Vega - Create and cancel order at the same time

[rapcmia]

Describe the bug

When checking Vega connector, there was an instance where it created an order and also cancel at the same time. Client seem to not recognize this event causing order stuck on cancelation event when reaching set time_limit when using v2 strategies (dman_v3)

• Observe that the script created order ok at 2024-04-03 14:16:20,676
• Checked vega explorer
  • Observed that at the same timeframe the order also got cancelled, see exchange id ce9812471142cce4515d68f1691f36dea4cb2883f359a32be7d1e0bf7c2c0e9c and VGHBSETUT61531dd904f0a9e9d083c03 on link , block 41875043
  • The script reaches the set time_limit, observed that it is stuck on canceling the VGHBSETUT61531dd904f0a9e9d083c03
    • On Vega explorer, it return an error of no order found in the market see link here
    • This seems to be expected since the order has been already cancelled

Another instance:

• Order in screenshot is VGHBSETUT61532358805f19e9d083c03 and exchange id da8528a450965dfeab615cef57a6dbc35a4cbfa9e9da1492d0c254ec53127350
• See cancellation order link

Steps to reproduce

1. Setup simple v2 strategy dman_v3 or bollinger_v1 on vega_perpetual
2. Observe connector when creating orders between client, vega exchange or vega explorer

Release version

dev-1.27.0

Type of installation

Source

Attach required files

Archive.zip