Cancelled orders

[onlinebusiness]

Hi Guys
My strategy sometimes get some: New state = "cancel submitted" or New state = "cancelled"
Some orders get cancelled on my playback. how does that work on live trading, I don't think trades will get cancelled without anything been calculated, just like that on live trading? so what happens in this case?

[NinjaTrader_BrandonH]

Hello onlinebusiness,

Thanks for your post.

This indicates that a cancel was submitted for an order that was placed or that the order was canceled. This could occur when running a strategy live if orders are canceled. There are a number of factors that could cause an order to cancel.

If you are using the Managed Approach order entry methods, keep in mind that by default orders submitted via Entry() and Exit() methods automatically cancel at the end of a bar if not re-submitted. This is noted on the help guide page linked below.

Managed Approach: https://ninjatrader.com/support/help...d_approach.htm

Calling CancelOrder() will also cause orders to cancel.

CancelOrder(): https://ninjatrader.com/support/help...ancelorder.htm

Order will also be canceled if you have a position open and the strategy encounters an error or the strategy is disabled.

Please let me know if I may assist further.

[onlinebusiness]

so if this happened in live account how it is going to be calculated?
just like closing a trade? either on profit or on loss, it will cancel the trade and calculate that as realised PnL?

[NinjaTrader_BrandonH]

Hello onlinebusiness,

Thanks for your note.

Yes this would be similar to a closed trade. If you have a working order and the strategy cancels the order, such as when an error occurs and the strategy cancels all working orders and disables, the Realized PnL will be calculated as a profit or loss depending on the position.

For example, say you have a working long position, and the market moves in your favor. Then, the strategy encounters an error, the position is canceled, and the strategy disables. Since the market moved in your favor when the working order is canceled, the profit would be added to your Realized PnL.

Note that you may see this message when using Stop Loss and Profit target orders, such as SetStopLoss()/SetProfitTarget(). Since these orders are tied together through OCO, once one order is filled, the other order will be canceled.

Let me know if I may assist further.