Error "Buy stop or buy stop limit orders can't be placed below the market"

[alvik48]

Hi. I am developing simple strategy using built-in methods (SetStopLoss and EnterShortLimit) for OCO support and I faced the following issue:

When I am testing my strategy via Market Replay on ES 12-20 Futures, timeframe is 5 min Heiken-Ashi, then 4.11.2020 the strategy always generates the error "Buy stop or buy stop limit orders can't be placed below the market". I included simplified script to reproduce the error.

When I was debugging the script, I found that the Short entry got filled at price 3415 and the Stop Loss order should be being placed at 2416 but current bid & ask prices are 3416,75 and 3417,25 respectively.

Seems that there is some data issue but the problem is in the platform behavior: the strategy stops but the main order stays active without stop loss and profit target. So I have two questions:

1. How to fix this data issue?
2. Can I somehow prevent strategy to be stopped (for example, to bypass the error or set the custom handler for this error to automatically close active position)?

[NinjaTrader_PaulH]

Hello alvik48,

Thanks for your post.

For reference, what time zone are you in?

Are you able to hit that error with more recent data using ES 06-21?

You can use RealTimeErrorHandling to keep the strategy running and to trap rejected orders in OnBarUpdate(). Please see the example here: https://ninjatrader.com/support/help...orhandling.htm

[alvik48]

My timezone is UTC+1. I didn't try to reproduce this issue on a more recent data but I think the problem is with the data (maybe, few lost ticks).

[NinjaTrader_PaulH]

Hello alvik48,

Thanks for your reply.

We don't store market replay data beyond 90 days so I could not advise on the data from November 4, 2020.