Ensure consistent market exit for a strategy

[cuberone]

Feature Request

Problem Statement

When stopping trading strategies based on trading conditions, rather than shutdown, active in-flight or racing orders may persist in the market. This issue arises when using a simple sequence of cancel_all_orders followed by close_all_positions, which does not adequately handle orders that are still in transit or in the process of execution.

Proposed Solution

Implement a robust market exit process for trading strategies to ensure all in-flight orders and open positions are fully resolved before shutdown or restart. The process should be integrated into the existing strategy lifecycle as follows:

a. Any component can publish an exit command targeting a specific strategy.
b. Exit Process:

1. The strategy invokes self.on_market_exit to initiate the exit sequence.
2. Execute a consistent, iterative market exit procedure:

• Wait for in-flight orders status change (configure inflight_check_interval_ms for low latency).
• Wait until all active orders are confirmed canceled.
• Ensure all positions are fully closed before proceeding.

3. Invoke self.after_market_exit to customise the exit process.

c. Incorporate the market exit process into the existing strategy shutdown workflow.