Exit Legs Not Supported

This message indicates that your broker will not attach a take profit or a stop loss to the entry order for the asset class you are trading. It applies whether you sent one exit leg or both: brokers rarely answer this the same way for everything they sell, and one that brackets stocks may refuse the same thing on crypto or options.

Alpaca is the clearest example. It attaches exit legs to a stock entry, but answers the same request on crypto or options with an error, so a signal like this one is rejected before it reaches them when the strategy trades crypto:

{
    "ticker": "BTC/USD",
    "action": "buy",
    "stopLoss": {
        "type": "stop",
        "stopPrice": 60000
    }
}

Sending a takeProfit instead, or both together, is refused for the same reason.

You have two options. Send the entry on its own and manage the exit with a separate signal once the position is open:

{
    "ticker": "BTC/USD",
    "action": "buy"
}

Or trade a product your broker attaches exit legs to. The message on your strategy subscription lists the brokers that do for the asset class you are configuring.