When I said in the original post
would be automatically cancelled the next bar if not renewed, AND that if the next bar requested a limit in the opposite direction then this auto-cancellation would be done before the reversal limit order was processed.
So from the point of view of Assumption B the auto-cancel is not working in the correct sequence, even though it does work in the correct bar.
When I said
I think it might be best to finish with this thread and I may raise:
- A new post just reporting the lack of subsequent errors as a bug.
- A new 'discussion' post requesting that switching Limit order direction be made more user friendly in the 'managed orders' environment.
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