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Youcan't place trades during the warm-up period because they would be operating on fictional fast-forwarded data.
If you try to place a trade during warm-up, LEAN throws the following error:
</p>
<div class='error-messages'>Backtest Handled Error: This operation is not allowed in Initialize or during warm up: OrderRequest.Submit. Please move this code to the OnWarmupFinished() method.</div></p>