Renegade and/or missing orders

[Zigman]

Hello everyone,

I have been testing a several strategies on a real time simulated (CQG) data feed and there are trades showing up on the chart that do not register on the "Executions" or "Trades" tab (!?!)

The strategies also quit for no good reason - CQG data feed is very solid.
I have attached several screen captures to illustrate.

Please let me know what you think might be the cause.

[NinjaTrader_Joydeep]

Hello Zigman,
Realtime trades are registered in the Execution tab in Control Center. You are watching the Trades and Execution tab of the Strategy Analyzer.

Can you confirm whether the trades are available in the Executions tab (if the trades are done today) in Control Center.

I look forward to assisting you further.

[Zigman]

Problems there too:

-There is a Single order to sell short that shows us as "CANCELLED" (and the built-in order management did not enter a SELL order (to close the previous long).

The net result is that the strategy ended up being long an extra contract; this is confirmed by the fact that the market position is listed as "long" from 3:13PM onwards

I have entries per direction set to "1" so this should not have been possible.

(!!!)

The whole point of doing sim real time is to see the fills happen in slow motion and to review overnight trades in the AM. So the info in the Trades and Executions tabs of a "Real time performance report" is CRITICAL and must line up with the trades on the chart.

see additional screen captures

[NinjaTrader_Joydeep]

Hello Zigman,
If an order is rejected (for what ever reason) the internal order handling rules closes the existing position of the strategy and disables the strategy.

A limit order if not filled on the same bar, will be cancelled unless explicitly told not to do so.

In your straegy please use the below overload and explicitly set liveUntilCancelled to true to make sure the orders do not get cancelled.

EnterShortLimit(int barsInProgressIndex, bool liveUntilCancelled, int quantity, double limitPrice, string signalName)

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?entershortlimit.htm

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

[Zigman]

Hi Joydeep,

Unfortunately, there is no such simple solution here.

The screen capture indicates that the order was CANCELLED not "rejected". How/why was it cancelled>?

Furthermore, this particular order is the ONLY order that did not fill - an exceedingly unlikely event unless I was using "liveuntilcancelled=true" which, of course, I am:

EnterLongLimit(0, true, 1, Low[0] - betterentry * TickSize, "long limit entry");

This MAIN issue here that the chart (4 range 6E) on which I was running the strategy in real time sim mode shows TWO FILLs at 1.2506 (one for the Short entry and one to Close the existing long) and NEITHER of these two trades registered anywhere else in Ninjatrader.

EVEN WORSE - the strategy DID NOT shut down upon this event
(I would have been much happier to see it close all open positions and shut down rather than to have it continue along as if everything was OK.)

As a result, the next trade went LONG AGAIN at 1.2501
(i.e. entered LONG again for a total of 2 contracts LONG)

This should not have been possible since I had "entries per direction" set to 1.

Strange huh >??

[NinjaTrader_Joydeep]

Hello Zigman,
It is difficult to say anything only looking at a screenshot. Please append TraceOrders in the Initialize section of your strategy (make sure to open the Output windrow from Tools>Output window) to print out the order status.

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?traceorders.htm

For more debugging tips please refer to this posts http://www.ninjatrader.com/support/f...ead.php?t=3418

[Zigman]

OK - I will try to figure out what happened by running real time SIM again with trace orders turned on and wait to see the results...