Would really appreciate seeing some LIVE code for Forex

QuantConnect provides event handlers to deal with broker disconnects and reconnects. When the brokerage connection restores after it disconnects, your algorithm is notified through the OnBrokerageReconnect event handler. Similarly, if the brokerage connection breaks, your algorithm is notified through the OnBrokerageDisconnect event handler. Here are the Python code examples for these handlers:

def OnBrokerageReconnect(self) -> None:
 self.Debug("Brokerage connection restored")

def OnBrokerageDisconnect(self) -> None:
 self.Debug("Brokerage connection lost")

(Source: QuantConnect Documentation)

In live trading, orders fill asynchronously. QuantConnect sends your order to the API of your brokerage and waits for their response to update the state of your algorithm and portfolio. Therefore, after a disconnect/reconnect, QuantConnect should not be out of sync with the broker. 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.

(Source: QuantConnect Documentation)

As for testing the code for reconciling order status after a broker disconnect, it might be challenging to simulate this scenario. However, you can write your code in a way that it checks the order status before performing any operation on it. For instance, you can avoid the OrderResponseErrorCode.InvalidNewOrderStatus (-32) error in live trading by checking the Status property of the order ticket or order event before you update or cancel an order. Here is a Python code example:

if self.order_ticket.Status != OrderStatus.New:
 self.order_ticket.Cancel()

(Source: QuantConnect Documentation)

I hope this helps! Let me know if you have any other questions.

Thank you Mia! There are two things I would like to clarify:

QuantConnect sends your order to the API of your brokerage and waits for their response to update the state of your algorithm and portfolio. Therefore, after a disconnect/reconnect, QuantConnect should not be out of sync with the broker. 

Suppose I submit a StopMarketOrder which may fill in minutes or hours (or never). And then it fills during a broker disconnect. After reconnecting to the broker I assume I will not receive an OrderEvent ‘Fill’ event. If I read the OrderTicket.Status will it show Filled? In other words, does that query the broker to get the status, or does it rely on some tracking within LEAN that may be out of sync?

For instance, you can avoid the OrderResponseErrorCode.InvalidNewOrderStatus (-32) error in live trading by checking the Status property of the order ticket or order event before you update or cancel an order. Here is a Python code example:

I really like this, it will make my code more robust. 

Thank you

QuantConnect's LEAN engine is designed to handle broker disconnects and maintain the state of your algorithm and portfolio. When a disconnect occurs, LEAN will attempt to reconnect and synchronize with the brokerage. This includes updating the status of any open orders.

If a StopMarketOrder fills during a broker disconnect, after reconnecting, LEAN should update the order status to 'Filled'. The OrderTicket.Status does not directly query the broker each time it is accessed, but it should reflect the most recent information received from the broker.

However, it's important to note that the exact behavior can depend on the specific brokerage and how they handle disconnects. Some brokerages might not provide complete information immediately after a reconnect, which could potentially lead to temporary discrepancies.

Here's a Python code snippet showing how you might check an order's status:

if self.order_ticket.Status == OrderStatus.Filled:
    self.Debug("Order has been filled")

I'm glad you found the information about handling OrderResponseErrorCode.InvalidNewOrderStatus useful! It's always a good practice to check the status of an order before attempting to modify it.

Remember, the key to handling broker disconnects is to write robust code that can handle unexpected situations. Always check the status of orders and other important variables, and include error handling where appropriate.

Let me know if you have any other questions!

Fantastic, thank you!