I get broker rejects error messages when using ChangeOrder(). I my opinion the problem is caused because I am not getting the Filled OrderState before sending ChangeOrder().
To avoid it I use OnExecutionUpdate() because this is supposed to be updated more often that OnOrderUpdate() and I set these conditions before using ChangeOrder():
if (MyOrder.OrderState != OrderState.Filled
&& MyOrder.OrderState != OrderState.Cancelled
&& MyOrder.OrderState != OrderState.CancelPending
&& MyOrder.OrderState != OrderState.Unknown
&& MyOrder.OrderState != OrderState.ChangePending
&& MyOrder.OrderState != OrderState.Rejected )
May I apply any other filter to avoid rejections?
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