Limit entry Order did not execute. Why???

[ninjablanks]

My strategy enters on limit orders at he EMA. It did not execute even though the price seemed to hit the entry point several times. Attached is the log. Can you help?

8/18/2009 10:39:32 AM,Order,Order='c09324caa2c547bd8f6892e0551a9b1a/Sim101' Name='Buy' New State=Cancelled Instrument='6E 09-09' Action=Buy Limit price=1.4096 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error='',
8/18/2009 10:39:32 AM,Order,Order='c09324caa2c547bd8f6892e0551a9b1a/Sim101' Name='Buy' New State=PendingCancel Instrument='6E 09-09' Action=Buy Limit price=1.4096 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error='',
8/18/2009 10:34:34 AM,Order,Order='c09324caa2c547bd8f6892e0551a9b1a/Sim101' Name='Buy' New State=Working Instrument='6E 09-09' Action=Buy Limit price=1.4096 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error='',
8/18/2009 10:34:34 AM,Order,Order='c09324caa2c547bd8f6892e0551a9b1a/Sim101' Name='Buy' New State=Accepted Instrument='6E 09-09' Action=Buy Limit price=1.4096 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error='',
8/18/2009 10:34:34 AM,Order,Order='c09324caa2c547bd8f6892e0551a9b1a/Sim101' Name='Buy' New State=PendingSubmit Instrument='6E 09-09' Action=Buy Limit price=1.4096 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error='',

[NinjaTrader_Jason]

Hello ninjablanks,

At 10:39:32, the limit order receives a pendingcancel status, which causes the order to be cancelled the same second.

Am I correct, the limit order did not execute before it was cancelled, while the market hit the limit price?

I notice you trade the sim101 account. I suggest to go to Tools-->Options-->Simulator-tab and enable 'Enforce immediate fills'. Check if this will make a difference.