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Strategy stops when Exit @ close is true

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    Strategy stops when Exit @ close is true

    I am using a chart 6pm-8am est. Exit at the close is set to true, I have "wait until flat before executing live" checked. The strategy exits and cancels existing stop loss as well a target limit order, however the strategy stops rather then waiting idle for next session. The Instrument EURJPY is working fine in other strategies.

    3/26/2010 7:59:21 AM|0|128|Strategy ‘TEST’ submitted an order that generated the following error 'OrderRejected'. Strategy has sent cancel requests, attempted to close the position and terminated itself.

    #2
    Hello rightcoast,

    As per the log message, the strategy sent an order that was rejected, which subsequently cancelled your strategy.

    Please check what order was rejected. Do you see a native error message as per the rejection? If so, please let me know what it states.

    You will want to avoid rejected orders, since they will terminate the strategy - this is as expected.
    JasonNinjaTrader Customer Service

    Comment


      #3
      Hello Jason,
      Here is the log, TIA.



      3/26/2010 7:59:21 AM|1|128|Exit on close handling for strategy TEST' started.
      3/26/2010 7:59:21 AM|1|32|Order='245760136/' Name='Stop loss' New State=PendingCancel Instrument='$EURJPY' Action=Sell Limit price=0 Stop price=122.825 Quantity=0.07M Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
      3/26/2010 7:59:21 AM|1|32|Order='245760137/' Name='Profit target' New State=PendingCancel Instrument='$EURJPY' Action=Sell Limit price=124.275 Stop price=0 Quantity=0.07M Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
      3/26/2010 7:59:21 AM|1|32|Order='8e90b62a3e4245fa96205d16ffbf219a/U504294' Name='Exit on close' New State=PendingSubmit Instrument='$EURJPY' Action=Sell Limit price=0 Stop price=0 Quantity=0.07M Type=Market Filled=0 Fill price=0 Error=NoError Native error=''
      3/26/2010 7:59:21 AM|1|32|Order='245760137/' Name='Profit target' New State=Rejected Instrument='$EURJPY' Action=Sell Limit price=124.275 Stop price=0 Quantity=0.07M Type=Limit Filled=0 Fill price=0 Error=OrderRejected Native error='Cancel attempted when order is not in a cancellable state. Order permId =245760137 (161)'
      3/26/2010 7:59:21 AM|0|32|Cancel attempted when order is not in a cancellable state. Order permId =245760137 (161) Affected Order: Sell 70000 Limit @ 124.275
      3/26/2010 7:59:21 AM|0|128|Strategy ‘TEST’ submitted an order that generated the following error 'OrderRejected'. Strategy has sent cancel requests, attempted to close the position and terminated itself.
      3/26/2010 7:59:21 AM|1|32|Order='245760136/' Name='Stop loss' New State=Cancelled Instrument='$EURJPY' Action=Sell Limit price=0 Stop price=122.825 Quantity=0.07M Type=Stop Filled=0 Fill price=0 Error=NoError Native error='Order Canceled - reason: (202)'
      3/26/2010 7:59:21 AM|1|32|Order='245760137/' Name='Profit target' New State=Cancelled Instrument='$EURJPY' Action=Sell Limit price=124.275 Stop price=0 Quantity=0.07M Type=Limit Filled=0 Fill price=0 Error=NoError Native error='Order Canceled - reason: (202)'
      3/26/2010 7:59:21 AM|2|4|Order Event Warning:Attribute 'Outside Regular Trading Hours' is ignored based on the order type and destination. PlaceOrder is now being processed. 2109
      3/26/2010 7:59:21 AM|1|32|Order='245760138/' Name='Exit on close' New State=Accepted Instrument='$EURJPY' Action=Sell Limit price=0 Stop price=0 Quantity=0.07M Type=Market Filled=0 Fill price=0 Error=NoError Native error=''
      3/26/2010 7:59:21 AM|1|32|Order='245760138/' Name='Exit on close' New State=Working Instrument='$EURJPY' Action=Sell Limit price=0 Stop price=0 Quantity=0.07M Type=Market Filled=0 Fill price=0 Error=NoError Native error=''
      3/26/2010 7:59:21 AM|1|32|Order='245760138/' Name='Exit on close' New State=Filled Instrument='$EURJPY' Action=Sell Limit price=0 Stop price=0 Quantity=0.07M Type=Market Filled=70000 Fill price=124.07 Error=NoError Native error=''
      3/26/2010 7:59:21 AM|1|16|Execution='$EURJPY/0000d30a.4babd922.01.01' Instrument='$EURJPY' Account='U504294' Exchange=IBIdealPro Price=124.07 Quantity=0.07M Market position=Short Operation=Insert Order='245760138' Time='3/26/2010 7:59:21 AM' Multiplier=0.001 Rate=0.0107921433196633
      3/26/2010 7:59:22 AM|1|64|Instrument='$EURJPY' Account='' Avg price=0 Quantity=0 Market position=Long Operation=Remove Currency=JapaneseYen

      Comment


        #4
        Hello rightcoast,

        What order state is reflected for the profit target before 7:59:21 AM?

        It seems this state does not allow it to cancel.
        JasonNinjaTrader Customer Service

        Comment


          #5
          Hopefully this answers your question, thanks Jason



          3/26/2010 7:05:00 AM|1|32|Order='245760137/' Name='Profit target' New State=Accepted Instrument='$EURJPY' Action=Sell Limit price=124.275 Stop price=0 Quantity=0.07M Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
          3/26/2010 7:05:01 AM|1|32|Order='245760137/' Name='Profit target' New State=Working Instrument='$EURJPY' Action=Sell Limit price=124.275 Stop price=0 Quantity=0.07M Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''

          Comment


            #6
            Strange, when an order is in a 'working' status, you should be able to cancel it.

            Does the rejection recur each time when you run this strategy?

            Could it be there was another order status reflected after 7:05:00 AM?
            JasonNinjaTrader Customer Service

            Comment


              #7
              Very strange, it worked fine last week, however the chart that it trades from was not saved when I logged off Last Friday. (I keep strategies running all week). So I created a new chart last weekend and ever since it's shutting down the strategy everyday this week. I also tried it under
              "submit live" same result.

              The last log code sent was the most recent since the error/exit instance.

              ty

              Comment


                #8
                rightcoast,

                Please turn on TraceOrders = true in your strategy and open an Output Window and let it run. The next time it rejects the order please see the reason given for the order rejection in the Output Window.
                Josh P.NinjaTrader Customer Service

                Comment


                  #9
                  Hi Jason,

                  Its been a couple of days since this problem repeated. It only happens if there is a position that is exited @ close. TraceOrders = true: In time order below is the Limit order status. Trace log to follow..

                  3/31/2010 5:05:01 AM|1|32|Order='244220739/' Name='Profit target' New State=Working Instrument='$EURJPY' Action=Sell Limit price=126.02 Stop price=0 Quantity=0.07M Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
                  3/31/2010 7:59:21 AM|1|128|Exit on close handling for strategy 'Test' started.
                  3/31/2010 7:59:21 AM|1|32|Order='244220738/' Name='Stop loss' New State=PendingCancel Instrument='$EURJPY' Action=Sell Limit price=0 Stop price=124.57 Quantity=0.07M Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
                  3/31/2010 7:59:21 AM|1|32|Order='244220739/' Name='Profit target' New State=PendingCancel Instrument='$EURJPY' Action=Sell Limit price=126.02 Stop price=0 Quantity=0.07M Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
                  3/31/2010 7:59:21 AM|1|32|Order='838952cc4d614f4b9700dd461d0db96e/' Name='Exit on close' New State=PendingSubmit Instrument='$EURJPY' Action=Sell Limit price=0 Stop price=0 Quantity=0.07M Type=Market Filled=0 Fill price=0 Error=NoError Native error=''
                  3/31/2010 7:59:21 AM|1|128|Exit on close handling for strategy 'Test' started.
                  3/31/2010 7:59:21 AM|1|32|Order='244220739/' Name='Profit target' New State=Rejected Instrument='$EURJPY' Action=Sell Limit price=126.02 Stop price=0 Quantity=0.07M Type=Limit Filled=0 Fill price=0 Error=OrderRejected Native error='Cancel attempted when order is not in a cancellable state. Order permId =244220739 (161)'
                  3/31/2010 7:59:21 AM|0|32|Cancel attempted when order is not in a cancellable state. Order permId =244220739 (161) Affected Order: Sell 70000 Limit @ 126.02
                  3/31/2010 7:59:21 AM|0|128|Strategy 'Test' submitted an order that generated the following error 'OrderRejected'. Strategy has sent cancel requests, attempted to close the position and terminated itself.
                  Last edited by rightcoast; 03-31-2010, 07:56 AM.

                  Comment


                    #10
                    Summary of order state from trace file. If you need more detail I can e-mail it to you. Thanks




                    2010-03-31 07:59:21:845 (me) Cbi.OrderStatusEventArgs.Process: Order='244220738/' Name='Stop loss' New State=PendingCancel Instrument='$EURJPY' Action=Sell Limit price=0 Stop price=124.57 Quantity=0.07M Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
                    2010-03-31 07:59:21:845 (me) Cbi.OrderStatusEventArgs.Process: Order='244220739/' Name='Profit target' New State=PendingCancel Instrument='$EURJPY' Action=Sell Limit price=126.02 Stop price=0 Quantity=0.07M Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
                    2010-03-31 07:59:21:845 (me) Cbi.Connection.ProcessEventArgs.OrderStatusEventAr gs: Order='244220739/' Name='Profit target' New State=Rejected Instrument='$EURJPY' Action=Sell Limit price=126.02 Stop price=0 Quantity=0.07M Type=Limit Filled=0 Fill price=0 Error=OrderRejected Native error='Cancel attempted when order is not in a cancellable state. Order permId =244220739 (161)'
                    2010-03-31 07:59:21:845 (me) Cbi.Order.Update1: oldid='244220739' Order='244220739/' Name='Profit target' New State=Rejected Instrument='$EURJPY' Action=Sell Limit price=126.02 Stop price=0 Quantity=0.07M Type=Limit Filled=0 Fill price=0 Error=OrderRejected Native error='Cancel attempted when order is not in a cancellable state. Order permId =244220739 (161)'
                    2010-03-31 07:59:21:876 (me) Cbi.OrderStatusEventArgs.Process: Order='838952cc4d614f4b9700dd461d0db96e/U504294' Name='Exit on close' New State=Initialized Instrument='$EURJPY' Action=Sell Limit price=0 Stop price=0 Quantity=0.07M Type=Market Filled=0 Fill price=0 Error=NoError Native error=''

                    Comment


                      #11
                      Hello rightcoast,

                      Can you please send me your entire latest log and trace files. Please send them to support[at]ninjatrader[dot]com, reference this thread and put 'Attn Jason' in the subject header.

                      You can find these files at the following locations:

                      Start Menu--> My Documents--> NinjaTrader 6.5--> Log--> log.20100331.txt for today. (log.yyyymmdd for any other date)

                      Start Menu--> My Documents--> NinjaTrader 6.5--> Trace--> trace.20100331.txt for today. (trace.yyyymmdd for any other date)
                      JasonNinjaTrader Customer Service

                      Comment


                        #12
                        Hey Jason,

                        I have not heard back from you on this issue, I sent you the log and trace 2 times, 3 weeks ago? It just happened again today, last week it was fine. TY

                        Comment


                          #13
                          rightcoast,

                          Unfortunately Jason is out of the office due to travel issues in Europe and I will need to confer with him to see what the latest state on this case was.

                          In the meantime, do you recall the ticket number for the files you submitted into Jason? Then I can review those items on my end, or if you send in new files in relation to your experience today that would be great.

                          Thank you for your patience on this matter. Also, which data provider were you using? Thank you.
                          Josh P.NinjaTrader Customer Service

                          Comment

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