I have a very strange problem that happened today at the close. I have been trading a strategy for years and I have never seen anything like this. I had a strategy running on instrument TF 12-14 during the day. I enabled my strategy and tried to "Sync" the position. I kept getting "Cancelled" or "Rejected" because the TIF was "GTC". For some reason I could not change the strategy from "GTC" to "DAY". So I disabled the strategy and manually placed the trade, but I did so on the next contract, TF 03-15. The chart I also changed over at 3:00 to TF 03-15 and because there were no trades on TF 12-14 outstanding, and the strategy was disabled, I thought all was good. The strategy on TF 03-15 then sold the trade at 3:30 so I was then flat.
At 5:00 I got a call from my broker because two TF 12-14 trades had come in at the close. He thought this was odd as I never trade on the close. He is correct that I never do trade on the close, and this was no exception. I looked at the order history and there were two "Stop" orders hit at 4:00:57 PM. They were marked as "External". Now the interesting thing is that there was supposed to be one stop order hit in the morning, around 6:00 AM that never showed up. By 10:00 AM I had my broker perform a manual sell because the stop was never hit.
I use a very safe method of managed trades in NT. I just use EnterLong, EnterShort, ExitLong, ExitShort. I also use this for stop loss:
if( stop_loss_max > 0 )
SetStopLoss( Math.Abs( stop_loss_max ), false );
} // end OnBarUpdate
As you can see by the comment on the ending brace this is at the end of the strategy (I am not showing the whole of OnBarUpdate). This is for 60 minute bars. So the question is, how was there an outstanding stoploss on TF 12-14 when the strategy was no longer active, and there was no position? Does a stoploss fire even when there is no position in place? How could it be a stopploss if there is no position anyway? Why were there two positions when I only trade one at a time?
I probably need tech support to take a look, but it should be as soon as possible. I have to cover these positions on Sun. when the market reopens. I need to know how to track these outstanding stops that are sitting somewhere out on the server, but stay out there even when a strategy is disabled!
Please help me understand some of the issues that could be coming into play here. As I said I've been using NT for many years, I thought I'd seen every situation, but this is a new twist.
At 5:00 I got a call from my broker because two TF 12-14 trades had come in at the close. He thought this was odd as I never trade on the close. He is correct that I never do trade on the close, and this was no exception. I looked at the order history and there were two "Stop" orders hit at 4:00:57 PM. They were marked as "External". Now the interesting thing is that there was supposed to be one stop order hit in the morning, around 6:00 AM that never showed up. By 10:00 AM I had my broker perform a manual sell because the stop was never hit.
I use a very safe method of managed trades in NT. I just use EnterLong, EnterShort, ExitLong, ExitShort. I also use this for stop loss:
if( stop_loss_max > 0 )
SetStopLoss( Math.Abs( stop_loss_max ), false );
} // end OnBarUpdate
As you can see by the comment on the ending brace this is at the end of the strategy (I am not showing the whole of OnBarUpdate). This is for 60 minute bars. So the question is, how was there an outstanding stoploss on TF 12-14 when the strategy was no longer active, and there was no position? Does a stoploss fire even when there is no position in place? How could it be a stopploss if there is no position anyway? Why were there two positions when I only trade one at a time?
I probably need tech support to take a look, but it should be as soon as possible. I have to cover these positions on Sun. when the market reopens. I need to know how to track these outstanding stops that are sitting somewhere out on the server, but stay out there even when a strategy is disabled!
Please help me understand some of the issues that could be coming into play here. As I said I've been using NT for many years, I thought I'd seen every situation, but this is a new twist.
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