Unabled to cancel out unmapped live orders

[Camdo]

Josh, I have emailed you the log and trace files for the entire period.
I have also included a detailed cronology of start stops, add/removes.

some how the sim stop is not being recovered properly and because it is not recovered, it will want to be cancelled on strategy start.

I noted an instance of this happening on 9/7/2010 12:14

The strategy was started many times before 9/9/2010 when the "Unable to Cancel Unmapped live orders" occured. It ran an entire day, making many trades, without incident.

I am not sure what exactly caused all of this, but I like your theories as to how things can go array. Since both "sim stop gone real" and "unmapped orders" has happened in the past, with other stratrgies, I know it will happen again. My vague recollection is that an external limit was in play during all occurences.

To proceed we would want to try and isolate out steps to reproduce the sim stop not being recovered properly.

I really would not know when this is occuring.
Is the Stop loss OCO not having a correspondent execution a marker?

I will work on a simple replication. Post #9 lists my best idea as to how to reproduce. This may take a while.

[NinjaTrader_JoshP]

I have received the email. We will be attempting this on our end as well. If you are able to find any key clues on your end, we would really appreciate that information to assist us as well. Thank you for your efforts.

[zweistein]

Here a thread were I had the same issue,

http://www.ninjatrader.com/support/forum/showthread.php?t=26571

but the Ninjateam fixed this issue several betas ago.

To the Ninjateam: Please be careful when changing your internal remapping logic , I am happy with the situation now.


regards

Andreas

[NinjaTrader_JoshP]

Andreas,

This case is not using SyncAccountPosition = true so it would most likely be different. Thank you for the link and heads up though.

[Camdo]

"Unable to cancell unmapped live orders" has occured again.
This time, the cause seems more obvoius.
Events:
1. A strategy with a live account position and live simulated stop loss, is closed after the session ends for the night. The simulated stop loss remains visible on the chart. The simulated stop loss is also listed on the orders tab.

2. The next day at the session start, the simulated stop loss is not visible on the chart. The strategy. which was left untouched since yesterday, is started from strategy tab. The "Unmapped" message appears, and the strategy fails to start.

3. Yesterday's simulated stop loss does not appear in the AccountPerformance>Orders tab for the last 2 day period.
Problem 1 is that the simulated stop loss is not being recorded properly in the database.

4. The strategy is removed and reinstalled in strategy tab.

5, The strategy is started, and runs green, but the simulated stop loss is not activated. The option "submitt immediately live working orders" is checked. The strategy is in a historical position, so the simulated stop loss should have been activated, but it was not. NT is acting illogically. This is a new instance of the strategy.
Problem 2 is "submitt immediately" is not working for SetStopLoss(simulated).

[NinjaTrader_JoshP]

#3. Account Performance only shows completed trades. A sim stop order would not be a complete trade and so it wouldn't be expected to show here.

#5. Unrelated to the case here. What you want to do for this one is to use TraceOrders = true and see if the order was submitted by the strategy historically or not. Whether or not it was ignored when the strategy was calculating its historical position and what it was doing would be important to understand what is happening with that particular order.

[NinjaTrader_JoshP]

Between #1 and #2 did you or did you not shut down NT? If you left NT on did you disconnect from your brokerage?

[Camdo]

Josh, I shutdown NT

[NinjaTrader_JoshP]

As you have shut down, what happened with that sim order? Did you see it at all as you started up NT again? Not in the chart, but in the orders tab? What was the order state of this order when you shutdown NT. Was it "Initialized" or was it "Accepted" or something else?

[Camdo]

The previous day, I remember seeing the sim order in the orders tab, but cannot recall its state. I do remember that all looked normal and well.
I don't know what happened to it when I shut down. Everything seemed normal.

When NT was restarted, the next day, the sim order was not on the orders tab.

The previous day trace file says the sim order was, new state ="Initialized Instrument".

[Camdo]

As you have shut down, what happened with that sim order?

During the shutdown period, price action would not have triggered execution of the sim stop.

[NinjaTrader_JoshP]

Camdo,

Thanks. We have isolated and fixed an issue where the historical sim stop order was submitted as live. That was what you were originally reporting, but I am not sure if that will address all the downstream issues you have faced.

What sounds very odd is that your sim stop order disappeared from your orders tab the next day. As you connect you should be able to still see it since it would be still active if it did not fill or anything. Perhaps there is some Time In Force effect here. What settings are you using for TIF?

[Camdo]

Ah ha..
TIF is "Day".
So it should be cancelled.
NT only supports TIF "Day" for MB Trading.
I see now, that during the historical portion of BarsUpdate, the sim stop would be cancelled. So it is logically correct that the sim stop disapears.

So, the remaining issue is the "Unable to cancell unmapped live orders. Strategy not started" message.

[Camdo]

There seems to be an incompatable suite of conditions:
Time In Force = Day
and Exit on Close = False
and SetStopLoss(simulated)
and Live trading
and Position carried to next day.

There is no programming method to cancel a SetStopLoss.
Does NT have the necessary internal code to properly cancel the SetStopLoss in the event of the above conditions?

[NinjaTrader_JoshP]

Camdo,

The SetStopLoss() should have never even been a "real" order so there is nothing to cancel. I will be sending you an email here shortly with a custom build which should resolve the original issue as we believe everything is intertwined. Can you please install this one and see how it goes? Thanks.