Bug in TIF Day ExitLongStop Orders

[heech]

Hi there,

I don't have the time to put together a sample for this issue either (because I can work around it)... but just like the earlier issue (live stop orders in multi-instrument strategy can't be canceled), I'm positive the bug exists. I'll just throw this out there so NT is aware of it, and hopefully you guys will do some research.

So, here's the background:

- TimeInForce: Day
- Multi-instrument strategy
- EnterLongStop() orders.
- running in back-test (not brave enough to test live, yet)

What I'm finding is that the buy stop order is correctly shown as canceled at 4 PM EST every day (with TraceOrders enabled). However, if you try to EnterLongStop() again the following morning, the call fails... with the error message saying that you've broken your EntryHandling rules (set to UniqueEntries).

This *only* happens in multi-instrument strategy. Identical code running with a single instrument works perfectly. (And my fix is also to explicitly call CancelOrder() explicitly at the end of each day instead of relying on TIFay... the result multi-instrument code also works fine, proving that there was never anything wrong with the actual EnterLongStop call.)

If I have a few days with nothing better to do (maybe over Christmas?), I'll try to put together a sample demonstrating this.

[NinjaTrader_JoshP]

The bug is in relation to TIF=Day and ExitOnClose=false. Not something to do with multi-series strategies.

Current NT6.5 workaround is for you to use TIF=GTC. Thank you for reporting.

[heech]

Josh,

I didn't do too much digging into exact circumstances, don't have time.

But I ran the same code with ExitOnClose=false, TIF=Day with a single instrument (multi-timeframe) and it works fine. So, doesn't sound identical to the issue you described.

[NinjaTrader_JoshP]

heech,

We have already isolated out the issue on our end. It is not dependent on the amount of series running on your strategy.

[NinjaTrader_JoshP]

In fact heech, please ensure you are on NT6.5.1000.8.

11/28/2008 7:51:00 AM Entered internal PlaceOrder() method at 11/28/2008 7:51:00 AM: Action=Buy OrderType=Market Quantity=10 LimitPrice=0 StopPrice=0 SignalName='' FromEntrySignal=''
11/28/2008 7:52:00 AM Entered internal PlaceOrder() method at 11/28/2008 7:52:00 AM: Action=Sell OrderType=Stop Quantity=10 LimitPrice=0 StopPrice=89.50 SignalName='Exit1' FromEntrySignal=''
11/28/2008 11:31:00 AM Cancelled order due to end of session handling: BarsInProgress=0: Order='NT-00001/Sim101' Name='Exit1' State=Working Instrument='AAPL' Action=Sell Limit price=0 Stop price=89.5 Quantity=10 Strategy='SubmitLiveTest' Type=Stop Tif=Day Oco='' Filled=0 Fill price=0 Token='290cc8d19fe14317b706de1f76f92917' Gtd='12/1/2099 12:00:00 AM'
12/1/2008 7:31:00 AM Entered internal PlaceOrder() method at 12/1/2008 7:31:00 AM: Action=Sell OrderType=Stop Quantity=10 LimitPrice=0 StopPrice=89.50 SignalName='Exit2' FromEntrySignal=''

Works just fine in multi-series and single series on 6.5.1000.8.

[heech]

In fact heech, please ensure you are on NT6.5.1000.8.

Woah, I had no idea you released on 1000.8.

Can I sign up to release new version release announcements? Or did my spam filter eat one?

[NinjaTrader_JoshP]

You should automatically receive announcements. There are generally in-product announcements after a new version is released for awhile as well.

[heech]

You should automatically receive announcements. There are generally in-product announcements after a new version is released for awhile as well.

I run Ninjatrader on 4 different computers, and definitely did not receive in-product announcement yesterday or today. Not a big deal, but just FYI.

I'll download newest version after market and verify whether problem is still there.

[NinjaTrader_JoshP]

That is because it has not been out for awhile yet.