Stop entry order rejected, how to solve this common problem?

[philmg]

Hi,

I am developing a strategy with Strategy Builder, which does the following:
- calculate on close
- if a bunch of rules are met
- then enter with a stop market order 1 tick above the high of the current bar

This leads sometimes (actually quite often) to the case that the submitted stop order is rejected with the following error:
"An order has been ignored since the stop price ‘15767.75’ near the bar stamped ‘11/13/2023 12:14:59’ is invalid based on the price range of the bar. This is an invalid order and subsequent orders may also be ignored."

As I understand it, when the stop order is submitted, the ask price is already above the stop order, which must not be the case. This usually happens, when the close price is very near or at the high of the bar.

This seems to be a very common problem. How is it typically solved or circumvented?

I have tried the following logic, but am unsure, if that is correct:
Added another condition, that checks, if the ask price is above or below the high of the entry bar. If it is already above, enter with a market order. If it is below submit the stop order.

Thanks for some help, how this problem can be solved best, ideally using Strategy Builder, since I am not writing NS code myself. Thanks.

Best regards
Philipp

[NinjaTrader_BrandonH]

Hello Philipp,

Thanks for your post.

"An order has been ignored since the stop price ‘15767.75’ near the bar stamped ‘11/13/2023 12:14:59’ is invalid based on the price range of the bar."

This error message means that the stop price of the stop market order was not valid based on the price range of the bar the order was submitted to.

Buy stop orders must be placed above the current ask price. Sell stop orders must be placed below the current bid price.

Debugging prints should be added to the script that prints out the price you are submitting the order to and the GetCurrentBid() (Price folder > Bid) and GetCurrentAsk() (Price folder > Ask) to understand exactly how the orders are evaluating based on the price of the bar.

Once you understand exactly how the orders are evaluating based on the price of the bar, you could modify your strategy to submit the order to a valid price.

Below is a link to a forum post that demonstrates using prints to understand behavior.
https://ninjatrader.com/support/foru...121#post791121

You could find a very good guide on troubleshooting missed orders here, please read through this post and see if any of this applies to your situation:

https://ninjatrader.com/support/forum/forum/ninjatrader-8/strategy-development/1102709-understanding-backtest-stop-loss-error-message#post1104682

[bboukai]

Hi,

I am developing a strategy with Strategy Builder, which does the following:
- calculate on close
- if a bunch of rules are met
- then enter with a stop market order 1 tick above the high of the current bar

This leads sometimes (actually quite often) to the case that the submitted stop order is rejected with the following error:
"An order has been ignored since the stop price ‘15767.75’ near the bar stamped ‘11/13/2023 12:14:59’ is invalid based on the price range of the bar. This is an invalid order and subsequent orders may also be ignored."

As I understand it, when the stop order is submitted, the ask price is already above the stop order, which must not be the case. This usually happens, when the close price is very near or at the high of the bar.

This seems to be a very common problem. How is it typically solved or circumvented?

I have tried the following logic, but am unsure, if that is correct:
Added another condition, that checks, if the ask price is above or below the high of the entry bar. If it is already above, enter with a market order. If it is below submit the stop order.

Thanks for some help, how this problem can be solved best, ideally using Strategy Builder, since I am not writing NS code myself. Thanks.

Best regards
Philipp

I am encountering a similar issue-- did you manage to solve it?
BB

[NinjaTrader_ChelseaB]

Hello BB,

I can provide an example created with the Strategy Builder that demonstrates setting a sell stop price, checking that it is less than the bid, and submitting the stop.
ATRTrailingStopBuilderExample_NT8.zip

This is similar to the example found linked below, but checks that the price is a valid price when using a stop exit.

https://forum.ninjatrader.com/forum/ninjatrader-8/strategy-development/1155114-using-atr-period-atr-multiplier-for-entries#post1155153

Last, below is a link to a support article on avoiding stop order rejections.

https://support.ninjatrader.com/s/article/NinjaScript-Developer-Guide-Avoiding-stop-order-rejections-due-to-invalid-price

[bboukai]

Thank you !
I managed to reduce the 'frequency' of such errors by using something like:

ExitLongStopMarket(qty, Math.Min(StopB, GetCurrentBid()), @"LongStop", @"LongEntry");

But this did not eliminate all rejection errors. Then I added

RealtimeErrorHandling = RealtimeErrorHandling.StopCancelCloseIgnoreRejects ;

But I surely will study what you suggested.

Many thanks
BB