Sorry I did not quite understand what you mean. If you have no more data then you will not be able to cancel as nothing is trading. This would be expected.
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Cancelled order due to end of session handling
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I try to rephrase my previous post:
We have two different instrument in the strategy.
The primary instrument traded normally until session end.(24:00)
but the secondary instrument had no new tick that day from 20:00 ( close to expiration) , and that caused that the primary instrument stop/target cancelled with ''Cancelled order due to end of session handling' message.
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You can reproduce the bug with the included files.
Import EStemp and TFtemp historical data and run the SessionCancelError strategy on the 5 min EStemp chart.
You will see that the stop/target canceled on the primary instrument at 20:00 because of the secondary bar session end.
Regards,
Hatori.
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