How SetHoldings() works

The SetHoldings() method in QuantConnect does not inherently wait for a sell order to complete before initiating a buy order. When you call SetHoldings() to sell a security (A in your case), it sends a sell order, but it doesn't wait for this order to fill before proceeding to the next line of code where you call SetHoldings() to buy another security (B in your case).

If you want to ensure that the sell order is filled before the buy order is placed, you can use the Order() method to place the sell order and then use the OrderTicket object returned by this method to monitor the status of the order. Once the sell order is filled, you can then place the buy order.

Here is an example of how you can do this:

# Sell A
ticket = self.Order("A", -self.Portfolio["A"].Quantity)

# Wait for the order to be filled
if ticket.Status == OrderStatus.Filled:
    # Buy B
    self.SetHoldings("B", 1)

Please note that this is a simplified example and actual implementation may require more complex handling, especially when dealing with partial fills or rejected orders.

For more information, you can refer to the QuantConnect API Reference and Trading and Orders documentation.