"Close position" orders executed via Pats

[heech]

Hi,

I just had a pretty expensive problem this morning. I've sent in an error report to Ray, but just wanted to put notes here in case other reps might have seen the issue before.

Due to a bad tick, I placed some sell trades on CC 09-09 (Cocoa)... which was immediately (within about 30 seconds) with some buy trades. The bad tick is an issue I'll bring up with the data vendor (Pats).

But what's really odd is that I ended up with two orders that I did *NOT* place (both on the sell and then on the buy side)... the two orders were for quantities that I don't trade in, and the order name is not anything I've ever set.

The order name is "Close position". I am sure that means something to someone at NT... that's not random.

6/30/2009 6:25:10 AM Entered internal PlaceOrder() method at 6/30/2009 6:25:10 AM: Action=BuyToCover OrderType=Market Quantity=2 LimitPrice=0 StopPrice=0 SignalName='MexitCC 09-09|4|0' FromEntrySignal='CC 09-09|4|0'

6/30/2009 6:25:10 AM Entered internal PlaceOrder() method at 6/30/2009 6:25:10 AM: Action=BuyToCover OrderType=Market Quantity=1 LimitPrice=0 StopPrice=0 SignalName='MexitCC 09-09|5|0' FromEntrySignal='CC 09-09|5|0'

6/30/2009 6:25:10 AM Entered internal PlaceOrder() method at 6/30/2009 6:25:10 AM: Action=Buy OrderType=Market Quantity=1 LimitPrice=0 StopPrice=0 SignalName='CC 09-09|0|2' FromEntrySignal=''

Those are my 3 orders on the buy side. Quantities 2, 1, and 1. The signal name are also meaningful to me. These orders were processed normally and correctly.

At the exact same time (within milliseconds), I received calls into OnOrderUpdate and OnExecution for a buy order that I didn't recognize. The control panel shows this order:

CC 09-09 BuyToCover Market 7 0 0 Filled 7 2544.429 0 Close position Day xxxxx zRCGPat 592826 ProtectDownMulti edb4f55c4c45460abd6862a540172205 6/30/2009 6:25:11 AM + - X

7 contracts! Not a quantity I ever deal with. I absolutely did *not* (intentionally) place that order; my log does not show any "entered internal placeorder" message for this order. I am not using stop target or anything similar.

[heech]

Just happened again, 2 hours later. Another 4 contract buy with signal name "close position", coinciding with some actual BuyToCover + Buy orders.

I've *never* seen this before, and I place 300 trades a month through NT. But there are two new things here:

1) maybe it's Patsystems + order handling?
2) maybe it's related to the bad ticks? I don't know. I've been getting horrific prints from Patsystems all week... 10-20% outside of the current price. Real-time tick filter isn't catching it either, because I get *MULTIPLE* ticks at these levels.

[NinjaTrader_Ray]

Just happened again, 2 hours later. Another 4 contract buy with signal name "close position", coinciding with some actual BuyToCover + Buy orders.

I've *never* seen this before, and I place 300 trades a month through NT. But there are two new things here:

1) maybe it's Patsystems + order handling?
2) maybe it's related to the bad ticks? I don't know. I've been getting horrific prints from Patsystems all week... 10-20% outside of the current price. Real-time tick filter isn't catching it either, because I get *MULTIPLE* ticks at these levels.

We have the files and sent to development for further analysis. Will respond to you later today.

[heech]

Hi,

Just as a follow-up to others who see this thread... the NT team took a look, and it seems like the root problem is due to the crazy price print that I saw, which (metaphorically and literally) took my strategy into uncharted territory.

- basically, if you call EnterShort() while you have a long strategy position... NinjaTrader will see it as a request to do a reversal. It apparently closed out my long position, and then went short.

- my code assumed I'd have an ExitLong() before it reached any EnterShort() calls. Because of the crazy bad print, it ended up executing both simultaneously.

I really didn't realize the Enter() functions would have this sort of "reversal" behavior. It's something all programmers should be careful with.