NT9+TT/velocity: Rejected Order

[gbulle]

Dear Sirs,

my LIVE (velocity TT) strategy has worked fine yesterday and tomorrow morning;
now I see a reject Order message:

Native error='Order rejected: Broker or exchange option'

The reject message appears in this situation:

The price is 136.50; I am SHORT 136.49; as soon as I put a
Buy Limit Order at 136.39 NT reject the order

If I add a BUY LIMIT ORDER at 136.39 manually using NT everything is fine.

Can you please specify better what is the error "'Order rejected: Broker or exchange option'"? (Is not a margin problem: I am trading 1 Bund and the intraday margin is 500 Eur)

Thanks
GB

[NinjaTrader_Bertrand]

GB, I would need to take a look at the logs and then if needed talk to Velocity / TT - could you please email me via Help > Mail to Support?

Thanks,

[gbulle]

I'm sorry....
Another people and friend is managing the issue )(ticket 623586).

Thanks
GB

[NinjaTrader_Bertrand]

I'm sorry....
Another people and friend is managing the issue )(ticket 623586).

Thanks
GB

No worries, I already replied to him - I'm checking with Velocity into matters and update you when I hear back.

[gbulle]

Hello Bertrand,

I understood the issue. There is a different behaviour between SIM101 and TT;
having tested the strategy on SIM101 I was confident to have the same behaviour using TT. Not true!!


I'm using NT9 on Windows 7 PC; UMNANAGED Logic

Scenario 1 OK: working fine in SIM101 and TT/Velocity

I'm LONG qty=1:
I send a SellShort Limit qty=2 to close the LONG and to reverse (final result: SHORT 1)

Scenario 2 Wrong: working fine in SIM101 and NOT Working TT/Velocity (Sell order rejected)

I'm LONG 1:
I send a Sell Limit to close the LONG (rejected by TT)
I send a SellShort Limit 1 to go SHORT 1

Scenario 3 Wrong: working fine in SIM101 and NOT Working TT/Velocity (SellShort order rejected)

I'm LONG 1reversed sequence of scenario 2)
I send a SellShort Limit 1 to go SHORT 1 (rejected by TT)
I send a Sell Limit to close the LONG

Thanks
GB

[NinjaTrader_Brett]

Hello,

Thanks for the note.

I will have Bertrand check on the status of this for you tomorrow morning when he gets back in the office as he has the log and trace files.

The key here is finding out why the order is getting rejected.

-Brett

[gbulle]

Hello,

just one more information.

I am testing the automated strategy using demo simulator of Velocity/TT
Using this environment I do not see rejected orders.
So I can suppose the "rejected order" issue exists only on LIVE environment.
Difficult to debug......

Regards
GB

[NinjaTrader_Joydeep]

Hello gbulle,
Thanks for writing in and I am replying for Bertrand.

You can simulate order rejected to certain extent. For example if you reset your sim account (Tools>Options>Simulator tab and click on Restet button) and set the initial cash (from Tools>Option>Simulator tab) to a low value and submit an order to buy say 10000 contracts, then the order will get rejected due to insufficient balance.

In real life an order can be rejected for many more reasons and all of them might not be simulated.

Please let me know if I can assist you any further.

[gbulle]

Hello,

a little step forward:

reading the TT Fix Adapter Manul and analysing the reject FIX Message using log4Fix
free tool I see the order is rejected while changing the order price and the cancel/reject reason is ""Broker Option".

Reason for rejecting the cancel request::
0:Too Late to Cancel
1:Unknown Order
2:Broker Option
3:Action Already Pending
4:Too Early to Cancel (Used only by the TT BrokerTec Gateway)
100:Timed Out

"Broker option" says nothing;

Can you please help me to understand "Broker option" reject reason?


Thanks
GB

[NinjaTrader_Bertrand]

Hi GB, as I mentioned in my direct email to you and your client Velocity has requested to be contacted via phone directly when you experience the order rejection on the live account from them - they believe this would be the most efficient way to analyze and resolve. Therefore I would ask that could please follow up with their tradedesk on this rejection.

Thanks,

[gbulle]

Hello,

Substantially, until Velocity does not upgrade to FIX 7.8.0, EUREX reject an order if the order does not change anything.

Regards
GB

The official TT answer:

FIX Client sent a Cancel/Replace but did not change anything on the order. The TT FIX Adapter sends the Cancel/Replace to the Eurex Gateway, it gets Acknowledged at the Exchange and the notification comes back to the Eurex Gateway. When the Eurex Gateway sends the Cancel/Replace ACK to the TT FIX Adapter, the TT FIX Adapter sends a Reject even though the Cancel/Replace worked.


16.03.2012 17:27:13.144 | 1180 | INFO | Y38-TT_ORDER/G | 8=FIX.4.2 9=231 35=G 34=1034 49=Y38 52=20120316-17:27:21.297 56=TT_ORDER 1=5680816240 11=36d7c04f-1676-4456-9c17-7a4aae09832f 37=020PJ5022 38=1 40=2 44=135.5 54=1 55=FGBL 59=0 60=20120316-17:27:12 167=FUT 200=201206 207=Eurex 432=20991130 11028=Y 10=021

16.03.2012 17:27:13.145 | 1180 | INFO | Eurex-A | RouteTTOrder(020PJ5022 a:C oa:C s:8202 srs:FGBL062012 oq:1 fq:0 wq:1 cq:0 eq:0 iq:1 lp:13550 om:0 or:- of:0 t:TTORDFA Y38 Y38 su:- un:Y38 eo:03EAGDG8C on:3EAGDG8C oon:3EAGDG8C) returned 32746 after 0.3199ms

16.03.2012 17:27:13.245 | 1180 | INFO | Eurex-A | OS(020PJ5022 xt:18:27:13.130) rtt=100.61

16.03.2012 17:27:13.245 | 1180 | INFO | Y38-TT_ORDER/9 | S | 8=FIX.4.2 9=00235 35=9 49=TT_ORDER 56=Y38 57=NONE 50=NONE 34=1039 52=20120316-17:27:13.245 1=5680816240 11=36d7c04f-1676-4456-9c17-7a4aae09832f 37=020PJ5022 41=81453af2-5848-45ca-8d7a-937e571fc026 198=03EAGDG8C 102=2 434=2 39=5 60=20120316-17:27:13.245 10=009


FIX Adapters version 7.8.0 and higher will send 150=5 and 39=5 in this situation rather than a reject (35=9). If the exchange truly rejects a Cancel/Replace request, the TT FIX Adapter will send 35=9 and the reject reason in tag 58.

The current workaround, until Velocity upgrades all FIX Adapters to 7.8.0, will be to avoid sending a Cancel/Replace which does not contain any changes.

[NinjaTrader_Bertrand]

Thanks for updating us here GB with the findings, highly appreciated.