Market too quick for stoploss order

[dadarara]

What are my options to deal with this situation?
I am using a managed approach for now, and have the system issue a stop order immediately following the entry.
But sometimes, the market activity is so rapid that I get the error that the price is already above the stop level I was trying to set.

I am wondering what path I should take to deal with this ?
I do know about catching this in the OnOrderUpdate with OrderState.Rejected.
I am asking what is the better practice in handling it? I dont want to exit the position right away.
so do I resubmit ? what other logic can I use ?

[NinjaTrader_AlanP]

Hello dadarara,

Thank you for your note.

You could handle the order rejection by submitting exit long upon a rejected stop.

Attached is a sample which demonstrates this.

Please let us know if you need further assistance.