Always use limitOrder with "liveUntilCancelled" in slow markets ... ?

[DarthTraderson]

Hi,

I have seen weird case when using limit-orders which are only active for the current bar.

When trading in markets which are very slow and doesn't produce many ticks per minute (e.g. overnight 6E germany time) then I use the following order:

targetOrder = ExitShortLimit (0, false, quantity, targetLevel, "Profit-Target", entryOrder.Name);

The second parameter indicates that this order is only active for the current bar, so at the next bar I have to reset the order.

Now I'm working on M1-Timeframe and sometimes after midnight I see in my log that the limit order is cancelled ... after testing with the replay connection I can reproduce the following ...

00:26 - Orders placed, all seems to be ok.
00:27 - Orders placed again, because I need to set it for everey bar
00:28 - ...
00:29 - ...
00:30 - Order: Type = Limit State = Cancelled

There is no new bar on 00:30 because there are limited ticks in the market, so the next bar opens at 00:30 plus 10 seconds, and right before the 10 seconds the Limit-Order is cancelled.

So I need some confirmation about this. Is my assumption correct that in a slow market the orders are cancelled on a new bar, when there are no new ticks for the new bar ... after 10 seconds of inactivity?

So for this case I need to use always "liveUntilCancelled" configuration of orders?

Thx,
DT

[NinjaTrader_Bertrand]

DT, there's no set time when the order will expire in this case, when you have a slow market like this it will be cancelled when the next open tick for a new bar arrives (with liveUntilCancelled to false).

[DarthTraderson]

Ok, thx for the answer ... but the posted flow is exactly that what happens in my case. Only with liveUntilCancelled = true the orders are not cancelled. It is very easy to reproduce ... maybe it is a bug in NT ... don't know ... but the workaroung works for me ...

Thx,
DT

[NinjaTrader_JoshP]

Please use TraceOrders = true to see the exact reason it was cancelled.