feat: warn on manual brokerage orders not tracked by Lean

[Romazes]

Description

Notify user that they can handle Outside Lean Orders in their algorithm by implementing specific logic or even simply skipping.

Ignoring unrecognized order (BrokerId: {brokerageOrderId}). Please use 'SetBrokerageMessageHandler(...)' to set a custom brokerage message handler to optionally accept unknown orders.

Related PRs

• Algorithm brokerage order generate filter/handling #7686

Related Issue

N/a

Motivation and Context

We have added this message, and it will apply to all brokerages and will be protected from duplication.

Requires Documentation Change

N/a

How Has This Been Tested?

Run the algo without SetBrokerageMessageHandler(...) and see the warning message.

Types of changes

• Bug fix (non-breaking change which fixes an issue)
• Refactor (non-breaking change which improves implementation)
• Performance (non-breaking change which improves performance. Please add associated performance test and results)
• New feature (non-breaking change which adds functionality)
• Breaking change (fix or feature that would cause existing functionality to change)
• Non-functional change (xml comments/documentation/etc)

Checklist:

• My code follows the code style of this project.
• I have read the CONTRIBUTING document.
• I have added tests to cover my changes.
• All new and existing tests passed.
• My branch follows the naming convention bug-<issue#>-<description> or feature-<issue#>-<description>