CancelOrder()

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private Order myEntryOrder = null;
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private int barNumberOfOrder = 0;
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protected override void OnBarUpdate()
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{
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    // Submit an entry order at the low of a bar
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    if (myEntryOrder == null)
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    {
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        // use 'live until canceled' limit order to prevent default managed order handling which would expire at end of bar
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        EnterLongLimit(0, true, 1, Low[0], "Long Entry");
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        barNumberOfOrder = CurrentBar;
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    }
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    // If more than 5 bars has elapsed, cancel the entry order
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    if (CurrentBar > barNumberOfOrder + 5)
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        CancelOrder(myEntryOrder);
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}
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protected override void OnOrderUpdate(Order order, double limitPrice, double stopPrice, int quantity, int filled,
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    double averageFillPrice, OrderState orderState, DateTime time, ErrorCode error, string nativeError)
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{
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    // Assign entryOrder in OnOrderUpdate() to ensure the assignment occurs when expected.
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    // This is more reliable than assigning Order objects in OnBarUpdate, as the assignment is not guaranteed to be complete if it is referenced immediately after submitting
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    if (order.Name == "Long Entry")
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        myEntryOrder = order;
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    // Evaluates for all updates to myEntryOrder.
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    if (myEntryOrder != null && myEntryOrder == order)
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    {
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        // Check if myEntryOrder is cancelled.
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        if (myEntryOrder.OrderState == OrderState.Cancelled)
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        {
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            // Reset myEntryOrder back to null
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            myEntryOrder = null;
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        }
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    }
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}