there is a problem with RealtimeErrorHandling = RealtimeErrorHandling.StopCancelCloseIgnoreRejects with unmanaged strategies.
If I try to trail a Stop Loss in an Unmanaged Strategy and the market moves fast and my trailed stop price ends up on the wrong side of the market, resulting in a rejected change, this is not captured by StopCancelCloseIgnoreRejects. The strategy closes the position and shuts down.
It would seem that the only way to handle this scenario is to use RealtimeErrorHandling.IgnoreAllErrors; which exposes my strategy to a huge amount of risk as any unexpected exception will be ignored. Should rejected order changes not be captured by StopCancelCloseIgnoreRejects ? I think they should be.
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