CancelOpenOrders returns an empty list during warm up instead of throwing

Common/Messages/Messages.Securities.cs

@@ -970,15 +970,6 @@ public static string SymbolNotFoundInSymbolPropertiesDatabase(QuantConnect.Symbo
         /// </summary>
         public static class SecurityTransactionManager
         {
-            /// <summary>
-            /// Returns a string message saying CancelOpenOrders operation is not allowed in Initialize or during warm up
-            /// </summary>
-            [MethodImpl(MethodImplOptions.AggressiveInlining)]
-            public static string CancelOpenOrdersNotAllowedOnInitializeOrWarmUp()
-            {
-                return $"This operation is not allowed in {FormatCode("Initialize")} or during warm up: {FormatCode("CancelOpenOrders")}. Please move this code to the {FormatCode("OnWarmupFinished")}() method.";
-            }
-
             /// <summary>
             /// Returns a string message saying the order was canceled by the CancelOpenOrders() at the given time
             /// </summary>

Common/Securities/SecurityTransactionManager.cs

@@ -253,7 +253,7 @@ public List<OrderTicket> CancelOpenOrders()
         {
             if (_algorithm != null && _algorithm.IsWarmingUp)
             {
-                throw new InvalidOperationException(Messages.SecurityTransactionManager.CancelOpenOrdersNotAllowedOnInitializeOrWarmUp());
+                return new List<OrderTicket>();
             }
 
             var cancelledOrders = new List<OrderTicket>();
@@ -275,7 +275,7 @@ public List<OrderTicket> CancelOpenOrders(Symbol symbol, string tag = null)
         {
             if (_algorithm != null && _algorithm.IsWarmingUp)
             {
-                throw new InvalidOperationException(Messages.SecurityTransactionManager.CancelOpenOrdersNotAllowedOnInitializeOrWarmUp());
+                return new List<OrderTicket>();
             }
 
             var cancelledOrders = new List<OrderTicket>();

Tests/Common/Securities/SecurityTransactionManagerTests.cs

@@ -114,6 +114,18 @@ public void WorksProperlyWithPyObjects()
             transactionHandler.Exit();
         }
 
+        [Test]
+        public void CancelOpenOrdersReturnsEmptyWhileWarmingUp()
+        {
+            var algorithm = new QCAlgorithm();
+            algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
+            var spy = algorithm.AddEquity("SPY").Symbol;
+
+            Assert.IsTrue(algorithm.IsWarmingUp);
+            Assert.IsEmpty(algorithm.Transactions.CancelOpenOrders());
+            Assert.IsEmpty(algorithm.Transactions.CancelOpenOrders(spy));
+        }
+
         [Test]
         public void OrderEnumerablesAreMemoizedExposingCount()
         {