I have posted this before, but it may still apply to your situation. You might also try doing a search for other previous discussions on propane and furnaces.
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We and some friends both had a problem like yours, when the regulator switched from the regulator-side tank to the far-side tank. There is an excess flow valve in the connector pigtails that can close if subjected to a sudden high flow such as might occur when you open the tank valve into an empty cross over pipe. If your regulator-side tank is empty, try switching tanks from side to side.
You can prevent this condition by opening the tank valves very slowly, or by installing a secondary regulator on the far side tank." This situation only affects the furnace, because its high demand for gas, your stove, water heater and fridge may still work.
(fridge? is that a Canadianism? means refrigerator in case you hadn't guessed
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