CancelOrder not working

[dave1992]

RC1 - I have a strategy which issues orders from on market data - all works fine, except cancelorder doesn't work - test strat is below. The status never goes from working to cancelled. Run this on market replay, 16 nov 2010, FGBL 12-10, starting 15:12:00 GMT.

Please don't say you can't trade from on market data - trades work fine - limits, stops, profits etc

thanks
Dave

        protected override void OnMarketData (MarketDataEventArgs e) {
        
            if (e.Time.Hour == 15 && e.Time.Minute == 13 && entry == null)
                entry = EnterShortLimit(9999999);
            
            if (entry != null && entry.OrderState == OrderState.Working) {
                Print("Call cancel");
                CancelOrder(entry);
            }
        }
        
        
        protected override void OnOrderUpdate(IOrder o) {
            Print("ORDER: "+o.ToString());    
        }

[dave1992]

I think this is OK if I set live until cancelled in the entry. I still don't understand why without that the trade stays working all the time. Maybe because I have no OnBarUpdate.

[NinjaTrader_Bertrand]

Dave, the expiration of orders (normally on the next bar update if not liveUntilCancelled) is tied to the OnBarUpdate() - was TraceOrders giving you any insight?

Thanks,

[dave1992]

No. I guess, as I said, it doesn't expire if there's no OBU.

[NinjaTrader_Bertrand]

No. I guess, as I said, it doesn't expire if there's no OBU.

Correct those are tied together.