Order can not always be canceled

arodus commented 7 months ago

Expected Behavior

Orders are being canceled at all times without issues.

Actual Behavior

Some orders can not always be canceled, it happens in multiple occasions but It seems I found one way to reliably reproduce it. (See reproducing the problem)

Potential Solution

Don't raise an error when the status is CancelPending here: https://github.com/QuantConnect/Lean.Brokerages.ByBit/blob/a5b3f02c04838b5bb0a66e496b8ca958f0518a95/QuantConnect.BybitBrokerage/BybitBrokerage.Brokerage.cs#L201-L206

It seems that sometimes the order status is already CancelPending even though the cancel request was never sent to the brokerage.

Reproducing the Problem

Create an empty algo using the bybit brokerage. Which calls liquidate after startup.
Manually create an order in the exchange
Start the algorithm, the following error should pop up:

20231129 06:56:56.592 ERROR:: Brokerage Warning: Order already canceled or cancellation submitted
20231129 06:56:56.593 ERROR:: Brokerage failed to cancel order with id 1

Checklist

[x] I have completely filled out this template
[x] I have confirmed that this issue exists on the current master branch
[x] I have confirmed that this is not a duplicate issue by searching issues
[x] I have provided detailed steps to reproduce the issue

zurpet commented 7 months ago

Hi Arodus, this is really curious behavior which should be further investigated. How does it even happen that a freshly submitted order ends up being in CancelPending state right away? Are you able to trace exactly where it switches to this state?

arodus commented 7 months ago

Hi @zurpet, Martin explained it here: https://github.com/QuantConnect/Lean.Brokerages.ByBit/pull/12#discussion_r1410684480

QuantConnect / Lean.Brokerages.ByBit