I placed the order, got order_id and then made request to cancel it. So the order was there in OPEN status. I confirmed the same from web UI as well. This problem is happening with all of the orders. So I think the problem is with API or the Python client.
Can you re-check order status of above order_id, it would have executed in between, so you are not able to cancel it.
Also, can you retrive complete individual order status by order_id and check current status?
Can you retrive complete individual order status by order_id and PM me response of those order's?