I haven't had a chance to run this against a live market, but I have been running a strategy against the Market Replay and can't seem to figure out the results. It seems like the "OnOrderUpdate()" function fires 8+ times for each actual event. Is this normal and only a Market Replay issue?
Here you can see the duplication (Same bar 1513 and time 10:10:00AM, keeps firing working, Others status include PendingCancel, Cancel, etc.
1513 INST(6E) 9/1/2011 12:00:00 AM Time: 6/27/2011 10:10:00 AM UPDATE: Working: Order='eb7884dd5edf46c5a19a053b210d2e0b/Replay101' Name='ExitSL0' State=Working Instrument='6E 09-11' Action=BuyToCover Limit price=0 Stop price=1.4206 Quantity=1 Type=Stop Tif=Gtc OverFill=False Oco='EXITBRACKET0' Filled=0 Fill price=0 Token='eb7884dd5edf46c5a19a053b210d2e0b' Gtd='1/1/0001 12:00:00 AM'; ASK=1.4206; BID=1.4204; CLOSE=1.4192 1513 INST(6E) 9/1/2011 12:00:00 AM Time: 6/27/2011 10:10:00 AM OnOrderUpdate EXIT; ASK=1.4206; BID=1.4204; CLOSE=1.4192 1513 INST(6E) 9/1/2011 12:00:00 AM Time: 6/27/2011 10:10:00 AM UPDATE: Working: Order='eb7884dd5edf46c5a19a053b210d2e0b/Replay101' Name='ExitSL0' State=Working Instrument='6E 09-11' Action=BuyToCover Limit price=0 Stop price=1.4206 Quantity=1 Type=Stop Tif=Gtc OverFill=False Oco='EXITBRACKET0' Filled=0 Fill price=0 Token='eb7884dd5edf46c5a19a053b210d2e0b' Gtd='1/1/0001 12:00:00 AM'; ASK=1.4206; BID=1.4204; CLOSE=1.4192 1513 INST(6E) 9/1/2011 12:00:00 AM Time: 6/27/2011 10:10:00 AM OnOrderUpdate EXIT; ASK=1.4206; BID=1.4204; CLOSE=1.4192 1513 INST(6E) 9/1/2011 12:00:00 AM Time: 6/27/2011 10:10:00 AM UPDATE: Working: Order='eb7884dd5edf46c5a19a053b210d2e0b/Replay101' Name='ExitSL0' State=Working Instrument='6E 09-11' Action=BuyToCover Limit price=0 Stop price=1.4206 Quantity=1 Type=Stop Tif=Gtc OverFill=False Oco='EXITBRACKET0' Filled=0 Fill price=0 Token='eb7884dd5edf46c5a19a053b210d2e0b' Gtd='1/1/0001 12:00:00 AM'; ASK=1.4206; BID=1.4204; CLOSE=1.4192 1513 INST(6E) 9/1/2011 12:00:00 AM Time: 6/27/2011 10:10:00 AM OnOrderUpdate EXIT; ASK=1.4206; BID=1.4204; CLOSE=1.4192 1513 INST(6E) 9/1/2011 12:00:00 AM Time: 6/27/2011 10:10:00 AM UPDATE: Working: Order='eb7884dd5edf46c5a19a053b210d2e0b/Replay101' Name='ExitSL0' State=Working Instrument='6E 09-11' Action=BuyToCover Limit price=0 Stop price=1.4206 Quantity=1 Type=Stop Tif=Gtc OverFill=False Oco='EXITBRACKET0' Filled=0 Fill price=0 Token='eb7884dd5edf46c5a19a053b210d2e0b' Gtd='1/1/0001 12:00:00 AM'; ASK=1.4206; BID=1.4204; CLOSE=1.4192 1513 INST(6E) 9/1/2011 12:00:00 AM Time: 6/27/2011 10:10:00 AM OnOrderUpdate EXIT; ASK=1.4206; BID=1.4204; CLOSE=1.4192 1513 INST(6E) 9/1/2011 12:00:00 AM Time: 6/27/2011 10:10:00 AM UPDATE: Working: Order='eb7884dd5edf46c5a19a053b210d2e0b/Replay101' Name='ExitSL0' State=Working Instrument='6E 09-11' Action=BuyToCover Limit price=0 Stop price=1.4206 Quantity=1 Type=Stop Tif=Gtc OverFill=False Oco='EXITBRACKET0' Filled=0 Fill price=0 Token='eb7884dd5edf46c5a19a053b210d2e0b' Gtd='1/1/0001 12:00:00 AM'; ASK=1.4206; BID=1.4204; CLOSE=1.4192 1513 INST(6E) 9/1/2011 12:00:00 AM Time: 6/27/2011 10:10:00 AM OnOrderUpdate EXIT; ASK=1.4206; BID=1.4204; CLOSE=1.4192 1513 INST(6E) 9/1/2011 12:00:00 AM Time: 6/27/2011 10:10:00 AM UPDATE: Working: Order='eb7884dd5edf46c5a19a053b210d2e0b/Replay101' Name='ExitSL0' State=Working Instrument='6E 09-11' Action=BuyToCover Limit price=0 Stop price=1.4206 Quantity=1 Type=Stop Tif=Gtc OverFill=False Oco='EXITBRACKET0' Filled=0 Fill price=0 Token='eb7884dd5edf46c5a19a053b210d2e0b' Gtd='1/1/0001 12:00:00 AM'; ASK=1.4206; BID=1.4204; CLOSE=1.4192 1513 INST(6E) 9/1/2011 12:00:00 AM Time: 6/27/2011 10:10:00 AM OnOrderUpdate EXIT; ASK=1.4206; BID=1.4204; CLOSE=1.4192 1513 INST(6E) 9/1/2011 12:00:00 AM Time: 6/27/2011 10:10:00 AM UPDATE: Working: Order='eb7884dd5edf46c5a19a053b210d2e0b/Replay101' Name='ExitSL0' State=Working Instrument='6E 09-11' Action=BuyToCover Limit price=0 Stop price=1.4206 Quantity=1 Type=Stop Tif=Gtc OverFill=False Oco='EXITBRACKET0' Filled=0 Fill price=0 Token='eb7884dd5edf46c5a19a053b210d2e0b' Gtd='1/1/0001 12:00:00 AM'; ASK=1.4206; BID=1.4204; CLOSE=1.4192 1513 INST(6E) 9/1/2011 12:00:00 AM Time: 6/27/2011 10:10:00 AM OnOrderUpdate EXIT; ASK=1.4206; BID=1.4204; CLOSE=1.4192 1513 INST(6E) 9/1/2011 12:00:00 AM Time: 6/27/2011 10:10:00 AM UPDATE: Working: Order='eb7884dd5edf46c5a19a053b210d2e0b/Replay101' Name='ExitSL0' State=Working Instrument='6E 09-11' Action=BuyToCover Limit price=0 Stop price=1.4206 Quantity=1 Type=Stop Tif=Gtc OverFill=False Oco='EXITBRACKET0' Filled=0 Fill price=0 Token='eb7884dd5edf46c5a19a053b210d2e0b' Gtd='1/1/0001 12:00:00 AM'; ASK=1.4206; BID=1.4204; CLOSE=1.4192 1513 INST(6E) 9/1/2011 12:00:00 AM Time: 6/27/2011 10:10:00 AM OnOrderUpdate EXIT; ASK=1.4206; BID=1.4204; CLOSE=1.4192 1513 INST(6E) 9/1/2011 12:00:00 AM Time: 6/27/2011 10:10:00 AM UPDATE: Working: Order='eb7884dd5edf46c5a19a053b210d2e0b/Replay101' Name='ExitSL0' State=Working Instrument='6E 09-11' Action=BuyToCover Limit price=0 Stop price=1.4206 Quantity=1 Type=Stop Tif=Gtc OverFill=False Oco='EXITBRACKET0' Filled=0 Fill price=0 Token='eb7884dd5edf46c5a19a053b210d2e0b' Gtd='1/1/0001 12:00:00 AM'; ASK=1.4206; BID=1.4204; CLOSE=1.4192 1513 INST(6E) 9/1/2011 12:00:00 AM Time: 6/27/2011 10:10:00 AM OnOrderUpdate EXIT; ASK=1.4206; BID=1.4204; CLOSE=1.4192 1513 INST(6E) 9/1/2011 12:00:00 AM Time: 6/27/2011 10:10:00 AM UPDATE: Working: Order='eb7884dd5edf46c5a19a053b210d2e0b/Replay101' Name='ExitSL0' State=Working Instrument='6E 09-11' Action=BuyToCover Limit price=0 Stop price=1.4206 Quantity=1 Type=Stop Tif=Gtc OverFill=False Oco='EXITBRACKET0' Filled=0 Fill price=0 Token='eb7884dd5edf46c5a19a053b210d2e0b' Gtd='1/1/0001 12:00:00 AM'; ASK=1.4206; BID=1.4204; CLOSE=1.4192 1513 INST(6E) 9/1/2011 12:00:00 AM Time: 6/27/2011 10:10:00 AM OnOrderUpdate EXIT; ASK=1.4206; BID=1.4204; CLOSE=1.4192 1513 INST(6E) 9/1/2011 12:00:00 AM Time: 6/27/2011 10:10:00 AM UPDATE: Working: Order='eb7884dd5edf46c5a19a053b210d2e0b/Replay101' Name='ExitSL0' State=Working Instrument='6E 09-11' Action=BuyToCover Limit price=0 Stop price=1.4206 Quantity=1 Type=Stop Tif=Gtc OverFill=False Oco='EXITBRACKET0' Filled=0 Fill price=0 Token='eb7884dd5edf46c5a19a053b210d2e0b' Gtd='1/1/0001 12:00:00 AM'; ASK=1.4206; BID=1.4204; CLOSE=1.4192 1513 INST(6E) 9/1/2011 12:00:00 AM Time: 6/27/2011 10:10:00 AM OnOrderUpdate EXIT; ASK=1.4206; BID=1.4204; CLOSE=1.4192 1513 INST(6E) 9/1/2011 12:00:00 AM Time: 6/27/2011 10:10:00 AM UPDATE: Working: Order='eb7884dd5edf46c5a19a053b210d2e0b/Replay101' Name='ExitSL0' State=Working Instrument='6E 09-11' Action=BuyToCover Limit price=0 Stop price=1.4206 Quantity=1 Type=Stop Tif=Gtc OverFill=False Oco='EXITBRACKET0' Filled=0 Fill price=0 Token='eb7884dd5edf46c5a19a053b210d2e0b' Gtd='1/1/0001 12:00:00 AM'; ASK=1.4206; BID=1.4204; CLOSE=1.4192 1513 INST(6E) 9/1/2011 12:00:00 AM Time: 6/27/2011 10:10:00 AM OnOrderUpdate EXIT; ASK=1.4206; BID=1.4204; CLOSE=1.4192 1513 INST(6E) 9/1/2011 12:00:00 AM Time: 6/27/2011 10:10:00 AM UPDATE: Working: Order='eb7884dd5edf46c5a19a053b210d2e0b/Replay101' Name='ExitSL0' State=Working Instrument='6E 09-11' Action=BuyToCover Limit price=0 Stop price=1.4206 Quantity=1 Type=Stop Tif=Gtc OverFill=False Oco='EXITBRACKET0' Filled=0 Fill price=0 Token='eb7884dd5edf46c5a19a053b210d2e0b' Gtd='1/1/0001 12:00:00 AM'; ASK=1.4206; BID=1.4204; CLOSE=1.4192 1513 INST(6E) 9/1/2011 12:00:00 AM Time: 6/27/2011 10:10:00 AM OnOrderUpdate EXIT; ASK=1.4206; BID=1.4204; CLOSE=1.4192 1513 INST(6E) 9/1/2011 12:00:00 AM Time: 6/27/2011 10:10:00 AM UPDATE: Working: Order='eb7884dd5edf46c5a19a053b210d2e0b/Replay101' Name='ExitSL0' State=Working Instrument='6E 09-11' Action=BuyToCover Limit price=0 Stop price=1.4206 Quantity=1 Type=Stop Tif=Gtc OverFill=False Oco='EXITBRACKET0' Filled=0 Fill price=0 Token='eb7884dd5edf46c5a19a053b210d2e0b' Gtd='1/1/0001 12:00:00 AM'; ASK=1.4206; BID=1.4204; CLOSE=1.4192 1513 INST(6E) 9/1/2011 12:00:00 AM Time: 6/27/2011 10:10:00 AM OnOrderUpdate EXIT; ASK=1.4206; BID=1.4204; CLOSE=1.4192 1513 INST(6E) 9/1/2011 12:00:00 AM Time: 6/27/2011 10:10:00 AM UPDATE: Working: Order='eb7884dd5edf46c5a19a053b210d2e0b/Replay101' Name='ExitSL0' State=Working Instrument='6E 09-11' Action=BuyToCover Limit price=0 Stop price=1.4206 Quantity=1 Type=Stop Tif=Gtc OverFill=False Oco='EXITBRACKET0' Filled=0 Fill price=0 Token='eb7884dd5edf46c5a19a053b210d2e0b' Gtd='1/1/0001 12:00:00 AM'; ASK=1.4206; BID=1.4204; CLOSE=1.4192 1513 INST(6E) 9/1/2011 12:00:00 AM Time: 6/27/2011 10:10:00 AM OnOrderUpdate EXIT; ASK=1.4206; BID=1.4204; CLOSE=1.4192 1513 INST(6E) 9/1/2011 12:00:00 AM Time: 6/27/2011 10:10:00 AM UPDATE: Working: Order='eb7884dd5edf46c5a19a053b210d2e0b/Replay101' Name='ExitSL0' State=Working Instrument='6E 09-11' Action=BuyToCover Limit price=0 Stop price=1.4206 Quantity=1 Type=Stop Tif=Gtc OverFill=False Oco='EXITBRACKET0' Filled=0 Fill price=0 Token='eb7884dd5edf46c5a19a053b210d2e0b' Gtd='1/1/0001 12:00:00 AM'; ASK=1.4206; BID=1.4204; CLOSE=1.4192 1513 INST(6E) 9/1/2011 12:00:00 AM Time: 6/27/2011 10:10:00 AM OnOrderUpdate EXIT; ASK=1.4206; BID=1.4204; CLOSE=1.4192 1513 INST(6E) 9/1/2011 12:00:00 AM Time: 6/27/2011 10:10:00 AM UPDATE: Working: Order='eb7884dd5edf46c5a19a053b210d2e0b/Replay101' Name='ExitSL0' State=Working Instrument='6E 09-11' Action=BuyToCover Limit price=0 Stop price=1.4206 Quantity=1 Type=Stop Tif=Gtc OverFill=False Oco='EXITBRACKET0' Filled=0 Fill price=0 Token='eb7884dd5edf46c5a19a053b210d2e0b' Gtd='1/1/0001 12:00:00 AM'; ASK=1.4206; BID=1.4204; CLOSE=1.4192 1513 INST(6E) 9/1/2011 12:00:00 AM Time: 6/27/2011 10:10:00 AM OnOrderUpdate EXIT; ASK=1.4206; BID=1.4204; CLOSE=1.4192
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