Take a look at the status on the order object: https://www.quantopian.com/help#api-orderobj
For example, if you want to see if an order was cancelled you can do:
def handle_data(context, data):
my_order_id = order(symbol('aapl'), 100) # order 100 shares of AAPL and return the order id
my_order = get_order(my_order_id) # this will return the order object
if my_order.status == 2: # check if order has been cancelled
# more code logic
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