I am facing the following problem:
1. The strategy is developed in Unmanaged approach and uses pending entry and exit orders
2. While running through Historical Fill process, the strategy sets pending orders and manages them according to internal rules
3. But then even before "On starting a real-time strategy" happens, the strategy crashes sometimes with "has been disabled because it attempted to modify a historical order that has transitioned to a live order" error.
I am performing the transitioning of historical orders to real-time orders as stated in Help Guide:
"...
else if (State == State.Realtime){
...
if (order != null) order = GetRealtimeOrder(order);
...
}
..."
However, this block should not even run since the strategy crashes in the middle of Historical Fill process without even reaching "On starting a real-time strategy" point.
Is there anything I am missing with the transitioning process?
Best regards,
Alexei
Comment