Error='Order rejected' Native error='Position limit...'

[Shansen]

NT Team,

An automated Strategy experienced a position limit error and eventually an unhandled exception.

Reviewing forum post "are there futures contract limits?" (https://ninjatrader.com/support/foru...ontract-limits), I confirm
- No Risk Template is applied to a Simulation account.
- Maximum position size does not feature on the NT Futures contract details (https://ninjatrader.com/PDF/ninjatra...ct_details.pdf).
- I will contact NTBrokerage for futher information. So far, I am unable to discern any information that helps with this problem (https://ninjatrader.com/Margins-Position-Management)

Please advise how the original position limit error occurred.
- At 4:11, 4 x 'HG 07-20' contracts were bought at Market.
- OnExecution, a stoploss, Stop Market, order was submitted.
- At 4:21, the stop was moved up
- At 4:27, the stop was moved up
- At 4:35, the stop move was rejected "Position limit for the contract F.US.CPE.N20 is 10, worst case position is 12"

Currently, the Strategy RealtimeErrorHandling = RealtimeErrorHandling.StopCancelCloseIgnoreRejects (http://ninjatrader.com/support/helpG...orhandling.htm)

protected override void OnOrderUpdate(Cbi.Order order, double limitPrice, double stopPrice, int quantity, int filled,
  double averageFillPrice, Cbi.OrderState orderState, DateTime time, Cbi.ErrorCode error, string comment)
{
 .... entry code etc...

  /* http://ninjatrader.com/support/helpGuides/nt8/en-us/realtimeerrorhandling.htm */
  if (_stopOrder == null || _stopOrder != order) return;
  if (order.OrderState != OrderState.Rejected) return;

  Print("Rejection Handling");
  // Stop loss order was rejected!  Exit the position immediately at market
  var signalName = "Rejected by broker";
  var fromEntrySignal = _orderName + "Entry";
  _stopOrder = IsLong()
    ? ExitLong(ExecutionBarsArray, quantity, signalName, fromEntrySignal)
    : ExitShort(ExecutionBarsArray, quantity, signalName, fromEntrySignal);
}

Please find below a summary of the Log file (the full file is 84MB with 561,000 rows) (there were no other open postions at during this event)

2020-06-10 04:11:58:025|1|16|NinjaScript strategy '###' submitting order
2020-06-10 04:11:58:059|1|32|Order='74b3feb2a3c146a4823b691a0b0eaa2f/###' Name='HG Entry' New state='Submitted' Instrument='HG 07-20' Action='Buy' Limit price=0 Stop price=0 Quantity=4 Type='Market' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''
2020-06-10 04:11:58:297|1|32|Order='1213023761/###' Name='HG Entry' New state='Accepted' Instrument='HG 07-20' Action='Buy' Limit price=0 Stop price=0 Quantity=4 Type='Market' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''
2020-06-10 04:11:58:297|1|32|Order='1213023761/###' Name='HG Entry' New state='Working' Instrument='HG 07-20' Action='Buy' Limit price=0 Stop price=0 Quantity=4 Type='Market' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''
2020-06-10 04:11:58:328|1|32|Order='1213023761/###' Name='HG Entry' New state='Filled' Instrument='HG 07-20' Action='Buy' Limit price=0 Stop price=0 Quantity=4 Type='Market' Time in force=GTC Oco='' Filled=4 Fill price=2.599 Error='No error' Native error=''
2020-06-10 04:11:58:329|1|16|NinjaScript strategy '###' submitting order
2020-06-10 04:11:58:329|1|8|Execution='317492747277' Instrument='HG 07-20' Account='###' Exchange=Nymex (New York Mercantile Exchange) Price=2.599 Quantity=4 Market position=Long Operation=Operation_Add Order='1213023761' Time='06/10/2020 04:11:58'
2020-06-10 04:11:58:356|1|32|Order='d7b939d23ebf4c36bb8fc7d9d6c49be7/###' Name='EntryBar100Pct' New state='Submitted' Instrument='HG 07-20' Action='Sell' Limit price=0 Stop price=2.5955 Quantity=4 Type='Stop Market' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''
2020-06-10 04:11:58:414|1|64|Instrument='HG 07-20' Account='###' Average price=2.599 Quantity=4 Market position=Long Operation=Operation_Add
2020-06-10 04:11:58:590|1|32|Order='1213019303/###' Name='EntryBar100Pct' New state='Accepted' Instrument='HG 07-20' Action='Sell' Limit price=0 Stop price=2.5955 Quantity=4 Type='Stop Market' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''
2020-06-10 04:11:58:591|1|32|Order='1213019303/###' Name='EntryBar100Pct' New state='Working' Instrument='HG 07-20' Action='Sell' Limit price=0 Stop price=2.5955 Quantity=4 Type='Stop Market' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''
2020-06-10 04:21:06:502|1|16|NinjaScript strategy '###' submitting order
2020-06-10 04:21:06:545|1|32|Order='93921d3e3f3d4b06b62aa3be2fa6731a/###' Name='Bar75Pct5Min' New state='Submitted' Instrument='HG 07-20' Action='Sell' Limit price=0 Stop price=2.597 Quantity=4 Type='Stop Market' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''
2020-06-10 04:21:06:781|1|32|Order='1213066852/###' Name='Bar75Pct5Min' New state='Accepted' Instrument='HG 07-20' Action='Sell' Limit price=0 Stop price=2.597 Quantity=4 Type='Stop Market' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''
2020-06-10 04:21:06:784|1|32|Order='1213066852/###' Name='Bar75Pct5Min' New state='Working' Instrument='HG 07-20' Action='Sell' Limit price=0 Stop price=2.597 Quantity=4 Type='Stop Market' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''
2020-06-10 04:27:56:911|1|16|NinjaScript strategy '###' submitting order
2020-06-10 04:27:56:949|1|32|Order='83262c2df60b435392cc99186d0c0d45/###' Name='BreakEven' New state='Submitted' Instrument='HG 07-20' Action='Sell' Limit price=0 Stop price=2.599 Quantity=4 Type='Stop Market' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''
2020-06-10 04:27:57:179|1|32|Order='1213067436/###' Name='BreakEven' New state='Accepted' Instrument='HG 07-20' Action='Sell' Limit price=0 Stop price=2.599 Quantity=4 Type='Stop Market' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''
2020-06-10 04:27:57:180|1|32|Order='1213067436/###' Name='BreakEven' New state='Working' Instrument='HG 07-20' Action='Sell' Limit price=0 Stop price=2.599 Quantity=4 Type='Stop Market' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''
2020-06-10 04:35:04:267|1|16|NinjaScript strategy '###' submitting order
2020-06-10 04:35:04:340|1|32|Order='3d09b4154c6e410eae84c106a4297e94/###' Name='PenultimateExtreme' New state='Submitted' Instrument='HG 07-20' Action='Sell' Limit price=0 Stop price=2.601 Quantity=4 Type='Stop Market' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''
2020-06-10 04:35:04:616|1|32|Order='3d09b4154c6e410eae84c106a4297e94/###' Name='PenultimateExtreme' New state='Rejected' Instrument='HG 07-20' Action='Sell' Limit price=0 Stop price=2.601 Quantity=4 Type='Stop Market' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='Order rejected' Native error='Position limit for the contract F.US.CPE.N20 is 10, worst case position is 12'

 The below four lines (or equivalent) repeated some 11,000 times, starting from 04:35:04
2020-06-10 04:35:04:618|1|16|NinjaScript strategy '###' submitting order
2020-06-10 04:35:04:619|0|32|###, Position limit for the contract F.US.CPE.N20 is 10, worst case position is 12 affected Order: Sell 4 StopMarket @ 2.601
2020-06-10 04:35:04:675|1|32|Order='0874d3a0f992493389edbf409ae9a093/###' Name='Rejected by broker' New state='Submitted' Instrument='HG 07-20' Action='Sell' Limit price=0 Stop price=0 Quantity=4 Type='Market' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''
2020-06-10 04:35:04:921|1|32|Order='0874d3a0f992493389edbf409ae9a093/###' Name='Rejected by broker' New state='Rejected' Instrument='HG 07-20' Action='Sell' Limit price=0 Stop price=0 Quantity=4 Type='Market' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='Order rejected' Native error='Position limit for the contract F.US.CPE.N20 is 10, worst case position is 12'
…
2020-06-10 05:53:08:535|1|32|Order='1213067436/###' Name='BreakEven' New state='Filled' Instrument='HG 07-20' Action='Sell' Limit price=0 Stop price=2.599 Quantity=4 Type='Stop Market' Time in force=GTC Oco='' Filled=4 Fill price=2.5975 Error='No error' Native error=''
2020-06-10 05:53:08:543|1|8|Execution='317550636557' Instrument='HG 07-20' Account='###' Exchange=Nymex (New York Mercantile Exchange) Price=2.5975 Quantity=4 Market position=Short Operation=Operation_Add Order='1213067436' Time='06/10/2020 05:53:08'
2020-06-10 05:53:09:962|1|32|Order='1213066852/###' Name='Bar75Pct5Min' New state='Cancel submitted' ...
2020-06-10 05:53:10:103|1|32|Order='1213019303/###' Name='EntryBar100Pct' New state='Cancel submitted' ...
2020-06-10 05:53:10:272|1|64|Instrument='HG 07-20' Account='###' Average price=0 Quantity=0 Market position=Short Operation=Remove
2020-06-10 05:53:10:610|1|32|Order='1213066852/###' Name='Bar75Pct5Min' New state='Cancelled' Instrument='HG 07-20' Action='Sell' ...
2020-06-10 05:53:11:046|1|32|Order='1213019303/###' Name='EntryBar100Pct' New state='Cancelled' Instrument='HG 07-20' Action='Sell' ...

 The below line repeated some 516,000 times, starting from 06:39:18
2020-06-10 06:39:18:409|0|4|Unhandled exception: The current process has used all of its system allowance of handles for Window Manager objects
…
2020-06-10 10:22:48:798|3|2|Connection lost to the NinjaTrader Historical Data Server: hds-us-nt-003.ninjatrader.com

[Shansen]

For prosperity, closing off this query.

Thank you to Kate and the team for resolving.

The error was due to changing the stop SignalName. Since changing the name makes a new order be submitted, there were 3 stops already and the Strategy tried to change the name again, which resulted in that final stop order being rejected as it would put me over the top of the "worst case scenario" position limit. 4 stop orders of 4 qty — the 4 quantity of the original position would put the worst case scenario if they were all hit to 12 qty, which is more than the position limit for this instrument for my account.

Since changing the name of the stop creates a new stop order, the options were
1) keep the same signal name throughout, which would just update the existing order, or
2) cancel the previous stop order before submitting the new one with a different signal name.

Finally, the link on CancelOrder() (https://ninjatrader.com/support/help...ancelorder.htm)