IB rejects wide bid-ask order without notice

[roland_nt]

On Sept 10 Interactive Brokers intercepted an order for NFLX at :9:44 Eastern.
This is a client protection feature that IB apparently provides..
However, the client's ATM strategy does not appear to have gotten any error reject.
If I read the log and trace files correctly, I only see a Pending submit for that trade.
Later,since the strategy was in some kind of limbo state, it tried to execute the order.
The client saw this error and flattened every thing.
Can you verify that my interpretation is correct and suggest any way to handle that in the future?

[NinjaTrader_Kyle]

Hello roland_nt,

Thank you for your post.

In the diagnostic files which you attached I see Stop 1 and Target 1 submitted after the fill and moved in to 'Accepted' and 'Working' states indicating that those orders are active on Interactive Brokers servers. At around 10:02:49 AM, Stop 1 is filled in parts resulting in the cancellation of Target 1.

All in all, it appears that this ATM Strategy did function normally based on what I'm seeing in the log from the 10th. If this does not match with your analysis of the order, could you please follow up with me by email at PlatformSupport [AT] NinjaTrader [DOT] com with the Order ID for the entry order so that I can make sure that I'm tracking the execution in question?

On another note, I have removed (unapproved) the log and trace file attachments in your original post. These files include sensitive information like account numbers which should not be shared on public forums.

[roland_nt]

IB reject order possibly mishandled

Kyle:
I have attached an output window for September 10. It is the same file you have but I stripped out everything that does not apply to the trade that were talking about. There are exactly 2 NFLX trades.

The strategy design is such that the next tick after a fill, stop and target are adjusted. If an adjustment doesn't take, the strategy keeps retrying on every next tick until the client flattened all strategies at 10:12 a.m.

Note that all lines that begin with NFLXAHCatm22 are generated by the strategy. Lines beginning with NFLXAHC22 are generated by an indicator in another chart that uses the same trade detection and exit logic.

number 1 entered at 9:44 a.m. (this is the trade canceled by IB at 9:44 a.m. approximately) order 604a7224d8ce40b8ae5c208f741467f6 from log file

number 2 entered at 9:50 a.m. and exited at 10:02 a.m. (this trade was handled okay)
order 8dfe9fa1372047eaae6e8210069b91da from log file

It appears that the order handling traffic never reported the reject to the strategy for trade number 1, so the strategy continued to look for order progress and received a fill message at 10:08 a.m. with a fill price showing the slippage as $.51. That's slippage confirms that this fill report was from the 9:44 a.m. trade.

But the original order, or some part of it was no longer there for the normal immediate stop and target adjustment, so a method error occurs until the client flattens everything at 10:12

Hope this helps

[NinjaTrader_PatrickH]

Hello roland_nt,

Thank you for your response.

May we review your strategy to see where this may have occurred?

[roland_nt]

IB reject order possibly mishandled

Thanks in advance for the time you are spending on this issue.
Attached please find the strategy in question. Also attached is a text file which hopefully will act as a guide map through the file.

[NinjaTrader_MichaelM]

Hello roland_nt,

Thank you for sending in the requested files.

We will review them and update you with our findings.

Thank you for your continued patience in the meantime,

[NinjaTrader_MichaelM]

Hello roland_nt,

I have gone through your code and seen that atmStrategyIdn[lim] was not populated with a value in the chaseOrderStopTarget method causing the errors. Why that value was not available could be for a variety of reasons but based on what you have said it appears that NinjaTrader was not alerted to the order rejection by IB. Unfortunately I am not aware of any way to code around this happening.

If your client were to turn on detailed logging in Traders Workstation and the issue happened again, we would have more information to narrow down what actually happened in the NinjaTrader log.

For further investigation, I would need to look at the original log files which you could email to platformsupport[AT]ninjatrader[DOT]com with the subject line "ATTN: Michael M http://www.ninjatrader.com/support/forum/showthread.php?t=78135"

Thank you in advance.