CancelOrder Submits a Modified Order

[TheTradingMantis]

I occasionally experience a situation where CancelOrder appears to submit a modified order on IB instead of canceling a limit order. The situation only occurs when the position is flat after being stopped out. The quanity used in the modified order is always 33.3% of the quantity in the original limit order. I've attached an Audit log from IB and also Print statement output from the Output window. On lines 47 and 48 of the output, the two open limit orders show the correct quantities of 50,000. On lines 74 and 75 of the output, the two open limit orders show the incorrect quantities of 16,666 (after the ATR stop flattened the position). I've also attached my code.

In this case the order(s) was rejected by IB because it was under the 20,000 size limit for EURUSD, and the strategy shutdown.

I have experienced this on both Beta 19 and Beta 20.

Greg

[NinjaTrader_Bertrand]

Thanks for reporting in Greg, we'll take a look shortly and attempt reproducing on our end here.

[TheTradingMantis]

One other small piece of information... This always and only seems to occur after T1 and T2 are hit and then the ATRStop is hit. I have seen this happen several times now and those have always been the conditions.

Makes me think the problem is in my code, but I can find nothing that would set or change T3 and T4 after the ATRStop, unless it is some incredibly subtle logic error.

[TheTradingMantis]

Just observed another behavior...

After T1, T2 and T3 are hit and then the ATRStop is hit, a modified limit order was placed for T4 (equal to 66.66% of the original order quantity) and then immediately cancelled. This order is not rejected by IB because it is greater than the minimum order size for the EURUSD and the strategy continues to run.

[NinjaTrader_Bertrand]

Greg, could you please let me know with which parameters you startup your strategy? Just making sure we ran the same scenario.

Thanks

[TheTradingMantis]

I was running it on the EURUSD. The attached PNG shows the parameter settings I used.

[NinjaTrader_Bertrand]

Thanks, got it running live here - so far no rejection issues, I'll keep monitoring it.

[NinjaTrader_Bertrand]

Greg, so far I could not see an issue here - I'll be off soon here, so I'll just leave it running and see what develops later.

[TheTradingMantis]

Bertrand,

Check the output window and look for a limit order for T3 (exitT3Order) when ATRStop (exitS3Order) was executed. The quantity of the limit order would be 33,333. You can also check the IB Audit Log.

When T3 is hit and then ATRStop hit, the order is not rejected because it is above the 20,000 minimum. After the order is submitted, it is immediately cancelled.

This behavior is slightly different than when T2 is hit and then the ATRStop is hit.

[NinjaTrader_JoshP]

gregschr,

Can you please attach your log/trace files as well for the time of your initial report? Thank you.

[TheTradingMantis]

Here you go....

I have also been running this on Market Replay, and the same thing is happening.

[NinjaTrader_Bertrand]

Greg, thanks - got it running here again with TraceOrders = true in the Initilize() to check into.

[NinjaTrader_Bertrand]

Have so far not seen a case like yours when testing this - are you sure the account position was in sync with the strategy position at all times?

[TheTradingMantis]

I am reaonably certain acct and strategy were in sync, I'll verify this is the case next time it happens. I have seen this situation happen multiple times so far.

Are you testing EURUSD on IB with a lot size of 50,000 and 4 lots? Problem has not happened when trading smaller lot size of 12 on ES 09-10.

[NinjaTrader_Bertrand]

Yes, I tried today exactly with your posted UI settings on a IB Paper account here and did not see it, please keep an eye on the sync the next time you try just in case this is related, which I suspect currently.

Thanks