions.GetOrderById(orderEvent.OrderId)
    if orderEvent.Status == OrderStatus.Filled:
        self.Debug(f"{self.Time}: {order.Type}: {orderEvent}")

In this example, the OnOrderEvent method logs the order type and event details if the order status is Filled.

Remember, in live trading, order events are triggered asynchronously as they occur. To avoid infinite loops, it's recommended not to place orders in the OnOrderEvent method.

For more information, you can refer to the Order Events section in the QuantConnect documentation.