Order Rejected

[reynoldsn]

My order is being rejected during market replay I presume because the Market moving so quick.
So then NT disables and stops running the strategy. I guess what I would like to happen is if this scenario occurs, I would simply like to close the position. How can I accomplish this? What is your advice for this scenario?

[bltdavid]

How can I accomplish this? What is your advice for this scenario?

See this:

http://ninjatrader.com/support/helpGuides/nt7/?realtimeerrorhandling.htm

 RealtimeErrorHandling = RealtimeErrorHandling.TakeNoAction;

Then check for OrderState.Rejected in OnOrderUpdate(), and close position if found.

Unfortunately, the popup message box from NinjaTrader cannot be disabled.

[sledge]

Your code running in market replay at 1x or 500x follows the same order of events and should work without issue.

So does it happen in 1x also?

Post some complete sample code that reproduces the problem and someone might be able to offer a fix/suggestion to your issue. There isn't enough to go on based on your post.

[reynoldsn]

OK, I would like to implement your suggestion using OnOrderUpdate. Is there a more complete example I can see?

[reynoldsn]

UPDATE:

Here is my abbreviated, pertinent code. Does it look like a correct implementation as far as handling order rejection?
My concern is that now I am using:

RealtimeErrorHandling = RealtimeErrorHandling.TakeNoAction;

Are there other order problems I now need to manually check?
Thank you!

private IOrder stopLossOrder = null;

protected override void Initialize()
{
	RealtimeErrorHandling = RealtimeErrorHandling.TakeNoAction;
	
	SetProfitTarget(sENTRY1L, CalculationMode.Ticks, _profitTarget);
	SetProfitTarget(sENTRY1S, CalculationMode.Ticks, _profitTarget);
	SetStopLoss(CalculationMode.Ticks, _stopLoss);
	
	//Init order objects
    iOrderL1 = null;
    iOrderS1 = null;	

	EntriesPerDirection = 100;
	EntryHandling = EntryHandling.AllEntries;

	CalculateOnBarClose = true;
}

protected override void OnBarUpdate() {
if (_takeTrade) {
	EnterShort(1, sENTRY1S);
	if (stopLossOrder == null) 
		stopLossOrder = ExitShortStop(Position.AvgPrice + _stopLoss * TickSize); 
}
}

protected override void OnOrderUpdate(IOrder order) 
{ 
	if (stopLossOrder != null && stopLossOrder == order) 
	{
		// Rejection handling 
		if (order.OrderState == OrderState.Rejected) 
		{
			// Stop loss order was rejected !!!! 
			// Do something about it here 
			Print("Order Rejected at: " + Time[0]);
		} 
	}
}

[bltdavid]

Looks like a good start.

Right after you detect the OrderRejected, say, after your Print,
exit your position and set your stopLossOrder to null.

I think RealTimeErrorHandling documentation says this variable
only deals with order rejected errors.

Overfill processing, for example, is controlled by a different variable,
called IgnoreOverFill.

http://ninjatrader.com/support/helpGuides/nt7/?ignoreoverfill.htm