protected function _cancelOrder()
    {
         if ($this->_order->getId()) {
            // Only save order that's in this magento store
            $this->_order->cancel()->save();
        } else {
            // The order is not in this magento store, simply set state of this empty order to cancel
            $this->_order->setState(Mage_Sales_Model_Order::STATE_CANCELED);
        }
        return $this;
    }