Any reason to think calling Enter/Exit functions from a different thread will not work?
Going back to the discussion before about going from limit->market order, I wanted to do a scheme where I create a limit order, but also setup a timer (say for 30 seconds in the future). If within 30 seconds my limit order isn't filled, I plan to change the limit order to a much lower price in order to fill immediately.
According to MSDN docs, the thread that calls the timer event handler is from a separate thread-pool. I'll be careful with using lock() statements in my code, but want to double-check whether anything could possibly break on the back-end I'm not aware of.

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