Unexpected error placing stop

[molecool]

This strategy has been tested for the past few months and this new error is a bit surprising as I have not modified the entry code:



Here is the log of my entry and the stop:

###### Short Entry at: 1.30675 #########
Local time: 7/15/2013 11:07:00 PM
New York: 7/15/2013 11:07:00 PM Eastern Daylight Time
New York session is inactive.
London: 7/16/2013 4:07:00 AM GMT Daylight Time
London session is inactive.
Tokyo: 7/16/2013 12:07:00 PM Tokyo Standard Time
Tokyo session is active.
Instrument: $EURUSD Default
Close: 1.30675
Theoretical Entry Price: 1.30675
*Current Bid*: 1.30675
Current Ask: 1.30675
B/A Spread: 0 ticks.
Short entry order has been submitted: Order='NT-00025/Sim101' Name='Short Position' State=PendingSubmit Instrument='$EURUSD' Action=SellShort Limit price=0 Stop price=0 Quantity=4,355,167 Strategy='CrazyIvan' Type=Market Tif=Gtc Oco='' Filled=0 Fill price=0 Token='c51225e7baed4038bc61c065eb2d606f' Gtd='12/1/2099 12:00:00 AM'
Resetting triggers...
##################################
Order: SellShort was filled
EXECUTED at BarNumberOfFill (adjusted): 190
CurrentBars: 189
Time on 0 series: 7/15/2013 11:00:00 PM
Appending order update to message buffer: SIGNALS: IP-S.

TRADE: SellShort at 1.30675.

Global buffer in onOrderUpdate(): SIGNALS: IP-S.

TRADE: SellShort at 1.30675.

Order has been filled - adding stop.
7/15/2013 11:07:00 PM Entered internal PlaceOrder() method at 7/15/2013 11:07:00 PM: BarsInProgress=1 Action=BuyToCover OrderType=Stop Quantity=4,355,167 LimitPrice=0 StopPrice=1.3075 SignalName='Stop loss' FromEntrySignal='Short Position'
###### Short Stop: 1.3075 #########
Local time: 7/15/2013 11:07:00 PM
New York: 7/15/2013 11:07:00 PM Eastern Daylight Time
New York session is inactive.
London: 7/16/2013 4:07:00 AM GMT Daylight Time
London session is inactive.
Tokyo: 7/16/2013 12:07:00 PM Tokyo Standard Time
Tokyo session is active.
Instrument: $EURUSD Default
Close: 1.30675
Average Fill Price: 1.30675
Theoretical Entry Price: 1.30675
ISL in full ticks: 7.5
Real stop loss in handles: 0.00075
Setting short stop to 1.3075
Execution: Execution='NT-00018' Instrument='$EURUSD' Account='Sim101' Name='Short Position' Exchange=Default Price=1.30675 Quantity=4,355,167 Market position=Short Commission=0 Order='NT-00025' Time='7/15/2013 11:07:00 PM' Multiplier=1E-05
Short stop: 1.3075
Stop order: Order='NT-00026/Sim101' Name='Stop loss' State=PendingSubmit Instrument='$EURUSD' Action=BuyToCover Limit price=0 Stop price=1.3075 Quantity=4,355,167 Strategy='CrazyIvan' Type=Stop Tif=Gtc Oco='' Filled=0 Fill price=0 Token='110fe1b1ffc6427da96f8e8acbac425d' Gtd='12/1/2099 12:00:00 AM'
Stop order Action: BuyToCover
Stop order Price: 1.3075
Current Bid: 1.30675
*Current Ask*: 1.30675
B/A Spread: 0 ticks.
##################################
Buffer inside onExecution:

STOP: BuyToCover at 1.3075.

RISK: 7.5 pips.

Stop has been set

BTW, this happend when launching the strategy, not during live tape - the end date was set to 7/15 (i.e. yesterday). It seems to be doing the right thing and the label I'm painting in the lower right corner of my chart claims that the market position is 'short'.



Now, when reloading the chart with today's end date (7/16) no error pops up. A bit confusing - any idea what may be going on?

[NinjaTrader_Matthew]

Hello Molecool,

What are your strategy start up options? Are you immediately submit or wait to submit live?

Were you attempted to sync to your account position, or was this set to false?

[molecool]

Hello Molecool,

What are your strategy start up options? Are you immediately submit or wait to submit live?

Were you attempted to sync to your account position, or was this set to false?

Good question - it was set to live as I need the transition candle to be considered live when I turn it on. But recall that this was on purely historical tape (i.e. yesterday).

Is there any way to avoid this?

[NinjaTrader_Matthew]

If you had a historical position that is then being submitted against the real-time stream, it'd be expected to get a rejection should the stop be submit at what would be considered an invalid price at that time.

How are you checking if it is live or historical? The prints you have show the bid/ask spread at 0, which would indicate that it was loaded at historical data that time.

I'm also not sure what you mean about the transition candle to be considered live when you turn it on. Can you please clarify this?

[molecool]

If you had a historical position that is then being submitted against the real-time stream, it'd be expected to get a rejection should the stop be submit at what would be considered an invalid price at that time.

How are you checking if it is live or historical? The prints you have show the bid/ask spread at 0, which would indicate that it was loaded at historical data that time.

I'm also not sure what you mean about the transition candle to be considered live when you turn it on. Can you please clarify this?

No, it was definitely historical. I just mentioned the transition candle as being the reason for me setting it to submit immediately. Hope this makes sense.

[NinjaTrader_Matthew]

I see no reason you would get a rejection on a historical order in that manner.

Can you send in your log and trace files from the time you started this strategy today? Thanks.

[molecool]

I see no reason you would get a rejection on a historical order in that manner.

Can you send in your log and trace files from the time you started this strategy today? Thanks.

How about this - let's see if it happens again in the next few days and I'll be in touch with you if it does? Hopefully it just was some quirky data issue.

[NinjaTrader_Matthew]

Sounds good, mole.