Examining the log output of NT I see that the system is sending several requests per second to cancel the same order, even after the position is long since dead. This doesn't happen on every order cancellation (and the vast majority take place without a hitch) but it's enough to grind the system to a halt over the period of a few hours.
Here is an example log output;
09/03/2009 16:27 Order Order='ce2f6c8c15aa459b8484c1a33f270bfb/Sim101' Name='Profit target' New State=Cancelled Instrument='ES 03-09' Action=BuyToCover Limit price=686.25 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error='' 09/03/2009 16:27 Order Order='ce2f6c8c15aa459b8484c1a33f270bfb/Sim101' Name='Profit target' New State=Cancelled Instrument='ES 03-09' Action=BuyToCover Limit price=686.25 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error='' 09/03/2009 16:27 Order Order='ce2f6c8c15aa459b8484c1a33f270bfb/Sim101' Name='Profit target' New State=Cancelled Instrument='ES 03-09' Action=BuyToCover Limit price=686.25 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error='' 09/03/2009 16:27 Order Order='ce2f6c8c15aa459b8484c1a33f270bfb/Sim101' Name='Profit target' New State=Cancelled Instrument='ES 03-09' Action=BuyToCover Limit price=686.25 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error='' 09/03/2009 16:27 Order Order='ce2f6c8c15aa459b8484c1a33f270bfb/Sim101' Name='Profit target' New State=Cancelled Instrument='ES 03-09' Action=BuyToCover Limit price=686.25 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error='' 09/03/2009 16:27 Order Order='ce2f6c8c15aa459b8484c1a33f270bfb/Sim101' Name='Profit target' New State=PendingCancel Instrument='ES 03-09' Action=BuyToCover Limit price=686.25 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error='' 09/03/2009 16:27 Order Order='ce2f6c8c15aa459b8484c1a33f270bfb/Sim101' Name='Profit target' New State=PendingCancel Instrument='ES 03-09' Action=BuyToCover Limit price=686.25 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error='' 09/03/2009 16:27 Order Order='ce2f6c8c15aa459b8484c1a33f270bfb/Sim101' Name='Profit target' New State=Working Instrument='ES 03-09' Action=BuyToCover Limit price=686.25 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error='' 09/03/2009 16:27 Order Order='ce2f6c8c15aa459b8484c1a33f270bfb/Sim101' Name='Profit target' New State=Accepted Instrument='ES 03-09' Action=BuyToCover Limit price=686.25 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error='' 09/03/2009 16:27 Order Order='ce2f6c8c15aa459b8484c1a33f270bfb/Sim101' Name='Profit target' New State=PendingChange Instrument='ES 03-09' Action=BuyToCover Limit price=686.25 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error='' 09/03/2009 16:27 Order Order='ce2f6c8c15aa459b8484c1a33f270bfb/Sim101' Name='Profit target' New State=Working Instrument='ES 03-09' Action=BuyToCover Limit price=686.5 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error='' 09/03/2009 16:27 Order Order='ce2f6c8c15aa459b8484c1a33f270bfb/Sim101' Name='Profit target' New State=Accepted Instrument='ES 03-09' Action=BuyToCover Limit price=686.5 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error='' 09/03/2009 16:27 Order Order='ce2f6c8c15aa459b8484c1a33f270bfb/Sim101' Name='Profit target' New State=PendingSubmit Instrument='ES 03-09' Action=BuyToCover Limit price=686.5 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
Any ideas?
thanks
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