Can you provide a startegy sample of cancelling/covering orders with state Working, Filled, PartFilled (i.e. limit orders) in transution from historical to real-time data using unmanaged approach? The idea is to have zero position at reaching reltime state to start strategy from scratch. Test it with Market replay please.
For e.g. on Range bars you can place buy limit orders on up bar close at best bid and sell limit orders on down bar close at best ask.
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