feat: warn on manual brokerage orders not tracked by Lean

Common/Brokerages/DefaultBrokerageMessageHandler.cs

@@ -43,6 +43,7 @@ public class DefaultBrokerageMessageHandler : IBrokerageMessageHandler
         private readonly TimeSpan _openThreshold;
         private readonly TimeSpan _initialDelay;
         private CancellationTokenSource _cancellationTokenSource;
+        private bool _outsideLeanOrderWarningEmitted;
 
         /// <summary>
         /// Initializes a new instance of the <see cref="DefaultBrokerageMessageHandler"/> class
@@ -176,8 +177,13 @@ where exchange.IsOpenDuringBar(
         /// </summary>
         /// <param name="eventArgs">The new order event</param>
         /// <returns>Whether the order should be added to the transaction handler</returns>
-        public bool HandleOrder(NewBrokerageOrderNotificationEventArgs eventArgs)
+        public virtual bool HandleOrder(NewBrokerageOrderNotificationEventArgs eventArgs)
         {
+            if (!_outsideLeanOrderWarningEmitted)
+            {
+                _outsideLeanOrderWarningEmitted = true;
+                _algorithm.Error(Messages.DefaultBrokerageMessageHandler.IgnoreUnrecognizedOrder(eventArgs.Order.BrokerId.FirstOrDefault()));
+            }
             return false;
         }
 

Common/Messages/Messages.Brokerages.cs

@@ -347,6 +347,17 @@ public static string TimeUntilNextMarketOpen(TimeSpan timeUntilNextMarketOpen)
             {
                 return Invariant($"DefaultBrokerageMessageHandler.Handle(): TimeUntilNextMarketOpen: {timeUntilNextMarketOpen}");
             }
+
+            /// <summary>
+            /// Returns a string message notify about unrecognized orders that are not being observed by Lean
+            /// </summary>
+            /// <param name="brokerageOrderId">The brokerage order id.</param>
+            /// <returns>The string represent unrecognized message</returns>
+            [MethodImpl(MethodImplOptions.AggressiveInlining)]
+            public static string IgnoreUnrecognizedOrder(string brokerageOrderId)
+            {
+                return $"Ignoring unrecognized order (BrokerId: {brokerageOrderId}). Please use 'SetBrokerageMessageHandler(...)' to set a custom brokerage message handler to optionally accept unknown orders.";
+            }
         }
 
         /// <summary>