ATM Stragegy's OCO Cancelled Due To 'Exceeds instruments maximum position quantity'

[zermanbnt]

Hi, I'm confused about why the 'maximum position quantity' or 'excess intraday margin' affects the submission of an OCO order (stop & target) of equal quantity to a successfully submitted primary order when the OCO is submitted by an ATM strategy, but not when the OCO is submitted manually.

Since the stop & target of the OCO order would simply close the primary order, why would the ATM strategy see the OCO as having any effect on maximum position quantity or excess intraday margin when attempting to submit it? But that is exactly what happens..., immediately after the primary order is filled and the ATM strategy attempts to submit the OCO, the OCO is cancelled with an error stating, 'Order xxxxx can't be submitted, Exceeds instruments maximum position quantity'. Note that the primary order remains in force after the error, but without any stop or target order to close it.

However, after the OCO gets cancelled with the aforementioned error, I can set the ATM strategy to 'None', and manually submit the OCO without any problem. As such, this appears to be a bug with the way the ATM strategy works, specifically failing to recognize that the execution of the OCO would NOT increase the position quantity or require any additional excess margin. If my understanding of what is happening, or my expectation for what should be happening is incorrect, please help me out and shed some light on this.

Thanks,
-Z

[NinjaTrader_Jason]

Hello zermanbnt,

Can you please send me your log and trace files from within the NinjaTrader platform so that I may investigate the issue.

You can do this by going to the Control Center-> Help-> Email Support

Ensuring 'Log and Trace Files' is checked will include these files. This is checked by default.

Reference the following ticket number in the body of the email: Att Jason H, 03694099


Please include the order ID of the entry order in your email. You can find order ID in the Control Center-->Orders-tab, ID column. If the order is not listed there anymore, you can check it in the Trade Performance window which you can open at Control Center-->New-->Trade Performance. Please set the Display field to Orders and click Generate to view all orders that happened between the start and end dates. Then check the ID column for the order ID.

If you can't find the order ID, please include for what instrument the order was submitted, at what price and at what day/time.

[zermanbnt]

Sorry Jason, I didn't see the Ref# above until after the log & trace had already been sent, but hopefully you received them.

If not, then I can resend. Otherwise, you should see 4 testing scenarios in the log with the aforementioned 'Exceeds...' error. Looking back through my log file dated 02/06/2023, the rejected Order IDs with this error are listed below:

c7c1802efb8b4b24a92238cb11da89c3

1b01b19886994d9d97fc0d55b21c9a95

2fccf9143c7547c8973dfe696e06f955

9a3ffa67af69458a89475dfe4eaca91a

Hope that helps.
Thanks again.