Добавил референс на сборку Microsoft.Practices.ServiceLocation (для exe файла) и заработало, а без этого он не копировался в папку с приложением.
System.TypeInitializationException: The type initializer for 'StockSharp.Algo.Licensing.LicenseHelper' threw an exception. ---> System.TypeInitializationException: The type initializer for 'Ecng.Security.CryptoAlgorithm' threw an exception. ---> System.TypeInitializationException: The type initializer for 'Ecng.Reflection.Emit.AssemblyHolder' threw an exception. ---> System.TypeInitializationException: The type initializer for 'Ecng.Configuration.ConfigManager' threw an exception. ---> System.IO.FileNotFoundException: Could not load file or assembly 'Microsoft.Practices.ServiceLocation, Version=1.0.0.0, Culture=neutral, PublicKeyToken=null' or one of its dependencies. Не удается найти указанный файл.
at Ecng.Configuration.ConfigManager..cctor()
--- End of inner exception stack trace ---
at Ecng.Configuration.ConfigManager.GetSection()
at Ecng.Reflection.Emit.AssemblyHolder..cctor()
--- End of inner exception stack trace ---
at Ecng.Reflection.Emit.AssemblyHolder.get_NeedCache()
at Ecng.Reflection.FastInvoker.CreateDelegate(Type delegType, Type instanceType, Type argType, ConstructorInfo ctor, MethodInfo method, MemberInfo member, Nullable1 isGetter) at Ecng.Reflection.FastInvoker.<>c__DisplayClass1.<CreateCore>b__0(MemberInfo ) at Ecng.Collections.CollectionHelper.SafeAdd[TKey,TValue](IDictionary2 dictionary, TKey key, Func2 handler) at Ecng.Reflection.FastInvoker.CreateCore(MemberInfo member, Nullable1 isGetter)
at Ecng.Reflection.FastInvoker`3.Create(PropertyInfo property, Boolean isGetter)
at Ecng.Reflection.ReflectionHelper.GetValue[A,V](MemberInfo member, A arg)
at Ecng.Reflection.ReflectionHelper.GetValue[A,V](Type type, String memberName, BindingFlags flags, A arg)
at Ecng.Reflection.ReflectionHelper.GetValue[A,V](Type type, String memberName, A arg)
at Ecng.Security.CryptoAlgorithm..cctor()
--- End of inner exception stack trace ---
at Ecng.Security.CryptoAlgorithm.Create(AlgorithmTypes type, ProtectedKey[] keys)
at StockSharp.Algo.Licensing.LicenseHelper..cctor()
--- End of inner exception stack trace ---
at StockSharp.Algo.Licensing.LicenseHelper.IsLicenseSupport(Type featureType)
at StockSharp.Algo.BaseTrader.Connect()