BuyToCover stop order ignored

[DarkPool]

Hi All,

I am having a problem with setting a stop loss which seems to be due to a gap down in price on the bar after my entry signal triggers. What seems to be happening is that on the close of bar X my short signal triggers so I enter my short. I then calculate my stoploss by adding a number of ticks above my AvgFillPrice. The problem is that on the bar after my entry signal, price has gapped down, so that when my stoploss is entered it is below the Close of the trigger bar. I need to run CalculateOnBarClose = true;

Below is my stoploss code

protectedoverridevoid OnExecution(IExecution execution)
{
if (order1 != null && order1 == execution.Order && Position.MarketPosition == MarketPosition.Short)
{
order1Target = ExitShortLimit(0, true, 1, order1.AvgFillPrice - profitTarget * TickSize, "order1Target", "order1");
order1StopLoss = ExitShortStop(0, true, 1, order1.AvgFillPrice + stopLoss * TickSize, "order1StopLoss", "order1");
}
elseif (order2 != null && order2 == execution.Order && Position.MarketPosition == MarketPosition.Short)
{
Print(Time[0] + " " + Close[0]);
order2StopLoss = ExitShortStop(0, true, 1, order2.AvgFillPrice + stopLoss * TickSize, "order2StopLoss", "order2");
}
}

I have attached a screenshot to show the price action, aswell as my output window with TraceOrders=true;

How can I get around this issue?

[NinjaTrader_Joydeep]

Hello DarkPool,
As a workaround you can initially place the stop order like

order1StopLoss = ExitShortStop(0, true, 1, [B]Math.Max(Close[0[/B]], order1.AvgFillPrice + stopLoss * TickSize), "order1StopLoss", "order1");

and subsequently change it to your original price (from OnBarUpdate or OnMarketData)

order1StopLoss = ExitShortStop(0, true, 1, order1.AvgFillPrice + stopLoss * TickSize, "order1StopLoss", "order1");

Please let me know if I can assist you any further.