Stop cancelled incorrectly on multiple entires in replay trading

[simulatorboy]

Hi,

I am trying to do two entries at the same price with separate targets but the same stop value. My code seems to work find in back testing but suddenly misbehaves in replay. When the stop is hit, only the one stop fires and the other is canceled. So both targets and both stops are canceled instead of just one and you left with an open position without any stops or targets.

See the following trace information

Date: 10/19/2009 10:00:00 AM Entered Short Trade B(DttwTestSEb) at 1084.75
Date: 10/19/2009 10:00:00 AM Stop 1089.75 Target 1082.75
10/19/2009 10:03:24 AM Entered internal PlaceOrder() method at 10/19/2009 10:03:24 AM: Action=BuyToCover OrderType=Stop Quantity=7 LimitPrice=0 StopPrice=1089.75 SignalName='DttwStopB' FromEntrySignal='DttwTestSEb'
10/19/2009 10:03:24 AM Amended matching order: Action=BuyToCover OrderType=Stop Quantity=7 LimitPrice=0 StopPrice=1089.75 SignalName=DttwStopB' FromEntrySignal='DttwTestSEb'
10/19/2009 10:03:24 AM Entered internal PlaceOrder() method at 10/19/2009 10:03:24 AM: Action=BuyToCover OrderType=Limit Quantity=7 LimitPrice=1082.75 StopPrice=0 SignalName='DttwTargetB' FromEntrySignal='DttwTestSEb'
10/19/2009 10:03:24 AM Amended matching order: Action=BuyToCover OrderType=Limit Quantity=7 LimitPrice=1082.75 StopPrice=0 SignalName=DttwTargetB' FromEntrySignal='DttwTestSEb'
Date: 10/19/2009 10:00:00 AM Entered Short Trade A(DttwTestSEa) at 1084.75
Date: 10/19/2009 10:00:00 AM Stop 1089.75 Target 1080.75
10/19/2009 10:03:24 AM Entered internal PlaceOrder() method at 10/19/2009 10:03:24 AM: Action=BuyToCover OrderType=Stop Quantity=10 LimitPrice=0 StopPrice=1089.75 SignalName='DttwStop' FromEntrySignal='DttwTestSEa'
10/19/2009 10:03:24 AM Amended matching order: Action=BuyToCover OrderType=Stop Quantity=10 LimitPrice=0 StopPrice=1089.75 SignalName=DttwStop' FromEntrySignal='DttwTestSEa'
10/19/2009 10:03:24 AM Entered internal PlaceOrder() method at 10/19/2009 10:03:24 AM: Action=BuyToCover OrderType=Limit Quantity=10 LimitPrice=1080.75 StopPrice=0 SignalName='DttwTarget' FromEntrySignal='DttwTestSEa'
10/19/2009 10:03:24 AM Amended matching order: Action=BuyToCover OrderType=Limit Quantity=10 LimitPrice=1080.75 StopPrice=0 SignalName=DttwTarget' FromEntrySignal='DttwTestSEa'
Date: 10/19/2009 10:00:00 AM Entered Short Trade B(DttwTestSEb) at 1084.75
Date: 10/19/2009 10:00:00 AM Stop 1089.75 Target 1082.75
10/19/2009 10:03:24 AM Entered internal PlaceOrder() method at 10/19/2009 10:03:24 AM: Action=BuyToCover OrderType=Stop Quantity=10 LimitPrice=0 StopPrice=1089.75 SignalName='DttwStopB' FromEntrySignal='DttwTestSEb'
10/19/2009 10:03:24 AM Amended matching order: Action=BuyToCover OrderType=Stop Quantity=10 LimitPrice=0 StopPrice=1089.75 SignalName=DttwStopB' FromEntrySignal='DttwTestSEb'
10/19/2009 10:03:24 AM Entered internal PlaceOrder() method at 10/19/2009 10:03:24 AM: Action=BuyToCover OrderType=Limit Quantity=10 LimitPrice=1082.75 StopPrice=0 SignalName='DttwTargetB' FromEntrySignal='DttwTestSEb'
10/19/2009 10:03:24 AM Amended matching order: Action=BuyToCover OrderType=Limit Quantity=10 LimitPrice=1082.75 StopPrice=0 SignalName=DttwTargetB' FromEntrySignal='DttwTestSEb'
10/19/2009 10:30:43 AM Cancelled pending exit order, since associated position is closed: Order='9466b7d08322440fbea0fe3d7716bd15/Replay101' Name='DttwTarget' State=Working Instrument='ES 12-09' Action=BuyToCover Limit price=1080.75 Stop price=0 Quantity=10 Strategy='DttwTest' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='9466b7d08322440fbea0fe3d7716bd15' Gtd='12/1/2099 12:00:00 AM'
10/19/2009 10:30:43 AM Cancelled pending exit order, since associated position is closed: Order='77cb060d0c7f42ef8d39ebbc473f2672/Replay101' Name='DttwTargetB' State=Working Instrument='ES 12-09' Action=BuyToCover Limit price=1082.75 Stop price=0 Quantity=10 Strategy='DttwTest' Type=Limit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='77cb060d0c7f42ef8d39ebbc473f2672' Gtd='12/1/2099 12:00:00 AM'
10/19/2009 10:30:43 AM Cancelled pending exit order, since associated position is closed: Order='7e0391558b3a44a2b5f3f1545cce6a20/Replay101' Name='DttwStopB' State=Working Instrument='ES 12-09' Action=BuyToCover Limit price=0 Stop price=1089.75 Quantity=10 Strategy='DttwTest' Type=Stop Tif=Gtc Oco='' Filled=0 Fill price=0 Token='7e0391558b3a44a2b5f3f1545cce6a20' Gtd='12/1/2099 12:00:00 AM'

My Entry Code is

entryOrderA = EnterShortLimit(NoContracts/2, shortEntryPrice, "DttwTestSEa");
 entryOrderB = EnterShortLimit(NoContracts/2, shortEntryPrice, "DttwTestSEb");

Stops are targets are set in OnExecution()

// Place Stops and Targets for Order A when Short
            
            if (entryOrderA != null && entryOrderA.Token == execution.Order.Token  && Position.MarketPosition == MarketPosition.Short)
            {
                if (execution.Order.OrderState == OrderState.Filled || execution.Order.OrderState == OrderState.PartFilled || (execution.Order.OrderState == OrderState.Cancelled && execution.Order.Filled > 0))
                {
                    Print ("Date: "+Time[0]+" Entered Short Trade A("+execution.Name+") at "+execution.Order.AvgFillPrice);
                    Print ("Date: "+Time[0]+" Stop "+(execution.Order.AvgFillPrice + stopTicks * TickSize)+" Target "+(execution.Order.AvgFillPrice - FirstProfitTicks * TickSize));
                    
                    stopOrderA     = ExitShortStop(0, true, execution.Order.Filled, execution.Order.AvgFillPrice + stopTicks * TickSize, "DttwStop", "DttwTestSEa");
                    targetOrderA = ExitShortLimit(0, true, execution.Order.Filled, execution.Order.AvgFillPrice - FirstProfitTicks * TickSize, "DttwTarget", "DttwTestSEa");
                    
                    // Resets the entryOrder object to null after the order has been filled or partially filled
                    if (execution.Order.OrderState != OrderState.PartFilled)
                    {
                        entryOrderA     = null;
                    }
                }
            }

// Place Stops and Targets for Order B when Short
            
            if (entryOrderB != null && entryOrderB.Token == execution.Order.Token  && Position.MarketPosition == MarketPosition.Short)
            {
                if (execution.Order.OrderState == OrderState.Filled || execution.Order.OrderState == OrderState.PartFilled || (execution.Order.OrderState == OrderState.Cancelled && execution.Order.Filled > 0))
                {
                    Print ("Date: "+Time[0]+" Entered Short Trade B("+execution.Name+") at "+execution.Order.AvgFillPrice);
                    Print ("Date: "+Time[0]+" Stop "+(execution.Order.AvgFillPrice + stopTicks * TickSize)+" Target "+(execution.Order.AvgFillPrice - SecondProfitTicks * TickSize));
                    
                    stopOrderB     = ExitShortStop(0, true, execution.Order.Filled, execution.Order.AvgFillPrice + stopTicks * TickSize, "DttwStopB", "DttwTestSEb");
                    targetOrderB = ExitShortLimit(0, true, execution.Order.Filled, execution.Order.AvgFillPrice - SecondProfitTicks * TickSize, "DttwTargetB", "DttwTestSEb");
                    
                    // Resets the entryOrder object to null after the order has been filled or partially filled
                    if (execution.Order.OrderState != OrderState.PartFilled)
                    {
                        entryOrderB     = null;
                    }
                }
            }

I do have EntryHandling set in Initialise()

EntriesPerDirection = 1;
EntryHandling = EntryHandling.UniqueEntries;

Any idea why I am seeing this behavior?

[NinjaTrader_JoshP]

What are you using for your stop&target handling?

[simulatorboy]

Its in the second code snippet - see ExitShortStop() and ExitShortLimit(). These are called in OnExecution() when an entry order is detected.

This code is derived from the SampleOnOrderUpdate strategy found on the website.

[simulatorboy]

I also note this seems to be similar to the issue described in

http://www.ninjatrader-support2.com/vb/showthread.php?t=22758

[NinjaTrader_JoshP]

simulatorboy,

You have likely run into known bugs in 6.5 in terms of scaling out then. They should be resolved in 7.

[simulatorboy]

Are there known workarounds to these issues or does scaling out simply not work in 6.5?

[NinjaTrader_JoshP]

simulatorboy,

It looks like you are trying to do a two for two scale-in/out which unfortunately has no known workarounds.