SetTrailStop aborts strategy

[Jonas]

Hi !
I have found this problem in one of my strategies. I suppose that the problem is in the trail stop internals (?), since the error is in the sell order. Here attached a false market replay, and the simplified strategy that generates the error. You must set the instrument YM 03-11, and volume chart to 5.

        /// <summary>
        /// This method is used to configure the strategy and is called once before any strategy method is called.
        /// </summary>
        protected override void Initialize()
        {
            SetTrailStop("", CalculationMode.Ticks, 10, false);
            BarsRequired = 1;

            CalculateOnBarClose = true;
        }

        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
        {
            Print (CurrentBar.ToString() + "-" + Close[0].ToString());
            // Condition set 1
            if (CurrentBar == 16)
            {
                EnterLong(DefaultQuantity, "");
            }
        }

No problem, except that the strategy is stopped. Fortunately the position is closed.

Thanks !

[NinjaTrader_JoshP]

Hi Jonas,

What settings should I be running on? What type of chart? What interval?

[Jonas]

Default settings. YM 03-11, and volume chart to 5.

Thanks

[NinjaTrader_JoshP]

Jonas,

I am not getting the error you are getting. Instead I get this one which is expected: "Sell stop or sell stop limit orders cannot be placed above the market. Affected Order : Sell 1 Stop @ 12731".

[Jonas]

Yes, in my case the order gets this error also (OK), but the strategy closes itself, this is the problem. I don't send the sell (automatic since I set the Trail Stop in the Initialize method).
Your strategy remains open? If so I'll look to my settings ...

Thanks

[NinjaTrader_JoshP]

No, NT closes out the strategy if any errors like this occurs. This is expected behavior.

[Jonas]

Oh. If this is expected behavior, I must work overriding the default methods. I have some strategies that automatically set the stop with the SetTrailStop method. Shame !

Thanks

[NinjaTrader_JoshP]

This is expected behavior with any order placement you use. If the order is invalid and is rejected NT will stop the strategy. Reason for this is because from an automated standpoint NT has no idea how you would like it to handle. Does it resubmit? Does it leave it unprotected and continue running? First one, price is still invalid. Second one, is extremely dangerous. As such, NT just stops the strategy after closing all positions to minimize damage.

[Jonas]

Yes, it's OK Josh, but I let to NT to place the stop since I have SetTrailStop in the initialize. I don't say the price, I say only the displacement ticks from the fill price. From that moment I understood that it was not my problem: the software will control the exit. I know that it is limited, and if the price is bellow the stop, selling is always OK, because it was my order, and this error (bellow price) maybe would be controlled from the SetTrailStop logic (I don't have created the sell order). When the strategy closes the position is also closed, this is OK, and a security measure. But the strategy closes and the strategy was OK.
So I think that the best, as happens in the SetTrailStop case so can also happen with my orders, it is best to handle all my order events for myself.

Thanks again !