Limit order ignored

[zstheorist]

I lost money on a strategy I expected to win with today, and I am trying to understand how that is possible. Here is the situation:

I am looking at turning points: i.e.:
if (MyInd[0] > MyInd[1] && MyInd[1] <= MyInd[2])
EnterLongLimit(100,Close[0]-10*TickSize);
if (MyInd[0] < MyInd[1] && MyInd[1] >= MyInd[2])
EnterShortLimit(100,Close[0]+10*TickSize);

SetTrailStop(CalculationMode.Percent,0.05);

My strategy executes on 30-min bar closes.
Sequence:
9:30 MyInd = 142.31
10:00 MyInd = 142.30 result: 10:00:01 enters short limit that executes that second!
10:30 MyInd = 142.34 result: should enter limit order to go long, but NOTHING HAPPENS!
11:00 MyInd = 142.40

Price definitely went well through where the limit order should have been entered on the next bar.
So, now I am short 100 shares of this stock when I should be long, and what should be a winning day becomes a losing one.

What happened?
1. The trace and log show that the trailing stop was updated on the 10:30 bar (they are never updated in real-time, contrary to the documentation).
2. No evidence of an EnterLongLimit order exists in either trace or log!

Net result: I lose real money.

How do I avoid this? I will implement whatever programming I have to in order to fix this logic - I am an expert programmer - but it is unclear from the documentation why this should have failed.

Please answer the following:

1. Does the existence of a stoploss order break any strategy with limit orders that trade both directions?
2. If I modify the code to the following should it absolutely fix this?
if (MyInd[0] > MyInd[1] && MyInd[1] <= MyInd[2])
{
if (Position.MarketPosition == MarketPosition.Short)
{
ExitShort();
}
EnterLongLimit(100,Close[0]-10*TickSize);
}

I should do this anyway to ensure an exit, but will it also place the long limit entry order?

[NinjaTrader_Bertrand]

Hi zstheorist, did you use TraceOrders = true in your strategy Initialize() to debug this? Most likely you're hitting the 'Internal Order Handling Rules' as outlined here - http://www.ninjatrader-support.com/H...verview36.html

Your mentioned workaround should place the long limit entry order if conditions are hit, as the Set method is cancelled when you close the trade with ExitShort().

[mrlogik]

Always check the LOG tab when things don't seem right.

[zstheorist]

Will do

(Un)fortunately the situation that occurred is rare, so the workaround I've implemented for now is to:

if (Position.MarketPosition == MarketPosition.Short)
EnterLong(100);
else
EnterLong(100,Close[0]-10*TickSize);

This is supposed to bypass those rules. I mentioned I had read them, but they were confusingly written. Reading between the lines of your response, the answer to my first question is: You cannot run a strategy with limit orders and stops only that trades both directions. Now that I know, I will work around it. I was trying to get prepared for the next round of up-tick rules. Market orders are a small price to pay in this strategy, it just removes some more complicated ideas I had from consideration.

I may try out my first workaround in the future:
if (Position.MarketPosition == MarketPosition.Short)
ExitShort();
EnterLong(100,Close[0]-10*TickSize);

For the benefit of newer users (I am not new, I just was trading futures with market orders before), it would really be helpful if you could have a clear example of a correctly constructed entry/exit strategy that obeys the rules. Take an SMA cross for example, just to make it simple. Explain precisely why if you have a stop, a limit order in the opposite direction is ignored, and demonstrate possible ways of getting around that.
This would go a LONG way to clarifying the gaps - we could all "USE THE SOURCE, LUKE!"

Thanks

[NinjaTrader_Bertrand]

Thank you for the input and feedback, we're constantly working on evolving our available tutorials and training material.