Hello,
I'm running a strategy using managed orders, and recently encountered an overfill situation, and i'm not sure what the reason for that.
1. The strategy opens 1 contract (short) and than enters a limit order to close it upon reaching a target price
2. Limit order is executed
3. Overfill event is triggered
I have trade tracing turned on, and it looks like this:
25-Sep-12 09:17:02 Entered internal PlaceOrder() method at 25-Sep-12 09:17:02: BarsInProgress=0 Action=BuyToCover OrderType=Limit Quantity=1 LimitPrice=92.73 StopPrice=0 SignalName='TargetPrice6345_1' FromEntrySignal='PredEntry6329'
25-Sep-12 09:35:46 Cancelled pending exit order, since associated position is closed: Order='38863512/M1198!Dorman!Mirus' Name='TargetPrice6345_1' State=Working Instrument='CL 11-12' Action=BuyToCover Limit price=92.73 Stop price=0 Quantity=1 Strategy='Zodiac1m' Type=Limit Tif=Gtd Oco='' Filled=0 Fill price=0 Token='dd7de6063e724abe9971762cd7552bc7' Gtd='01-Dec-99 00:00:00'
**NT** An over fill was detected on order 'Order='38863512/M1198!Dorman!Mirus' Name='TargetPrice6345_1' State=Filled Instrument='CL 11-12' Action=BuyToCover Limit price=92.73 Stop price=0 Quantity=1 Strategy='Zodiac1m' Type=Limit Tif=Gtd Oco='' Filled=1 Fill price=92.73 Token='dd7de6063e724abe9971762cd7552bc7' Gtd='01-Dec-99 00:00:00'' generated by strategy 'Zodiac1m/5f17236b74d04a3b8b7ed8aa80235fed' : This strategy will be disabled and NinjaTrader will attempt to cancel/close any strategy generated orders and positions. Please check your account orders and positions and take any appropriate action.
25-Sep-12 09:35:00 92.78 6363: 09:35 exec [email protected] TargetPrice6345_1 from PredEntry6329 (this is my debug message in OnExecution())
The only cancellation I see here is the one triggered by NT itself when existing position is closed by the same order which is "overfilled". Does not make any sense.
Please help.
I'm running a strategy using managed orders, and recently encountered an overfill situation, and i'm not sure what the reason for that.
1. The strategy opens 1 contract (short) and than enters a limit order to close it upon reaching a target price
2. Limit order is executed
3. Overfill event is triggered
I have trade tracing turned on, and it looks like this:
25-Sep-12 09:17:02 Entered internal PlaceOrder() method at 25-Sep-12 09:17:02: BarsInProgress=0 Action=BuyToCover OrderType=Limit Quantity=1 LimitPrice=92.73 StopPrice=0 SignalName='TargetPrice6345_1' FromEntrySignal='PredEntry6329'
25-Sep-12 09:35:46 Cancelled pending exit order, since associated position is closed: Order='38863512/M1198!Dorman!Mirus' Name='TargetPrice6345_1' State=Working Instrument='CL 11-12' Action=BuyToCover Limit price=92.73 Stop price=0 Quantity=1 Strategy='Zodiac1m' Type=Limit Tif=Gtd Oco='' Filled=0 Fill price=0 Token='dd7de6063e724abe9971762cd7552bc7' Gtd='01-Dec-99 00:00:00'
**NT** An over fill was detected on order 'Order='38863512/M1198!Dorman!Mirus' Name='TargetPrice6345_1' State=Filled Instrument='CL 11-12' Action=BuyToCover Limit price=92.73 Stop price=0 Quantity=1 Strategy='Zodiac1m' Type=Limit Tif=Gtd Oco='' Filled=1 Fill price=92.73 Token='dd7de6063e724abe9971762cd7552bc7' Gtd='01-Dec-99 00:00:00'' generated by strategy 'Zodiac1m/5f17236b74d04a3b8b7ed8aa80235fed' : This strategy will be disabled and NinjaTrader will attempt to cancel/close any strategy generated orders and positions. Please check your account orders and positions and take any appropriate action.
25-Sep-12 09:35:00 92.78 6363: 09:35 exec [email protected] TargetPrice6345_1 from PredEntry6329 (this is my debug message in OnExecution())
The only cancellation I see here is the one triggered by NT itself when existing position is closed by the same order which is "overfilled". Does not make any sense.
Please help.
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