So i am doing limit orders for cash forex and sometimes it isn't filled. So how do i program or what do i use to check if it was cancelled and then send a new limit order to get the next best fill?

I've been looking at IOrder and and OrderState.Accepted and OrderState.Cancelled. Has anyone run into this?

Yes, you will have to use IOrders for this. Check the reference sample from NT forums:
Strategy: Using OnOrderUpdate() and OnExecution() methods to submit protective orders - NinjaTrader Support Forum

This should give you a place to start.

ericson 

So i am doing limit orders for cash forex and sometimes it isn't filled. So how do i program or what do i use to check if it was cancelled and then send a new limit order to get the next best fill? I've been looking at IOrder and and OrderState.Accepted and OrderState.Cancelled. Has anyone run into this?

If you're using managed orders doesn't it submit a new order on the next bar if the rules are still valid?

Good question which I dont have the answer to but would like to know also.

MrYou 

If you're using managed orders doesn't it submit a new order on the next bar if the rules are still valid?

It depends on what parameters you use:

EnterLongLimit(int barsInProgressIndex, bool liveUntilCancelled, int quantity, double limitPrice, string signalName)

If liveUntilCancelled == true, then it will keep submitting the order until CancelOrder() is called untill reaching TimeInForce condition

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