Once the order has executed, in OnExcutionUpdate I place a stop order using ExitLongStopMarket.
On gap-up days, this may result in an error saying "A Sell stop order has been ignored since the stop price is greater than or equal to the close price of the current bar."
What happens is, the message says "current bar" but the price being checked against is in fact yesterday's close, because today's bar has not closed yet.
Meanwhile however, another time frame does exist and is used by the strategy, dear protecting-logic-behind-the-scenes, could you not recognize the greater granularity and consider the more recent price before you cancel my order based on a figure from yesterday that is irrelevant now?
What is one supposed to do, use unmanaged approach? I rather not.
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